Risk premia and term premia in general equilibrium

被引：244

作者：

Abel, AB ^{[1
]}

机构：

[1] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

JOURNAL OF MONETARY ECONOMICS | 1999年 / 43卷 / 01期

基金：

美国国家科学基金会;

关键词：

asset pricing; equity premium; risk premium; term premium;

D O I：

10.1016/S0304-3932(98)00039-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 riskless bills. This paper analyzes term premia and 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. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: G12.

引用

页码：3 / 33

页数：31

共 18 条

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