1 option
Stock Prices Under Time-Varying Dividend Risk: An Exact Solution In An Infinite-Horizon General Equilibrium Model / Andrew B. Abel.
- Format:
- Book
- Author/Creator:
- Abel, Andrew B.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2621.
- NBER working paper series no. w2621
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Stock Prices Under Time-Varying Dividend Risk
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1988.
- Summary:
- The effects on asset prices of changes in risk are studied in a general equilibrium model in which the conditional risk evolves stochastically over time. The savings decisions of consumers take account of the fact that conditional risk is a serially correlated random variable. By restricting the specification of consumers' preferences and the stochastic specification of dividends, it is possible to obtain an exact solution for the prices of the aggregate stock and riskless one-period bonds. An increase in the conditional risk reduces the stock price if and only if the elasticity marginal utility is less than one.
- Notes:
- Print version record
- June 1988.
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 If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.