Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009)
A 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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:|
|Contact details of provider:|| Postal: 3254 Steinberg Hall-Dietrich Hall, Philadelphia, PA 19104-6367|
Phone: (215) 898-7616
Fax: (215) 573-8084
Web page: http://finance.wharton.upenn.edu/~rlwctr/
More information through EDIRC