| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14543 |
| 来源ID | Working Paper 14543 |
| Asset Pricing Tests with Long Run Risks in Consumption Growth | |
| George M. Constantinides; Anisha Ghosh | |
| 发表日期 | 2008-12-05 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | A novel methodology in testing the long-run risks model of Bansal and Yaron (2004) is presented based on the observation that, under the null, the potentially latent state variables, "long-run risk" and the conditional variance of its innovation, are known a¢ ne functions of the observable market-wide price-dividend ratio and risk free rate. In linear forecasting regressions of consumption growth and returns by the price-dividend ratio and risk free rate, the model implies much higher forecastability than what is observed in the data over 1931 -2009. The co-integrated variant of the model by Bansal, Gallant, and Tauchen (2007), also implies much higher forecastability of returns than what is observed in the data. Finally, we reject the models' implications in jointly pricing the cross-section of returns and fitting the unconditional time series moments of consumption and dividend growth. The results suggest that either some important state variable is missing or that the models should be generalized in a way that the lagged price-dividend ratio and risk free enter the regressions in a non-linear fashion. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14543 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572215 |
| 推荐引用方式 GB/T 7714 | George M. Constantinides,Anisha Ghosh. Asset Pricing Tests with Long Run Risks in Consumption Growth. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14543.pdf（429KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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