| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7581 |
| DP7581 Limitations on the Effectiveness of Forward Guidance at the Zero Lower Bound | |
| Andrew Levin; J David López-Salido; Edward Nelson; Tack Yun | |
| 发表日期 | 2009-11-29 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper analyzes the asset pricing implications of periodic cash payouts within the context of a stationary rational expectations model with heterogeneous investors. The periodicity of cash payouts provides a natural motivation for time-varying conditional volatility in stock returns. I show that the unconditional distribution of returns is a mixture of normals distribution, which has non-trivial skewness properties. I examine how conditional volatility, trading volume and skewness in stock returns are related to information dispersion and liquidity in the stock market. The model provides a rationale for why firm returns have positive skewness while market returns have negative skewness. |
| 主题 | Financial Economics |
| 关键词 | Investor heterogeneity Periodic cash payouts Skewness Turnover |
| URL | https://cepr.org/publications/dp7581 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536418 |
| 推荐引用方式 GB/T 7714 | Andrew Levin,J David López-Salido,Edward Nelson,et al. DP7581 Limitations on the Effectiveness of Forward Guidance at the Zero Lower Bound. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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