| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10520 |
| DP10520 Rare Events, Financial Crises, and the Cross-Section of Asset Returns | |
| Francesco Bianchi | |
| 发表日期 | 2015-03-29 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Similarities between the Great Depression and the Great Recession are documented with respect to the behavior of financial markets. A Great Depression regime is identified by using a Markov-switching VAR. The probability of this regime has remained close to zero for many decades, but spiked for a short period during the most recent financial crisis, the Great Recession. The Great Depression regime implies a collapse of the stock market, with small-growth stocks outperforming small-value stocks. This helps to explain the cross section of asset returns when risk is priced according to a version of the "Bad Beta, Good Beta" Intertemporal CAPM that allows for regime changes. |
| 主题 | International Macroeconomics |
| 关键词 | Great depression Great recession Financial crises Intertemporal capm Markov-switching var |
| URL | https://cepr.org/publications/dp10520 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539352 |
| 推荐引用方式 GB/T 7714 | Francesco Bianchi. DP10520 Rare Events, Financial Crises, and the Cross-Section of Asset Returns. 2015. |
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