1 option
Asset Returns and Intertemporal Preferences / Shmuel Kandel, Robert F. Stambaugh.
- Format:
- Book
- Author/Creator:
- Kandel, Shmuel.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w3633.
- NBER working paper series no. w3633
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1991.
- Summary:
- 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 non-expected-utility 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.
- Notes:
- Print version record
- February 1991.
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