| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20926 |
| 来源ID | Working Paper 20926 |
| Disaster Risk and its Implications for Asset Pricing | |
| Jerry Tsai; Jessica A. Wachter | |
| 发表日期 | 2015-02-09 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | After laying dormant for more than two decades, the rare disaster framework has emerged as a leading contender to explain facts about the aggregate market, interest rates, and financial derivatives. In this paper we survey recent models of disaster risk that provide explanations for the equity premium puzzle, the volatility puzzle, return predictability and other features of the aggregate stock market. We show how these models can also explain violations of the expectations hypothesis in bond pricing, and the implied volatility skew in option pricing. We review both modeling techniques and results and consider both endowment and production economies. We show that these models provide a parsimonious and unifying framework for understanding puzzles in asset pricing. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20926 |
| 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/578600 |
| 推荐引用方式 GB/T 7714 | Jerry Tsai,Jessica A. Wachter. Disaster Risk and its Implications for Asset Pricing. 2015. |
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