Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/35233
Título: | Recursive preferences, consumption smoothing and risk premium |
Autor(es): | Armada, Manuel José da Rocha Sousa, Ricardo M. Wohar, Mark E. |
Palavras-chave: | Recursive preferences intertemporal budget constraint expected returns asset pricing long-run risks |
Data: | Fev-2014 |
Resumo(s): | This paper combines recursive preferences and the consumer ´s budget constraint to derive a relationship where the importance of the long-run risks can help explaining asset returns. Using data for sixteen OECD countries, we find that when the consumption growth, the consumption wealth ratio and its first-differences are used as conditioning information, the resulting factor model explains a large fraction of the variation in real stock returns. The model captures: (i) the preference of investors for a smooth consumption path as implied by the intertemporal budget constraint; and (ii) the large equity risk premium that agents demand when they fear a reduction in long-run economic prospects. |
Tipo: | Documento de trabalho |
URI: | https://hdl.handle.net/1822/35233 |
Arbitragem científica: | no |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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RochaArmada&Sousa&Wohar(2014).pdf Acesso restrito! | Recursive Preferences, Consumption Smoothing and Risk Premium | 192,51 kB | Adobe PDF | Ver/Abrir |