| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7346 |
| 来源ID | Working Paper 7346 |
| Stock and Bond Pricing in an Affine Economy | |
| Geert Bekaert; Steven R. Grenadier | |
| 发表日期 | 1999-09-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | This article provides a stochastic valuation framework for bond and stock returns that builds on three different pricing traditions: affine models of the term structure, present-value pricing of equities, and consumption-based asset pricing. Our model provides a more general application of the affine framework in that both bonds and equities are priced in a consistent fashion. This pricing consistency implies that term structure variables help price stocks while stock price fundamentals help price the term structure. We illustrate our model by considering three examples that are similar in spirit to well-known pricing models that fall within our general framework: a Mehra and Prescott (1985) economy, a present value model similar to Campbell and Shiller (1988b), and a model with stochastic risk aversion similar to Campbell and Cochrane (1998). The empirical performance of our models is explored, with a particular emphasis on return predictability. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w7346 |
| 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/564884 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Steven R. Grenadier. Stock and Bond Pricing in an Affine Economy. 1999. |
| 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 | ||
| w7346.pdf（494KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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