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Valuation risk revalued
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dc.contributor.author | de Groot, Oliver | |
dc.contributor.author | Richter, Alexander W. | |
dc.contributor.author | Throckmorton, Nathaniel A. | |
dc.date.accessioned | 2018-12-19T10:30:04Z | |
dc.date.available | 2018-12-19T10:30:04Z | |
dc.date.issued | 2018-12-17 | |
dc.identifier.citation | de 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.issn | 0962-4031 | |
dc.identifier.other | PURE: 256992078 | |
dc.identifier.other | PURE UUID: 2f22c2ee-66e6-461d-9018-79593b31624e | |
dc.identifier.uri | http://hdl.handle.net/10023/16716 | |
dc.description.abstract | This 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.format.extent | 28 | |
dc.language.iso | eng | |
dc.publisher | University of St Andrews | |
dc.relation.ispartofseries | School of Economics and Finance Discussion Paper | en |
dc.rights | Copyright (c) 2018 the authors | en |
dc.subject | Epstein-Zin utility | en |
dc.subject | Valuation risk | en |
dc.subject | Equity premium puzzle | en |
dc.subject | Risk-free rate puzzle | en |
dc.subject | HG Finance | en |
dc.subject.lcc | HG | en |
dc.title | Valuation risk revalued | en |
dc.type | Working or discussion paper | en |
dc.description.version | Publisher PDF | en |
dc.contributor.institution | University of St Andrews. School of Economics and Finance | en |
dc.identifier.url | https://ideas.repec.org/p/san/wpecon/1805.html | en |
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