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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP13974 |
DP13974 A Supply and Demand Approach to Equity Pricing | |
Laurent E. Calvet; Sebastien Betermier; Evan Jo | |
发表日期 | 2019-08-31 |
出版年 | 2019 |
语种 | 英语 |
摘要 | This paper presents a frictionless neoclassical model of financial markets in which firm sizes, stock returns, and the pricing kernel are all endogenously determined. The model parsimoniously specifies the supply and demand of financial capital allocated to each firm and provides general equilibrium sizes and returns in closed form. We show that the interaction of supply and demand can coherently explain a large number of asset pricing facts. The equilibrium security market line is flatter than the CAPM predicts and can be nonlinear or downward-sloping. The model also generates the size, profitability, investment growth, value, asymmetric volatility, betting-against-beta, and betting-against-correlation anomalies, while also fitting the cross-section of firm characteristics. |
主题 | Financial Economics |
关键词 | Asset pricing Anomalies Capital allocation General equilibrium Factor-based investing Production economy |
URL | https://cepr.org/publications/dp13974 |
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/542855 |
推荐引用方式 GB/T 7714 | Laurent E. Calvet,Sebastien Betermier,Evan Jo. DP13974 A Supply and Demand Approach to Equity Pricing. 2019. |
条目包含的文件 | 条目无相关文件。 |
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