Asset Returns and Intertemporal Preferences
Asset Returns and Intertemporal Preferences
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DOI：
10.1016/0304-3932(91)90004-8
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发表时间：
1991-02
期刊：
影响因子：
--
通讯作者：
Shmuel Kandel (deceased);R. Stambaugh
中科院分区：
文献类型：
--
作者：
Shmuel Kandel (deceased);R. Stambaugh
一个具有消费增长时变矩的代表代理模型被用来分析资产收益的均值和波动性以及不同投资期限下资产收益的可预测性。使用nonexpectedutility偏好的比较静态分析表明，虽然风险规避是重要的，在确定股票收益率和利率的手段，股票收益率的波动性和可预测性的影响，主要受跨期替代。跨期替代的弹性较低，与股票价格的临时组成部分的方差较大。
A representative-agent model with time-varying moments of consumption growth is used to analyze implications about means and volatilities of asset returns as well as the predictability of asset returns for various investment horizons. A comparative-statics analysis using nonexpectedutility preferences indicates that, although risk aversion is important in determining the means of both equity returns and interest rates, implications about the volatility and the predictability of equity returns are affected primarily by intertemporal substitution. Lower elasticities of intertemporal substitution are associated with greater variance in the temporary component of equity prices.