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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP13414 |
DP13414 Term Structure of Risk in Expected Returns | |
Irina Zviadadze | |
发表日期 | 2018-12-24 |
出版年 | 2018 |
语种 | 英语 |
摘要 | This article develops an empirical methodology to determine which economic shocks span risk in asset returns and fluctuations in discount rate and cash flow news. A theoretically motivated shock identification scheme in a present-value model identifies economic shocks. The choice of identifying restrictions is based on the properties of the term structure of risk in expected returns in the data and in equilibrium models. Empirically, I relate equity discount rate news and cash flow news to multiple sources of risk in the variance of consumption growth. Both types of news are almost equally important for the aggregate market risk. |
主题 | Financial Economics |
关键词 | Incremental expected return Incremental expected dividend Permanent and transient shocks |
URL | https://cepr.org/publications/dp13414 |
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/542227 |
推荐引用方式 GB/T 7714 | Irina Zviadadze. DP13414 Term Structure of Risk in Expected Returns. 2018. |
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