Finance and Economics Discussion Series: External Habit and the Cyclicality of Expected Stock Returns - Couverture souple

Tallarini, Thomas D

 
9781288711543: Finance and Economics Discussion Series: External Habit and the Cyclicality of Expected Stock Returns
Couverture souple
ISBN 10 : 1288711549 ISBN 13 : 9781288711543
Editeur : Bibliogov, 2013

Synopsis

We estimate an equilibrium asset pricing model in which agents' preferences have an unobserved external habit using the efficient method of moments (EMM). Given the estimated structural parameters we examine the cyclical behavior of expected stock returns in the model. We find that the estimated structural parameters imply countercyclical expected stock returns as documented in existing empirical studies. The model, however, is still rejected at the one percent level. Detailed examination of the moment conditions in our estimation indicates that the model performs reasonably well in matching the mean of returns, but it fails to capture the higher order moments.

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Éditeur
Bibliogov
Date d'édition
2013
Langue
anglais
ISBN 10 
1288711549
ISBN 13 
9781288711543
Reliure
Broché
Nombre de pages
34
Coordonnées du fabricant
non disponible
Personne responsable
non disponible