• Media type: E-Book
  • Title: State Dependence and the Term Structures of Risk Premia
  • Contributor: Li, Tao [VerfasserIn]; Xu, Jianfeng [VerfasserIn]
  • imprint: [S.l.]: SSRN, [2022]
  • Extent: 1 Online-Ressource (61 p)
  • Language: English
  • DOI: 10.2139/ssrn.3996621
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 30, 2021 erstellt
  • Description: We propose a class of time-separable and state-dependent preferences for asset pricing. In conjunction with the affine structure of the joint dynamics of state variables, aggregate consumption and dividend, an equilibrium model with these preferences yields closed-form solutions of bonds and dividend strips. This model can explain the term structures of equity and bond while maintaining the critical time-series properties of equity returns. It can also match the empirical facts on the yields and Sharpe ratios for dividend strips and bonds. The model’s hump-shaped term structure of equity premia explains the profitability and value premia
  • Access State: Open Access