Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/297880 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Working Paper No. 2020-03
Verlag: 
Prague University of Economics and Business, Faculty of International Relations (FIR), Prague
Zusammenfassung: 
Recent macro-finance contributions explain a great deal of unconditional asset pricing by introducing persistent consumption risks and rare disasters. Only the volatility puzzles remain unresolved among the longer-established issues in this literature. Motivated by empirical finance contributions and conventional wisdom, we abstract from a consumption-centric analysis and let the asset-pricing kernel depend on habit formation and consumer confidence as a demand shifter correlated with consumption growth. The resulting model compares favorably with the literature in explaining the risk-free rate volatility, but it falls short in matching the standard deviation of the market return. Our findings justify using supplementary information to price assets while warning against neglecting a thorough analysis of consumption growth dynamics.
Schlagwörter: 
Asset Pricing
Consumer Confidence
Habit Persistence
Recursive Utility
Utility from Anticipation
Year-on-Year Growth
JEL: 
G12
E21
Dokumentart: 
Working Paper

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