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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
1998
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
6683 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | 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. |
| Physical Description: | 44 S. graph. Darst. |
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV012274386 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | t | ||
| 008 | 981120s1998 xxud||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)39976783 | ||
| 035 | |a (DE-599)BVBBV012274386 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-473 |a DE-19 |a DE-521 | ||
| 050 | 0 | |a HB1 | |
| 084 | |a QB 910 |0 (DE-625)141231: |2 rvk | ||
| 100 | 1 | |a Abel, Andrew B. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Risk premia and term premia in general equilibirum |c Andrew B. Abel |
| 264 | 1 | |a Cambridge, Mass. |c 1998 | |
| 300 | |a 44 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 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. | ||
| 650 | 7 | |a Actif (comptabilité) - Prix - Modèles mathématiques |2 ram | |
| 650 | 7 | |a Rentabilité - Modèles mathématiques |2 ram | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Assets (Accounting) |x Prices |x Mathematical models | |
| 650 | 4 | |a Rate of return |x Mathematical models | |
| 650 | 4 | |a Risk |x Mathematical models | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 6683 |w (DE-604)BV002801238 |9 6683 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w6683.pdf |z kostenfrei |3 Volltext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-008319664 | ||
Record in the Search Index
| _version_ | 1804126895313256448 |
|---|---|
| any_adam_object | |
| author | Abel, Andrew B. |
| author_facet | Abel, Andrew B. |
| author_role | aut |
| author_sort | Abel, Andrew B. |
| author_variant | a b a ab aba |
| building | Verbundindex |
| bvnumber | BV012274386 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QB 910 |
| ctrlnum | (OCoLC)39976783 (DE-599)BVBBV012274386 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02141nam a2200409 cb4500</leader><controlfield tag="001">BV012274386</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">981120s1998 xxud||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)39976783</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV012274386</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-473</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QB 910</subfield><subfield code="0">(DE-625)141231:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Abel, Andrew B.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Risk premia and term premia in general equilibirum</subfield><subfield code="c">Andrew B. Abel</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="c">1998</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">44 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">6683</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Actif (comptabilité) - Prix - Modèles mathématiques</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Rentabilité - Modèles mathématiques</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Assets (Accounting)</subfield><subfield code="x">Prices</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Rate of return</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">6683</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">6683</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w6683.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-008319664</subfield></datafield></record></collection> |
| 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 |
| owner_facet | DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-521 |
| 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 |