Asset pricing in production economies

被引:397
作者
Jermann, UJ [1 ]
机构
[1] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA
关键词
equity premium; habit formation; capital adjustment costs;
D O I
10.1016/S0304-3932(97)00078-0
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper studies asset returns in different versions of the one-sector real business cycle model. We show that a model with habit formation preferences and capital adjustment costs can explain the historical equity premium and the average risk-free return while replicating the salient business cycle properties. The paper also applies a solution technique that combines loglinear methods with lognormal asset pricing formulae. (C) 1998 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:257 / 275
页数:19
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