| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12247 |
| 来源ID | Working Paper 12247 |
| Stock and Bond Returns with Moody Investors | |
| Geert Bekaert; Eric Engstrom; Steven R. Grenadier | |
| 发表日期 | 2006-05-22 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily calculated. After estimating the parameters of the model by the general method of moments, we investigate a series of classic puzzles of the empirical asset pricing literature. In particular, our model is shown to jointly accommodate the mean and volatility of equity and long term bond risk premia as well as salient features of the nominal short rate, the dividend yield, and the term spread. Also, the model matches the evidence for predictability of excess stock and bond returns. However, the stock-bond return correlation implied by the model is somewhat higher than in the data. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w12247 |
| 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/569901 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Eric Engstrom,Steven R. Grenadier. Stock and Bond Returns with Moody Investors. 2006. |
| 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 | ||
| w12247.pdf（457KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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