| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3633 |
| 来源ID | Working Paper 3633 |
| Asset Returns and Intertemporal Preferences | |
| Shmuel Kandel; Robert F. Stambaugh | |
| 发表日期 | 1991-02-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | A representative-agent model with time-varying moments of consumption growth is used to analyze implications about means and volatilities of asset returns as well as the predictability of asset returns for various investment horizons. A comparative-statics analysis using non-expected-utility preferences indicates that, although risk aversion is important in determining the means of both equity returns and interest rates, implications about the volatility and the predictability of equity returns are affected primarily by intertemporal substitution. Lower elasticities of intertemporal substitution are associated with greater variance in the temporary component of equity prices. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w3633 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560940 |
| 推荐引用方式 GB/T 7714 | Shmuel Kandel,Robert F. Stambaugh. Asset Returns and Intertemporal Preferences. 1991. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3633.pdf（2848KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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