| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20062 |
| 来源ID | Working Paper 20062 |
| Rare Booms and Disasters in a Multi-sector Endowment Economy | |
| Jerry Tsai; Jessica A. Wachter | |
| 发表日期 | 2014-04-17 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Why do value stocks have higher average returns than growth stocks, despite having lower risk? Why do these stocks exhibit positive abnormal performance while growth stocks exhibit negative abnormal performance? This paper offers a rare-events based explanation that can also account for the high equity premium and volatility of the aggregate market. The model explains other puzzling aspects of the data such as joint patterns in time series predictablity of aggregate market and value and growth returns, long periods in which growth outperforms value, and the association between positive skewness and low realized returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20062 |
| 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/577736 |
| 推荐引用方式 GB/T 7714 | Jerry Tsai,Jessica A. Wachter. Rare Booms and Disasters in a Multi-sector Endowment Economy. 2014. |
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