G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w14815
来源IDWorking 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
URLhttps://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
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Ravi Bansal]的文章
[Ivan Shaliastovich]的文章
百度学术
百度学术中相似的文章
[Ravi Bansal]的文章
[Ivan Shaliastovich]的文章
必应学术
必应学术中相似的文章
[Ravi Bansal]的文章
[Ivan Shaliastovich]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w14815.pdf
格式: Adobe PDF
此文件暂不支持浏览

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。