This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Rischio di lungo periodo e premio a termine

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Giorgio PIZZUTTO ()

Additional information is available for the following registered author(s):

Abstract

Abstract: Standard theoretical model cannot generate positive and large real bond risk premium under power utility preferences. Following recent developments in equity premium literature we explore bond premium in a long run risk environment with generalized isoleastic preferences. This approach explains equity premium puzzle, but it fails to fit real bond prices and returns. Term premium is negative even if we model exogenous consumption growth with a persistent component and time-varying volatility

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://www.economia.unimi.it/uploads/wp/Deas2008_03wp.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Department of Economics University of Milan Italy in its series Departemental Working Papers with number 2008-03.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 17 Feb 2008
Date of revision:
Handle: RePEc:mil:wpdepa:2008-03

Contact details of provider:
Postal: Via Conservatorio 7, I-20122 Milan - Italy
Phone: +39 02 50321522
Fax: +39 02 50321505
Web page: http://www.economia.unimi.it
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Daniele Checchi).

Related research
Keywords: Asset pricing; long run risk; bond premium puzzle;

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? Data contributors to RePEc receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2009-11-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.