The Dynamics of Crises and the Equity Premium
Zusammenfassung
It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: we allow for consumption drops that can spark an economic crisis. This new feature generates a large equity premium even if possible consumption drops are of moderate size. In turn, our model also matches the consumption data of 42 countries along several dimensions. In particular, our approach generates a realistic number of crises that have realistic durations and involve clustering of moderate consumption drops.
Schlüsselwörter
Contagion; General Equilibrium; Asset Pricing
Zitieren als
Branger, N., Kraft, H., & Meinerding, C. (2016). The Dynamics of Crises and the Equity Premium. Review of Financial Studies, 29(1), 232–270.Details
Publikationstyp
Forschungsartikel (Zeitschrift)
Begutachtet
Ja
Publikationsstatus
Veröffentlicht
Jahr
2016
Fachzeitschrift
Review of Financial Studies
Band
29
Ausgabe
1
Erste Seite
232
Letzte Seite
270
Sprache
Englisch
ISSN
0893-9454
DOI
Gesamter Text