Information Quality and Long-Run Risk: Asset Pricing Implications
AbstractI study the asset pricing implications of the quality of public information about persistent productivity shocks in a general equilibrium model with Kreps-Porteus preferences. Low information quality is associated with a high equity premium, a low volatility of consumption growth, and a low volatility of the risk-free interest rate. The relationship between information quality and the equity premium differs from that in endowment economies. My calibration improves substantially upon the Bansal-Yaron model in terms of the moments of the wealth-consumption ratio and the return on aggregate wealth. Copyright (c) 2010 the American Finance Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Finance Association in its journal The Journal of Finance.
Volume (Year): 65 (2010)
Issue (Month): 4 (08)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2013.
"Cross-Country Heterogeneity in Intertemporal Substitution,"
William Davidson Institute Working Papers Series
wp1056, William Davidson Institute at the University of Michigan.
- Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2013. "Cross-Country Heterogeneity in Intertemporal Substitution," Working Papers IES 2013/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2013.
- Pakos, Michal, 2013.
"Long-Run Risk and Hidden Growth Persistence,"
47217, University Library of Munich, Germany.
- Aase, Knut K., 2014. "Heterogeniety and limited stock market Participation," Discussion Papers 2014/5, Department of Business and Management Science, Norwegian School of Economics.
- Pástor, Luboš & Veronesi, Pietro, 2009.
"Learning in Financial Markets,"
CEPR Discussion Papers
7127, C.E.P.R. Discussion Papers.
- Chen, Andrew N.K. & Wang, Shin-Yun & Yu, Po-Lung, 2014. "Evaluating multi-criteria ratings of financial investment options," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 46-58.
- Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Department of Business and Management Science, Norwegian School of Economics.
- Tomas Havranek, 2013. "Publication Bias in Measuring Intertemporal Substitution," Working Papers IES 2013/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2013.
- Stefano D'Addona & Christos Giannikos, 2011. "Asset Pricing And The Role Of Macroeconomic Volatility," Working Papers 0711, CREI Università degli Studi Roma Tre, revised 2011.
- Aase, Knut K., 2014. "Recursive utility with dependence on past consumption; the continuous-time model," Discussion Papers 2014/3, Department of Business and Management Science, Norwegian School of Economics.
- Ravi Bansal & Ivan Shaliastovich, 2010.
"Confidence Risk and Asset Prices,"
American Economic Review,
American Economic Association, vol. 100(2), pages 537-41, May.
- Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
- Ravi Bansal & Ivan Shaliastovich, 2009. "Learning and Asset-Price Jumps," NBER Working Papers 14814, National Bureau of Economic Research, Inc.
- Gilbert, Thomas, 2011. "Information aggregation around macroeconomic announcements: Revisions matter," Journal of Financial Economics, Elsevier, vol. 101(1), pages 114-131, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.