G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13414
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
URLhttps://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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