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dc.contributor.authorde Groot, Oliver
dc.contributor.authorRichter, Alexander W.
dc.contributor.authorThrockmorton, Nathaniel A.
dc.identifier.citationde Groot , O , Richter , A W & Throckmorton , N A 2018 ' Valuation risk revalued ' School of Economics and Finance Discussion Paper , no. 1805 , University of St Andrews , St Andrews .en
dc.identifier.otherPURE: 256992078
dc.identifier.otherPURE UUID: 2f22c2ee-66e6-461d-9018-79593b31624e
dc.description.abstractThis paper shows the recent success of valuation risk (time-preference shocks in Epstein- Zin utility) in resolving asset pricing puzzles rests sensitively on an undesirable asymptote that occurs because the preference specification fails to satisfy a key restriction on the weights in the Epstein-Zin time-aggregator. In a Bansal-Yaron long-run risk model, our revised valuation risk specification that satisfies the restriction provides a superior empirical fit. The results also show that valuation risk no longer has a major role in matching the mean equity premium and risk-free rate but is crucial for matching the volatility and autocorrelation of the risk-free rate.
dc.publisherUniversity of St Andrews
dc.relation.ispartofseriesSchool of Economics and Finance Discussion Paperen
dc.rightsCopyright (c) 2018 the authorsen
dc.subjectEpstein-Zin utilityen
dc.subjectValuation risken
dc.subjectEquity premium puzzleen
dc.subjectRisk-free rate puzzleen
dc.subjectHG Financeen
dc.titleValuation risk revalueden
dc.typeWorking or discussion paperen
dc.description.versionPublisher PDFen
dc.contributor.institutionUniversity of St Andrews. School of Economics and Financeen

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