An Empirical Investigation of Asset Pricing With Temporally Dependent Preference
An Empirical Investigation of Asset Pricing With Temporally Dependent Preference
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In our eReader you can find the full English version of the book. Read An Empirical Investigation of Asset Pricing With Temporally Dependent Preference Online - link to read the book on full screen. Our eReader also allows you to upload and read Pdf, Txt, ePub and fb2 books. In the Mini eReder on the page below you can quickly view all pages of the book - Read Book An Empirical Investigation of Asset Pricing With Temporally Dependent Preference
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To quickly assess the difficulty of the text, read a short excerpt:
1) as: (4. 2) q(t) = £{mrs(t+4)y(t+4) !£(t)} where mrs(t+4) = (3 [muc( t+4)/muc( t ) ] .
Hansen and Jagannathan (1990, 1991) (hereafter H-J) show how to use observed asset prices and payoffs to estimate regions in which the mean and standard deviation for the process, mrs, must lie. They show that given a mean for the marginal rate of substitution, it is possible to estimate a lower bound for the standard deviation of the marginal rate of substitution. By changing the hypothetical mean for the ...marginal rate of substitution, a 12 region for the moments of the marginal rate of substitution is created . After creating this region, H-J propose to test different models by asking whether the moments of the marginal rate of substitution predicted by the model lie within the region. This is the diagnostic I use.
In estimating the H-J region, I used the one month treasury bill return and the monthly CRSP value weighted return constructed from daily returns (from 1962, 7 to 1989, 12) 13 . These two returns were multiplied by their 19 lagged values to create 6 asset payoffs and prices to use in estimating the region.
What to read after An Empirical Investigation of Asset Pricing With Temporally Dependent Preference?
You can find similar books in the "Read Also" column, or choose other free books by John Eaton to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
1) as: (4. 2) q(t) = £{mrs(t+4)y(t+4) !£(t)} where mrs(t+4) = (3 [muc( t+4)/muc( t ) ] .
Hansen and Jagannathan (1990, 1991) (hereafter H-J) show how to use observed asset prices and payoffs to estimate regions in which the mean and standard deviation for the process, mrs, must lie. They show that given a mean for the marginal rate of substitution, it is possible to estimate a lower bound for the standard deviation of the marginal rate of substitution. By changing the hypothetical mean for the ...marginal rate of substitution, a 12 region for the moments of the marginal rate of substitution is created . After creating this region, H-J propose to test different models by asking whether the moments of the marginal rate of substitution predicted by the model lie within the region. This is the diagnostic I use.
In estimating the H-J region, I used the one month treasury bill return and the monthly CRSP value weighted return constructed from daily returns (from 1962, 7 to 1989, 12) 13 . These two returns were multiplied by their 19 lagged values to create 6 asset payoffs and prices to use in estimating the region.
What to read after An Empirical Investigation of Asset Pricing With Temporally Dependent Preference?
You can find similar books in the "Read Also" column, or choose other free books by John Eaton to read onlineMoreLess
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