Consumption strikes back?: measuring long-run risk
"We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed to fluctuations in macroeconomic growth. This tradeoff features components of financial cash flows that are only realized far into the future but are still reflected in curren...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11476 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | "We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed to fluctuations in macroeconomic growth. This tradeoff features components of financial cash flows that are only realized far into the future but are still reflected in current asset values. We use the recursive utility model with empirical inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate securities and in portfolios constructed based on the ratio of book equity to market equity. Finally, we explore the resulting measurement challenges and the implied sensitivity to alternative specifications of stochastic growth"--National Bureau of Economic Research web site. |
| Physical Description: | 58 S. graph. Darst. |
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| id | DE-604.BV020047903 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:11:39Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013368891 |
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| physical | 58 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| 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 | Hansen, Lars Peter 1952- Verfasser (DE-588)130587087 aut Consumption strikes back? measuring long-run risk Lars Peter Hansen ; John Heaton ; Nan Li Cambridge, Mass. National Bureau of Economic Research 2005 58 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11476 "We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed to fluctuations in macroeconomic growth. This tradeoff features components of financial cash flows that are only realized far into the future but are still reflected in current asset values. We use the recursive utility model with empirical inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate securities and in portfolios constructed based on the ratio of book equity to market equity. Finally, we explore the resulting measurement challenges and the implied sensitivity to alternative specifications of stochastic growth"--National Bureau of Economic Research web site. Ökonometrisches Modell Econometric models Latham, Anthony J. H. 1940- Verfasser (DE-588)131402439 aut Li, Nan Verfasser (DE-588)130587745 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11476 (DE-604)BV002801238 11476 http://papers.nber.org/papers/w11476.pdf kostenfrei Volltext |
| spellingShingle | Hansen, Lars Peter 1952- Latham, Anthony J. H. 1940- Li, Nan Consumption strikes back? measuring long-run risk National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Econometric models |
| title | Consumption strikes back? measuring long-run risk |
| title_auth | Consumption strikes back? measuring long-run risk |
| title_exact_search | Consumption strikes back? measuring long-run risk |
| title_full | Consumption strikes back? measuring long-run risk Lars Peter Hansen ; John Heaton ; Nan Li |
| title_fullStr | Consumption strikes back? measuring long-run risk Lars Peter Hansen ; John Heaton ; Nan Li |
| title_full_unstemmed | Consumption strikes back? measuring long-run risk Lars Peter Hansen ; John Heaton ; Nan Li |
| title_short | Consumption strikes back? |
| title_sort | consumption strikes back measuring long run risk |
| title_sub | measuring long-run risk |
| topic | Ökonometrisches Modell Econometric models |
| topic_facet | Ökonometrisches Modell Econometric models |
| url | http://papers.nber.org/papers/w11476.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT hansenlarspeter consumptionstrikesbackmeasuringlongrunrisk AT lathamanthonyjh consumptionstrikesbackmeasuringlongrunrisk AT linan consumptionstrikesbackmeasuringlongrunrisk |