Risk, uncertainty, and asset prices

详细信息    查看全文

• 作者：Geert Bekaert ; Eric Engstrom ; Yuhang Xing
• 关键词：Equity premium ; Economic uncertainty ; Stochastic risk aversion ; Time variation in risk and return ; Excess volatility ; External habit ; Term structure ; Heteroskedasticity
• 刊名：Journal of Financial Economics
• 出版年：2009
• 出版时间：January 2009
• 年：2009
• 卷：91
• 期：1
• 页码：59-82
• 全文大小：521 K

文摘

We identify the relative importance of changes in the conditional variance of fundamentals (which we call “uncertainty”) and changes in risk aversion in the determination of the term structure, equity prices, and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in price–dividend ratios and the equity risk premium is primarily driven by risk aversion, uncertainty plays a large role in the term structure and is the driver of countercyclical volatility of asset returns.