Asset returns and State-Dependent Risk Preferences

Détails

ID Serval
serval:BIB_7BC09815973C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Asset returns and State-Dependent Risk Preferences
Périodique
Journal of Business and Economic Statistics
Auteur(s)
Gordon  S., St-Amour  P.
ISSN
0735-0015
Statut éditorial
Publié
Date de publication
07/2004
Peer-reviewed
Oui
Volume
22
Numéro
3
Pages
241-252
Langue
anglais
Notes
Lead paper
Résumé
We propose a consumption-based capital asset pricing model with state-dependent risk aversion. The corresponding risk premium includes consumption risk and the risk associated with variations in preferences. Our model can be estimated without specifying the functional form linking risk aversion with state variables. The estimates are based on Markov chain Monte Carlo estimation of exact discrete-time parameterizations for linear diffusion processes. We find estimates for relative risk aversion that are reasonable by usual standards, correlated with both consumption and returns, and indicative of an additional preference risk of holding the assets.
Mots-clé
Asset pricing puzzle, Bayesian analysis, Continuous-time estimation, Markov chain, Monte Carlo
Web of science
Création de la notice
30/04/2008 14:58
Dernière modification de la notice
20/08/2019 14:37
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