Generational asset pricing, equity puzzles, and cyclicality

被引：1

作者：

Huang, Alan Guoming ^{[1
]}

Hughson, Eric N. ^{[2
]}

Leach, J. Chris ^{[3
]}

机构：

[1] Univ Waterloo, Sch Accounting & Finance, 200 Univ Ave W, Waterloo, ON N2L 3G1, Canada

[2] Claremont McKenna Coll, Claremont, CA 91711 USA

[3] Univ Colorado, Leeds Sch Business, Boulder, CO 80309 USA

来源：

REVIEW OF ECONOMIC DYNAMICS | 2016年 / 22卷

关键词：

Generational uncertainty; Pricing kernel domination; Equity premium puzzles; Boom-bust cycle; RISK-AVERSION; MARKET PRICE; LONG-RUN; PREMIUM; RETURNS; HETEROGENEITY; EQUILIBRIUM; CONSUMPTION; PREFERENCE; LIVES;

D O I：

10.1016/j.red.2016.06.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

To examine the potential role cohort preferences play in asset pricing cycles and puzzles, we consider a model with stochastic generational variation in preferences. In our structure, the pricing kernel reflects an investing generation's consumption growth from mid-life to retirement rather than aggregate consumption's growth over the same time period. Generational domination of the pricing kernel provides insight into rationalizing three widely-recognized asset pricing puzzles and suggests one potential contributor to boom bust patterns in stock market returns. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：52 / 71

页数：20

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