Stock and bond joint pricing, consumption surplus, and inflation news
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要In this paper, Bekaert et al.’s (2010) model is modified by allowing consumption growth to depend on dividend yield rather than dividend growth. With a simplified inflation dynamic, the general equilibrium model is characterized by a system of linear and affine stochastic equations. From these equations, a closed-form solution jointly pricing equity and bonds is derived. The generalized method of moments is used to demonstrate that our model’s calibrated moments broadly match the first and second moments of stocks, bonds, and other macroeconomic variables in the US. Our estimated equity premium is 6.0 %, which closely matches its actual value of 5.6 %. The predicted risk aversion is countercyclical. Moreover, an out-of-sample test indicates the significant improvement of predictive power on the price–dividend ratio over Campbell and Cochrane’s (1999) model. Our model can further capture the dramatic increase in the price–dividend ratio after the 1990s.
出版社接受日期01.05.2021
著者Jun Lou, Tat Wing Wong, Ka Wai Terence Fung, Jonas J. Nazimoff Shaende
期刊名稱Research in International Business and Finance
出版年份2021
月份12
卷號58
出版社Elsevier B.V.
出版地Netherlands
文章號碼101426
國際標準期刊號0275-5319
語言美式英語
關鍵詞Asset pricing, Habitual persistence, Price–dividend ratio, Inflation news

上次更新時間 2021-20-11 於 23:44