Asset Return Dynamics under Bad Environment Good Environment Fundamentals
发布时间:2013-05-24
Topic:
Asset Return Dynamics under Bad Environment Good Environment Fundamentals
Time:
星期四,2013-05-24 10:30-12:00
Venue:
Room 505, Datong Building West Huaihai Road 211, SAIF
Speaker:
Geert Bekaert

Asset Return Dynamics under Bad Environment Good Environment Fundamentals

We introduce a “bad environment-good environment (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of fundamentals, and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk free rate. BEGE dynamics are essential for the model to generate realistic features of the “risk-neutral” conditional density of equity returns, including the variance premium.