1 option
Asset Return Dynamics under Bad Environment Good Environment Fundamentals / Geert Bekaert, Eric Engstrom.
- Format:
- Book
- Author/Creator:
- Bekaert, Geert.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w15222.
- NBER working paper series no. w15222
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2009.
- Summary:
- We introduce a "bad environment-good environment" technology for consumption growth in a consumption- based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not only fits standard salient asset prices features including means and volatilities for equity returns and risk free rates, but also generates a realistic variance premium and option prices.
- Notes:
- Print version record
- August 2009.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.