Long-run productivity risk: A new hope for production-based asset pricing?
被引:104
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作者:
Croce, Mariano Massimiliano
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h-index: 0
机构:
Univ N Carolina, Kenan Flagler Business Sch, McColl Bldg, Chapel Hill, NC 27514 USAUniv N Carolina, Kenan Flagler Business Sch, McColl Bldg, Chapel Hill, NC 27514 USA
Croce, Mariano Massimiliano
[1
]
机构:
[1] Univ N Carolina, Kenan Flagler Business Sch, McColl Bldg, Chapel Hill, NC 27514 USA
Production;
Long-run risk;
Asset pricing;
Recursive utility;
STOCK RETURNS;
VALUE PREMIUM;
REAL ACTIVITY;
FLUCTUATIONS;
D O I:
10.1016/j.jmoneco.2014.04.001
中图分类号:
F8 [财政、金融];
学科分类号:
0202 ;
摘要:
The examination of the intertemporal distribution of US productivity risk suggests that the conditional mean of productivity growth is an important determinant of macro quantities and asset prices. After establishing this empirical link, I rationalize it in a production economy featuring long-run productivity risk, Epstein and Zin (1989) preferences, and investment frictions. Both convex capital adjustment costs and convex reallocation costs across consumption and investment produce an annual equity premium as sizeable as in the data. (C) 2014 Elsevier B.V. All rights reserved.
机构:
Fed Reserve Bank New York, Capital Markets Funct Res & Stat Grp, New York, NY 10045 USAFed Reserve Bank New York, Capital Markets Funct Res & Stat Grp, New York, NY 10045 USA
Adrian, Tobias
Rosenberg, Joshua
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机构:
Fed Reserve Bank New York, Capital Markets Funct Res & Stat Grp, New York, NY 10045 USAFed Reserve Bank New York, Capital Markets Funct Res & Stat Grp, New York, NY 10045 USA
机构:
Univ Hong Kong, Dept Geog, Hong Kong, Peoples R China
Northwestern Univ, Kellogg Sch Management, Evanston, IL USA
Univ Calif Los Angeles, Dept Geog, Los Angeles, CA 90024 USAUniv Hong Kong, Dept Geog, Hong Kong, Peoples R China
van der Wouden, Frank
Rigby, David L.
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机构:
Univ Calif Los Angeles, Dept Geog, Los Angeles, CA 90024 USAUniv Hong Kong, Dept Geog, Hong Kong, Peoples R China