经济
可预测性
计量经济学
波动性(金融)
股权溢价之谜
比较静力学
资本资产定价模型
衡平法
金融经济学
消费(社会学)
微观经济学
数学
社会学
政治学
统计
社会科学
法学
作者
Shmuel Kandel,Robert F. Stambaugh
标识
DOI:10.1016/0304-3932(91)90004-8
摘要
A representative-agent model with time-varying moments of consumption growth is used to analyze implications about means and volatilities of asset returns as well as the predictability of asset returns for various investment horizons. A comparative-statics analysis using nonexpectedutility preferences indicates that, although risk aversion is important in determining the means of both equity returns and interest rates, implications about the volatility and the predictability of equity returns are affected primarily by intertemporal substitution. Lower elasticities of intertemporal substitution are associated with greater variance in the temporary component of equity prices.
科研通智能强力驱动
Strongly Powered by AbleSci AI