Asset returns and intertemporal preferences
نویسندگان
چکیده
منابع مشابه
Asset Returns and State-Dependent Risk Preferences
We propose a consumption-based capital asset pricing model in which the representative agent’s preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess returns on equity includes both consumption risk as well as the risk associated with variations in preferences. We develop a simple model that can be estimated without specifying the functio...
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ژورنال
عنوان ژورنال: Journal of Monetary Economics
سال: 1991
ISSN: 0304-3932
DOI: 10.1016/0304-3932(91)90004-8