| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0109 |
| 来源ID | Technical Working Paper 0109 |
| The Independence Axiom and Asset Returns | |
| Larry G. Epstein; Stanley E. Zin | |
| 发表日期 | 1991-07-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | This paper integrates models of atemporal risk preference that relax the independence axiom into a recursive intertemporal asset-pricing framework. The resulting models are amenable to empirical analysis using market data and standard Euler equation methods. We are thereby able to provide the first non-laboratory-based evidence regarding the usefulness of several new theories of risk preference for addressing standard problems in dynamic economics. Using both stock and bond returns data, we find that a model incorporating risk preferences that exhibit firstorder risk aversion accounts for significantly more of the mean and autocorrelation properties of the data than models that exhibit only second-order risk aversion. Unlike the latter class of models which require parameter estimates that are outside of the admissible parameter space, e.g., negative rates of time preference, the model with first-order risk aversion generates point estimates that are economically meaningful. We also examine the relationship between first-order risk aversion and models that employ exogenous stochastic switching processes for consumption growth. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/t0109 |
| 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/561083 |
| 推荐引用方式 GB/T 7714 | Larry G. Epstein,Stanley E. Zin. The Independence Axiom and Asset Returns. 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 | ||
| t0109.pdf（336KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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