Presidential Address : Rational Asset Prices  

Oleh:

Constantinides, George M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 4 (2002), page 1567-1592.
Topik: assets; economic models; risk; assets; rates of return; studies; premiums
Fulltext: p 1567.pdf (234.4KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The mean, covaribaility and preditability of the return of different classes of financial assets challenge the rational economic model for an explanation. The unconditional mean aggregate equity premium is almost seven percent per year and remains high after adjusting downwards the sample mean premium by introducing prior beliefs about the stationarity of the price - dividend ratio and the (non) forecastability of the long - term dividend growth and price - dividend ratio. Recognition that idiosyncratic income shocks are uninsurable and concentrated in recessions contributes toward an explanation. Also borrowing constraints over the investors' life cycle that shift to the stock market risk to the saving middle - aged consumers contribute toward an explanation.

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