کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099510 | 1377012 | 2007 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
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چکیده انگلیسی
We explore how the introduction of an investment-specific technology shock and capacity utilization into the dynamic asset-pricing model 'improves' the equity premium and Sharpe ratio. Using the method of undetermined coefficients, we show approximate closed-form analytical solutions for a variety of prices for financial assets. Our main empirical findings show that asset-pricing models with an investment-specific technology shock and capacity utilization perform better than a model with the standard productivity shock and adjustment costs in terms of mimicking the Sharpe ratio and risk premiums of a firm's equity and long-term government bonds. Furthermore, when we introduce habit formation as a special case in our model, the model improves further in terms of replicating the risk premiums of the real economy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 8, August 2007, Pages 2637-2658
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 8, August 2007, Pages 2637-2658
نویسندگان
Francis In, Jai Hyung Yoon,