| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13107 |
| 来源ID | Working Paper 13107 |
| Rational Pessimism, Rational Exuberance, and Asset Pricing Models | |
| Ravi Bansal; A. Ronald Gallant; George Tauchen | |
| 发表日期 | 2007-05-17 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | The paper estimates and examines the empirical plausibiltiy of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run risks model of Bansal and Yaron (2004), low frequency movements and time varying uncertainty in aggregate consumption growth are the key channels for understanding asset prices. In another, as typified by Campbell and Cochrane (1999), habit formation, which generates time-varying risk-aversion and consequently time-variation in risk-premia, is the key channel. These models are fitted to data using simulation estimators. Both models are found to fit the data equally well at conventional significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich array of diagnostics suggests that the long run risk model is preferred. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13107 |
| 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/570775 |
| 推荐引用方式 GB/T 7714 | Ravi Bansal,A. Ronald Gallant,George Tauchen. Rational Pessimism, Rational Exuberance, and Asset Pricing Models. 2007. |
| 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 | ||
| w13107.pdf（312KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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