全球智库信息集成服务系统(G2TT): Asset Pricing with Fading Memory

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w26255
来源ID	Working Paper 26255
	Asset Pricing with Fading Memory
	Stefan Nagel; Zhengyang Xu
发表日期	2019-09-16
出版年	2019
语种	英语
摘要	Building on evidence that lifetime experiences shape individuals' macroeconomic expectations, we study asset prices in an economy in which a representative agent learns with fading memory about unconditional mean endowment growth. With IID fundamentals, constant risk aversion, and memory decay calibrated to microdata, the model generates a high and strongly counter-cyclical objective equity premium, while the subjective equity premium is virtually constant. Consistent with this theory, experienced payout growth (a weighted average of past growth rates) is negatively related to future stock market excess returns and subjective expectations errors in surveys, and positively to analyst forecasts of long-run earnings growth.
主题	Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Behavioral Finance
URL	https://www.nber.org/papers/w26255
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/583928
推荐引用方式 GB/T 7714	Stefan Nagel,Zhengyang Xu. Asset Pricing with Fading Memory. 2019.