The size of the permanent component of asset pricing kernels:
We derive a lower bound for the size of the permanent component of asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. We find the permanent component of the pricing kernel to be very large; its volatility is abo...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2001
|
| Schriftenreihe: | NBER working paper series
8360 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | We derive a lower bound for the size of the permanent component of asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. We find the permanent component of the pricing kernel to be very large; its volatility is about 100% of the volatility of the stochastic discount factor. This result implies that, if the pricing kernel is a function of consumption, innovations to consumption need to have permanent effects. |
| Beschreibung: | 51, [8] S. graph. Darst. |
Internformat
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| 490 | 1 | |a NBER working paper series |v 8360 | |
| 520 | |a We derive a lower bound for the size of the permanent component of asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. We find the permanent component of the pricing kernel to be very large; its volatility is about 100% of the volatility of the stochastic discount factor. This result implies that, if the pricing kernel is a function of consumption, innovations to consumption need to have permanent effects. | ||
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Bonds |x Prices |x Econometric models | |
| 650 | 4 | |a Kernel functions | |
| 650 | 4 | |a Securities |x Prices |x Econometric models | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-009482158 | ||
Datensatz im Suchindex
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| author | Alvarez, Fernando 1964- Jermann, Urban J. |
| author_GND | (DE-588)12855178X (DE-588)129560782 |
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| author_sort | Alvarez, Fernando 1964- |
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| id | DE-604.BV013862980 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:53:22Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009482158 |
| oclc_num | 47260787 |
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| physical | 51, [8] S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | NBER working paper series |
| series2 | NBER working paper series |
| spelling | Alvarez, Fernando 1964- Verfasser (DE-588)12855178X aut The size of the permanent component of asset pricing kernels Fernando Alvarez ; Urban J. Jermann Cambridge, Mass. National Bureau of Economic Research 2001 51, [8] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier NBER working paper series 8360 We derive a lower bound for the size of the permanent component of asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. We find the permanent component of the pricing kernel to be very large; its volatility is about 100% of the volatility of the stochastic discount factor. This result implies that, if the pricing kernel is a function of consumption, innovations to consumption need to have permanent effects. Ökonometrisches Modell Bonds Prices Econometric models Kernel functions Securities Prices Econometric models Jermann, Urban J. Verfasser (DE-588)129560782 aut Erscheint auch als Online-Ausgabe NBER working paper series 8360 (DE-604)BV002801238 8360 http://papers.nber.org/papers/w8360.pdf kostenfrei Volltext |
| spellingShingle | Alvarez, Fernando 1964- Jermann, Urban J. The size of the permanent component of asset pricing kernels NBER working paper series Ökonometrisches Modell Bonds Prices Econometric models Kernel functions Securities Prices Econometric models |
| title | The size of the permanent component of asset pricing kernels |
| title_auth | The size of the permanent component of asset pricing kernels |
| title_exact_search | The size of the permanent component of asset pricing kernels |
| title_full | The size of the permanent component of asset pricing kernels Fernando Alvarez ; Urban J. Jermann |
| title_fullStr | The size of the permanent component of asset pricing kernels Fernando Alvarez ; Urban J. Jermann |
| title_full_unstemmed | The size of the permanent component of asset pricing kernels Fernando Alvarez ; Urban J. Jermann |
| title_short | The size of the permanent component of asset pricing kernels |
| title_sort | the size of the permanent component of asset pricing kernels |
| topic | Ökonometrisches Modell Bonds Prices Econometric models Kernel functions Securities Prices Econometric models |
| topic_facet | Ökonometrisches Modell Bonds Prices Econometric models Kernel functions Securities Prices Econometric models |
| url | http://papers.nber.org/papers/w8360.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT alvarezfernando thesizeofthepermanentcomponentofassetpricingkernels AT jermannurbanj thesizeofthepermanentcomponentofassetpricingkernels |