G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13974
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
URLhttps://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.
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