Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009)
AbstractA representative-agent pricing model with time-varying moments of consumption growth is used to analyze implications about means and volatilities of equity returns and interest rates, first-order autocorrelations of equity returns for various investment horizons, and R2’s in projections of equity returns for various horizons on predetermined financial variables. An analysis using non-expected-utility preferences reveals that high risk aversion is key in matching empirical benchmarks for average returns, but low intertemporal substitution is important in obtaining implications corresponding to estimates of volatilities, autocorrelations, and the predictability of returns.
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Bibliographic InfoPaper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 07-90.
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- Shmuel Kandel & Robert F. Stambaugh, . "Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009)," Rodney L. White Center for Financial Research Working Papers 7-90, Wharton School Rodney L. White Center for Financial Research.
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