| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15504 |
| 来源ID | Working Paper 15504 |
| An Empirical Evaluation of the Long-Run Risks Model for Asset Prices | |
| Ravi Bansal; Dana Kiku; Amir Yaron | |
| 发表日期 | 2009-11-12 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We provide an empirical evaluation of the forward-looking long-run risks (LRR) model and highlight model differences with the backward-looking habit based asset pricing model. We feature three key results: (i) Consistent with the LRR model, there is considerable evidence in the data of time-varying expected consumption growth and volatility, (ii) The LRR model matches the key asset markets data features, (iii) In the data and in the LRR model accordingly, past consumption growth does not predict future asset prices, whereas lagged consumption in the habit model forecasts future price-dividend ratios with an R2 of over 40%. Overall, our evidence implies that the LRR model provides a coherent framework to analyze and interpret asset prices. |
| 主题 | Macroeconomics ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15504 |
| 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/573180 |
| 推荐引用方式 GB/T 7714 | Ravi Bansal,Dana Kiku,Amir Yaron. An Empirical Evaluation of the Long-Run Risks Model for 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 | ||
| w15504.pdf（226KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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