| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14815 |
| 来源ID | Working Paper 14815 |
| Confidence Risk and Asset Prices | |
| Ravi Bansal; Ivan Shaliastovich | |
| 发表日期 | 2009-03-25 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | In the data, asset prices exhibit large negative moves at frequencies of about 18 months. These large moves are puzzling as they do not coincide, nor are they followed by any significant moves in the real side of the economy. On the other hand, we find that measures of investor's uncertainty about their estimate of future growth have significant information about large moves in returns. We set-up a recursive-utility based model in which investors learn about the latent expected growth using the cross-section of signals. The uncertainty (confidence measure) about investor's growth expectations, as in the data, is time-varying and subject to large moves. The fluctuations in confidence measure affect the distribution of future consumption given investors' information, and consequently influence equilibrium asset prices and risk premia. In calibrations we show that the model can account for the large return move evidence in the data, distribution of asset prices, predictability of excess returns and other key asset market facts. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14815 |
| 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/572491 |
| 推荐引用方式 GB/T 7714 | Ravi Bansal,Ivan Shaliastovich. Confidence Risk and Asset Prices. 2009. |
| 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 | ||
| w14815.pdf（331KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
