| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12487 |
| 来源ID | Working Paper 12487 |
| The Equity Premium Implied by Production | |
| Urban Jermann | |
| 发表日期 | 2006-08-24 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper studies the determinants of the equity premium as implied by producers' first-order conditions. A closed form expression is presented for the Sharpe ratio at steady-state as a function of investment volatility and adjustment cost curvature. Calibrated to the U.S. postwar economy, the model can generate a sizeable equity premium, with reasonable volatility for market returns and risk free rates. The market's Sharpe ratio and the market price of risk are very volatile. Contrary to most models, the model generates a negative correlation between conditional means and standard deviations of aggregate excess returns. |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12487 |
| 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/570144 |
| 推荐引用方式 GB/T 7714 | Urban Jermann. The Equity Premium Implied by Production. 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 | ||
| w12487.pdf（495KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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