Add to ORKGA habit persistence, general equilibrium model with multiple assets matches both the time series properties of the market portfolio and the cross-sectional predictability of returns on price sorted portfolios, the value premium. Consistent with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM fails, because of general equilibrium restrictions on the market portfolio. The dynamic nature of the value premium rationalizes why the conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM.
We apply an empirical approximation of the intertemporal capital asset pricing model (IC...
We apply an empirical approximation of the intertemporal capital asset pricing model (IC...
We propose a dynamic risk-based model that captures the value premium. Firms are modeled as long-liv...
Numerous studies have documented the failure of the static and conditional capital asset pricing mod...
While many studies document that the market risk premium is predictable and that betas are not const...
This paper proposes a dynamic risk-based model that captures the high expected returns on value stoc...
We propose a dynamic risk-based model that captures the value premium. Firms are modeled as long-liv...
This paper decomposes the overall market (CAPM)risk into parts reflecting uncertainty related to the...
Non-linear external habit persistence models, which feature prominently in the recent "equity premiu...
Non-linear external habit persistence models, which feature prominently in the recent “equity premiu...
Bansal and Yaron (2004) demonstrate, by calibration, that the Consumption-Based Capital Asset Pricin...
Bansal and Yaron (2004) demonstrate, by calibration, that the Consumption-Based Capital Asset Pricin...
This paper provides an economic explanation of the value premium, differences in price/dividend rati...
This paper studies if the consumption-based asset pricing model can explain the cross-section of exp...
This article investigates the impact of cash flow risk and discounting risk on the aggregate equity ...
We apply an empirical approximation of the intertemporal capital asset pricing model (IC...
We apply an empirical approximation of the intertemporal capital asset pricing model (IC...
We propose a dynamic risk-based model that captures the value premium. Firms are modeled as long-liv...
Numerous studies have documented the failure of the static and conditional capital asset pricing mod...
While many studies document that the market risk premium is predictable and that betas are not const...
This paper proposes a dynamic risk-based model that captures the high expected returns on value stoc...
We propose a dynamic risk-based model that captures the value premium. Firms are modeled as long-liv...
This paper decomposes the overall market (CAPM)risk into parts reflecting uncertainty related to the...
Non-linear external habit persistence models, which feature prominently in the recent "equity premiu...
Non-linear external habit persistence models, which feature prominently in the recent “equity premiu...
Bansal and Yaron (2004) demonstrate, by calibration, that the Consumption-Based Capital Asset Pricin...
Bansal and Yaron (2004) demonstrate, by calibration, that the Consumption-Based Capital Asset Pricin...
This paper provides an economic explanation of the value premium, differences in price/dividend rati...
This paper studies if the consumption-based asset pricing model can explain the cross-section of exp...
This article investigates the impact of cash flow risk and discounting risk on the aggregate equity ...
We apply an empirical approximation of the intertemporal capital asset pricing model (IC...
We apply an empirical approximation of the intertemporal capital asset pricing model (IC...
We propose a dynamic risk-based model that captures the value premium. Firms are modeled as long-liv...