Add to ORKGThe effects on asset prices of changes in risk are studied in a general equilibrium model in which the conditional risk evolves stochastically over time. The savings decisions of consumers take account of the fact that conditional risk is a serially correlated random variable. By restricting the specification of consumers' preferences and the stochastic specification of dividends, it is possible to obtain an exact solution for the prices of the aggregate stock and riskless one-period bonds. An increase in the conditional risk reduces the stock price if and only if the elasticity marginal utility is less than one.
This paper develops a framework to study general equilibrium implications for an economy in which ag...
Following a dividend distribution, investors expect the stock price to decrease on the ex-dividend d...
This paper proposes an equilibrium model for evaluating equity with optimal dividend policy in a jum...
The effects on asset prices of changes in risk are studied in a general equilibrium model in which t...
In this paper, we integrate the long-run concept of risk into the stock valuation process. We use th...
We derive representations for the stock price drift and volatility in the equilibrium of agents with...
In this paper, we propose a new model for pricing stock and dividend derivatives. We jointly specify...
Stochastic dividend discount models (Hurley and Johnson in Financ Anal J 50–54. http://www.jstor.org...
We propose a general equilibrium model with multiple securities in which investors' risk preferences...
In this paper, we develop a theoretical stock valuation model that takes into account the long-run s...
Abstract This paper examines asset prices when risk-sharing externalities are incorporated into an i...
We develop a finite horizon continuous time market model, where risk averse investors maximize utili...
This paper examines the extent to which swings in stock prices can be related to variations in the d...
Empirical evidence shows that conditional market betas vary substantially over time. Yet, little is ...
We model consumption and dividend growth rates as containing (1) a small long-run predictable compon...
This paper develops a framework to study general equilibrium implications for an economy in which ag...
Following a dividend distribution, investors expect the stock price to decrease on the ex-dividend d...
This paper proposes an equilibrium model for evaluating equity with optimal dividend policy in a jum...
The effects on asset prices of changes in risk are studied in a general equilibrium model in which t...
In this paper, we integrate the long-run concept of risk into the stock valuation process. We use th...
We derive representations for the stock price drift and volatility in the equilibrium of agents with...
In this paper, we propose a new model for pricing stock and dividend derivatives. We jointly specify...
Stochastic dividend discount models (Hurley and Johnson in Financ Anal J 50–54. http://www.jstor.org...
We propose a general equilibrium model with multiple securities in which investors' risk preferences...
In this paper, we develop a theoretical stock valuation model that takes into account the long-run s...
Abstract This paper examines asset prices when risk-sharing externalities are incorporated into an i...
We develop a finite horizon continuous time market model, where risk averse investors maximize utili...
This paper examines the extent to which swings in stock prices can be related to variations in the d...
Empirical evidence shows that conditional market betas vary substantially over time. Yet, little is ...
We model consumption and dividend growth rates as containing (1) a small long-run predictable compon...
This paper develops a framework to study general equilibrium implications for an economy in which ag...
Following a dividend distribution, investors expect the stock price to decrease on the ex-dividend d...
This paper proposes an equilibrium model for evaluating equity with optimal dividend policy in a jum...