Human Capital as an Asset Class Implications from a General Equilibrium Model
نویسندگان
چکیده
منابع مشابه
Human Capital as an Asset Class Implications From a General Equilibrium Model∗
This paper derives the value and the risk of aggregate human capital in a dynamic equilibrium production model with Duffie-Epstein preferences. In this setting the expected return of a risky asset is a function of the asset’s covariance with consumption growth and a weighted average of the asset’s covariance with aggregate wage growth and aggregate financial returns. A calibration of the model ...
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We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that investors trade only in two portfolios: the market portfolio, and a hedging portfolio, which allows them ...
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Parameter learning strongly ampli es the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models with unknown parameters governing either long-run economic growth, rare events, or model selection. O...
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ژورنال
عنوان ژورنال: The Review of Financial Studies
سال: 2014
ISSN: 1465-7368,0893-9454
DOI: 10.1093/rfs/hhu073