| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14588 |
| DP14588 Valuation Risk Revalued | |
| Oliver de Groot; Alexander Richter; Nathaniel Throckmorton | |
| 发表日期 | 2020-04-09 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper shows the success of valuation risk—time-preference shocks in Epstein-Zin utility—in resolving asset pricing puzzles rests sensitively on the way it is introduced. The specification used in the literature violates several desirable properties of recursive preferences because the weights in the Epstein-Zin time-aggregator do not sum to one. When we revise the specification in a simple asset pricing model the puzzles resurface. However, when estimating a sequence of increasingly rich models, we find valuation risk under the revised specification consistently improves the ability of the models to match asset price and cash-flow dynamics. |
| 主题 | Financial Economics |
| 关键词 | Recursive utility Asset pricing Equity premium puzzle Risk-free rate puzzle |
| URL | https://cepr.org/publications/dp14588 |
| 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/543495 |
| 推荐引用方式 GB/T 7714 | Oliver de Groot,Alexander Richter,Nathaniel Throckmorton. DP14588 Valuation Risk Revalued. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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