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022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
International Standard Serial Number |
0304-405X |
245 ## - TITLE STATEMENT |
Title |
Asset pricing with beliefs-dependent risk aversion and learning / by Tony Berrada, Jérôme Detemple, Marcel Rindisbacher |
Statement of responsibility, etc |
Tony Berrada, Jérôme Detemple, Marcel Rindisbacher |
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
Place of publication, distribution, etc |
Amsterdam |
Name of publisher, distributor, etc |
Elsevier |
Date of publication, distribution, etc |
June 2018 |
300 ## - PHYSICAL DESCRIPTION |
Extent |
Pages 504-534 |
440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
Title |
Journal of Financial Economics |
Volume number/sequential designation |
128 (3) |
International Standard Serial Number |
0304-405X |
520 ## - SUMMARY, ETC. |
Summary, etc |
Abstract This paper studies equilibrium in a pure exchange economy with unobservable Markov switching growth regimes and beliefs-dependent risk aversion (BDRA). Risk aversion is stochastic and depends nonlinearly on consumption and beliefs. Equilibrium is obtained in closed form. The market price of risk, the interest rate, and the stock return volatility acquire new components tied to fluctuations in beliefs. A three-regime specification is estimated using the generalized method of moments (GMM). Model moments match their empirical counterparts for a variety of unconditional moments, including the equity premium, stock returns volatility, and the correlations between stock returns and consumption and dividends. Dynamic features of the data, such as the countercyclical behaviors of the equity premium and volatility, are also captured. Model volatility provides a good fit for realized volatility. A new factor, the information risk premium, is found to be a strong predictor of future excess returns. These results are obtained with an estimated risk aversion fluctuating between 1.44 and 1.93. |
690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) |
Topical term or geographic name as entry element |
Asset pricing puzzles |
690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) |
Topical term or geographic name as entry element |
Beliefs-dependent risk aversion |
690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) |
Topical term or geographic name as entry element |
Equity premium |
690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) |
Topical term or geographic name as entry element |
Risk-free rate |
690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) |
Topical term or geographic name as entry element |
Volatility |
942 ## - ADDED ENTRY ELEMENTS (KOHA) |
Source of classification or shelving scheme |
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Item type |
Periodicals |