Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

Hansen, Lars Peter; Singleton, Kenneth J.

doi:10.1086/261141

Cited by 1,292 publications

(609 citation statements)

References 7 publications

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“…There are several competing points of view. Some argue that such variables are fundamental val-2 See, for example, Hansen and Singleton (1983) followed by Wheatley (1988), Bollerslev et al (1988) followed by Engel and Rodrigues (1989), Ferson (1990) followed by Brown and Otsuki (1990b); Harvey (1989Harvey ( , 1991a and Harvey (1991, 1993). Of course, there are exceptions to the general pattern, in which international studies develop ®rst approaches used later in a domestic setting.…”

Section: Introductionmentioning

confidence: 99%

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

Ferson

Harvey

1996

SSRN Journal

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This paper provides a global asset pricing perspective on the debate over the relation between predetermined attributes of common stocks, such as ratios of price-to-bookvalue, cash-¯ow, earnings, and other variables to the future returns. Some argue that such variables may be used to ®nd securities that are systematically undervalued by the market, while others argue that the measures are proxies for exposure to underlying economic risk factors. It is not possible to distinguish between these views without explicitly modelling the relation between such attributes and risk factors. We present an empirical framework for attacking the problem at a global level, assuming integrated markets. Our perspective pulls together the traditional academic and practitioner viewpoints on lagged attributes. We present new evidence on the relative importance of risk and mispricing e ects, using monthly data for 21 national equity markets. We ®nd that the cross-sectional explanatory power of the lagged attributes is related to both risk and mispricing in the two-factor model, but the risk e ects explain more of the variance than mispricing. Ó 1998 Elsevier Science B.V. All rights reserved. 0378-4266/97/$17.00 Ó 1997 Elsevier Science B.V. All rights reserved. PII S 0 3 7 8 -4 2 6 6 ( 9 7 ) 0 0 0 4 4 -7

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Section: Introductionmentioning

confidence: 99%

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

Ferson

Harvey

1996

SSRN Journal

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“…6 As is common in the literature on optimal investing over a life-cycle (see, e.g., Hansen and Singleton, 1983;Hubbard et al, 1995;Cocco et al, 2005;Gollier, 2008), we assume a Constant Relative Risk Aversion (CRRA) utility function given by:…”

Section: Numerical Analysismentioning

confidence: 99%

Intergenerational risk sharing in closing pension funds

Boonen

Waegenaere

2017

Insurance: Mathematics and Economics

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We model intergenerational risk sharing in closing funded pension plans. Specifically, we consider a setting in which in each period, the pension fund's investment and indexation policy is the outcome of a bargaining process between representatives of the then living generations. Because some generations might be under-or overrepresented in the board, we use the asymmetric Nash bargaining solution to allow for differences in bargaining powers. In a numerical study, we compare the welfare that the generations derive from the outcome of this repeated bargaining to the welfare that they would derive if a social planner's optimal policy would instead be implemented. We find that as compared to the social optimum, older generations benefit substantially from the repeated bargaining, even if all generations are equally well-represented in the board. If older generations are relatively over-represented, as is sometimes argued, these effects are attenuated.JEL-codes: C78, D9, G23.

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“…We adopt Epstein and Zin's (1989) recursive utility to construct this agent's preference over time: The advantages of the utility function specified in equation (4) are, firstly, as noted by Hansen and Singleton (1983) and Grossman et al (1987) the expected utility representative agent optimizing models do not performed well empirically. One possible reason is that the specification of preference is too rigid (Epstein and Zin, 1989).…”

Section: The Model Setupmentioning

confidence: 99%

Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model

Lin

Zhang³

2014

Emerging Markets Review

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Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

Cited by 1,292 publications

References 7 publications

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

Intergenerational risk sharing in closing pension funds

Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model

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