| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w12290
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| 来源ID | Working Paper 12290
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| Equity Premia with Benchmark Levels of Consumption: Closed-Form Results |
| Andrew B. Abel
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| 发表日期 | 2006-06-12
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| 出版年 | 2006
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| 语种 | 英语
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| 摘要 | I calculate exact expressions for risk premia, term premia, and the premium on levered equity in a framework that includes habit formation, keeping/catching up with the Joneses, and possible departures from rational expectations. Closed-form expressions for the first and second moments of returns and for the R2 of a regression of stock returns on the dividend-price ratio are derived under lognormality for the case that includes keeping/catching up with the Joneses. Linear approximations illustrate how these moments of returns are affected by parameter values and illustrate quantitatively how well the model can account for values of the equity premium, the term premium, and the standard deviations of the riskless return and the rate of return on levered equity. For empirically relevant parameter values, the linear approximations yield values of the various moments that are close to those obtained from the exact solutions. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
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| URL | https://www.nber.org/papers/w12290
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569944
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推荐引用方式
GB/T 7714 |
Andrew B. Abel. Equity Premia with Benchmark Levels of Consumption: Closed-Form Results. 2006.
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文件名：
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w12290.pdf
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格式：
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Adobe PDF
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