On Euler Equation Restrictions On the Temporal Behavior of Asset Returns
On Euler Equation Restrictions On the Temporal Behavior of Asset Returns
The book On Euler Equation Restrictions On the Temporal Behavior of Asset Returns was written by author Here you can read free online of On Euler Equation Restrictions On the Temporal Behavior of Asset Returns book, rate and share your impressions in comments. If you don't know what to write, just answer the question: Why is On Euler Equation Restrictions On the Temporal Behavior of Asset Returns a good or bad book?
Where can I read On Euler Equation Restrictions On the Temporal Behavior of Asset Returns for free?
In our eReader you can find the full English version of the book. Read On Euler Equation Restrictions On the Temporal Behavior of Asset Returns Online - link to read the book on full screen. Our eReader also allows you to upload and read Pdf, Txt, ePub and fb2 books. In the Mini eReder on the page below you can quickly view all pages of the book - Read Book On Euler Equation Restrictions On the Temporal Behavior of Asset Returns
In our eReader you can find the full English version of the book. Read On Euler Equation Restrictions On the Temporal Behavior of Asset Returns Online - link to read the book on full screen. Our eReader also allows you to upload and read Pdf, Txt, ePub and fb2 books. In the Mini eReder on the page below you can quickly view all pages of the book - Read Book On Euler Equation Restrictions On the Temporal Behavior of Asset Returns
What reading level is On Euler Equation Restrictions On the Temporal Behavior of Asset Returns book?
To quickly assess the difficulty of the text, read a short excerpt:
] and E, IAU(. )] move together while Cov ^^[AU(. ) . Z. ] remains constant.
-20- Asset pricing model tests can be obtained from (17), which must hold across all assets i = 1, ... , N. Assuming, for simplicity, the existence of a riskless asset with rate of return Rp^. So that Ef_i [AU] = 1 + ^Vf> (18) implies the following restriction on asset risk premiums: Vi^^tJ - ht ^°Vi^^^'^it^ ^-if^jt^ - ^Ft " C°^-lf^"'^t^ Breeden and Litzenberger [1978] show that, in equilibrium, AU will be monotonic in... aggregate per capita consumption changes, and Bhattacharya [1979] points out that this will be true, in the limit of continuous time, whatever the form of the utility function for consumption.
When the intertemporal asset pricing model is stated as in (18), Marsh [1983] shows that the restriction in (18) cannot be rejected using default-free bond return data when it is applied to real returns and allowance is made for errors in observing the consumption variable.
Because (18) holds in continuous time when AU( ) is simply replaced by consumption changes, it follows that a researcher who attempts to substitute (say) an isoelastic specification in (5) or (18) will find that the resulting estimate of the relative risk aversion parameter y ^^Y well have more to do with the length of the differencing interval than with a sharply identified "true" value of y- Of course, if one sticks to a single asset as in (17), there will be one best estimate of y, but that best estimate will, roughly, be only as good as the best estimate of E ^^[AU], which is yet another potential explanation for the wide range of estimates of y reported in different studies.
What to read after On Euler Equation Restrictions On the Temporal Behavior of Asset Returns?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
] and E, IAU(. )] move together while Cov ^^[AU(. ) . Z. ] remains constant.
-20- Asset pricing model tests can be obtained from (17), which must hold across all assets i = 1, ... , N. Assuming, for simplicity, the existence of a riskless asset with rate of return Rp^. So that Ef_i [AU] = 1 + ^Vf> (18) implies the following restriction on asset risk premiums: Vi^^tJ - ht ^°Vi^^^'^it^ ^-if^jt^ - ^Ft " C°^-lf^"'^t^ Breeden and Litzenberger [1978] show that, in equilibrium, AU will be monotonic in... aggregate per capita consumption changes, and Bhattacharya [1979] points out that this will be true, in the limit of continuous time, whatever the form of the utility function for consumption.
When the intertemporal asset pricing model is stated as in (18), Marsh [1983] shows that the restriction in (18) cannot be rejected using default-free bond return data when it is applied to real returns and allowance is made for errors in observing the consumption variable.
Because (18) holds in continuous time when AU( ) is simply replaced by consumption changes, it follows that a researcher who attempts to substitute (say) an isoelastic specification in (5) or (18) will find that the resulting estimate of the relative risk aversion parameter y ^^Y well have more to do with the length of the differencing interval than with a sharply identified "true" value of y- Of course, if one sticks to a single asset as in (17), there will be one best estimate of y, but that best estimate will, roughly, be only as good as the best estimate of E ^^[AU], which is yet another potential explanation for the wide range of estimates of y reported in different studies.
What to read after On Euler Equation Restrictions On the Temporal Behavior of Asset Returns?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
Write Review:
Guest
Read Also
9 / 10
10 / 10
User Reviews: