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