Stock price volatility and equity premium

被引：121

作者：

Brennan, MJ

Xia, YH

机构：

[1] Univ Calif Los Angeles, Anderson Grad Sch Management, Dept Finance, Los Angeles, CA 90095 USA

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

来源：

JOURNAL OF MONETARY ECONOMICS | 2001年 / 47卷 / 02期

关键词：

equity premium; volatility; learning;

D O I：

10.1016/S0304-3932(01)00042-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A dynamic general equilibrium model of stock prices is developed which yields a stock price volatility and equity premium that are close to the historical values. Non-observability of the expected dividend growth rate introduces an element of learning which increases the volatility of stock price. Calibration to the U.S. dividend and consumption processes yield interest rate and stock price processes that conform closely to the styled facts for the U.S, capital market. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：249 / 283

页数：35

共 37 条

[1] EXACT-SOLUTIONS FOR EXPECTED RATES OF RETURN UNDER MARKOV REGIME SWITCHING - IMPLICATIONS FOR THE EQUITY PREMIUM PUZZLE [J].