Risk premia and term premia in general equilibirum:
The equity premium consists of a term premium reflecting the longer maturity of equity relative to short-term bills, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on reckless bills. This paper analyzes term premia and the risk premia in...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
1998
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
6683 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The equity premium consists of a term premium reflecting the longer maturity of equity relative to short-term bills, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on reckless bills. This paper analyzes term premia and the risk premia in a general equilibrium model with catching up with the Joneses preferences and a novel formulation of leverage. Closed-form solutions for moments of asset returns are derived. First-order approximations illustrate the effects of parameters and provide an algorithm to match the means and variances of the riskless rate and the rate of return on equity. |
| Beschreibung: | 44 S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 6683 | |
| 520 | |a The equity premium consists of a term premium reflecting the longer maturity of equity relative to short-term bills, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on reckless bills. This paper analyzes term premia and the risk premia in a general equilibrium model with catching up with the Joneses preferences and a novel formulation of leverage. Closed-form solutions for moments of asset returns are derived. First-order approximations illustrate the effects of parameters and provide an algorithm to match the means and variances of the riskless rate and the rate of return on equity. | ||
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| id | DE-604.BV012274386 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:24:43Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008319664 |
| oclc_num | 39976783 |
| open_access_boolean | 1 |
| owner | DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-521 |
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| physical | 44 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Abel, Andrew B. Verfasser aut Risk premia and term premia in general equilibirum Andrew B. Abel Cambridge, Mass. 1998 44 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6683 The equity premium consists of a term premium reflecting the longer maturity of equity relative to short-term bills, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on reckless bills. This paper analyzes term premia and the risk premia in a general equilibrium model with catching up with the Joneses preferences and a novel formulation of leverage. Closed-form solutions for moments of asset returns are derived. First-order approximations illustrate the effects of parameters and provide an algorithm to match the means and variances of the riskless rate and the rate of return on equity. Actif (comptabilité) - Prix - Modèles mathématiques ram Rentabilité - Modèles mathématiques ram Mathematisches Modell Assets (Accounting) Prices Mathematical models Rate of return Mathematical models Risk Mathematical models Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6683 (DE-604)BV002801238 6683 http://papers.nber.org/papers/w6683.pdf kostenfrei Volltext |
| spellingShingle | Abel, Andrew B. Risk premia and term premia in general equilibirum National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Actif (comptabilité) - Prix - Modèles mathématiques ram Rentabilité - Modèles mathématiques ram Mathematisches Modell Assets (Accounting) Prices Mathematical models Rate of return Mathematical models Risk Mathematical models |
| title | Risk premia and term premia in general equilibirum |
| title_auth | Risk premia and term premia in general equilibirum |
| title_exact_search | Risk premia and term premia in general equilibirum |
| title_full | Risk premia and term premia in general equilibirum Andrew B. Abel |
| title_fullStr | Risk premia and term premia in general equilibirum Andrew B. Abel |
| title_full_unstemmed | Risk premia and term premia in general equilibirum Andrew B. Abel |
| title_short | Risk premia and term premia in general equilibirum |
| title_sort | risk premia and term premia in general equilibirum |
| topic | Actif (comptabilité) - Prix - Modèles mathématiques ram Rentabilité - Modèles mathématiques ram Mathematisches Modell Assets (Accounting) Prices Mathematical models Rate of return Mathematical models Risk Mathematical models |
| topic_facet | Actif (comptabilité) - Prix - Modèles mathématiques Rentabilité - Modèles mathématiques Mathematisches Modell Assets (Accounting) Prices Mathematical models Rate of return Mathematical models Risk Mathematical models |
| url | http://papers.nber.org/papers/w6683.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT abelandrewb riskpremiaandtermpremiaingeneralequilibirum |