| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13973 |
| DP13973 Asset Pricing with Fading Memory | |
| Stefan Nagel; Zhengyang Xu | |
| 发表日期 | 2019-08-31 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Building on evidence that lifetime experiences shape individuals' macroeconomic expectations, we study asset prices in an economy in which a representative agent learns with fading memory about unconditional mean endowment growth. With IID fundamentals, constant risk aversion, and memory decay calibrated to microdata, the model generates a high and strongly counter-cyclical objective equity premium, while the subjective equity premium is virtually constant. Consistent with this theory, experienced payout growth (a weighted average of past growth rates) is negatively related to future stock market excess returns and subjective expectations errors in surveys, and positively to analyst forecasts of long-run earnings growth. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp13973 |
| 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/542854 |
| 推荐引用方式 GB/T 7714 | Stefan Nagel,Zhengyang Xu. DP13973 Asset Pricing with Fading Memory. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Stefan Nagel]的文章 |
| [Zhengyang Xu]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Stefan Nagel]的文章 |
| [Zhengyang Xu]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Stefan Nagel]的文章 |
| [Zhengyang Xu]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
