Heer, Burkhard
[Verfasser:in]
;
Maussner, Alfred
[Sonstige Person, Familie und Körperschaft];
Suessmuth, Bernd
[Sonstige Person, Familie und Körperschaft]
Cyclical Asset Returns in the Consumption and Investment Goods Sector
Erschienen in:CESifo Working Paper Series ; No. 4364
Umfang:
1 Online-Ressource (22 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2317752
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 29, 2013 erstellt
Beschreibung:
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with habit formation and sector-specific adjustment costs of capital. The model is able to replicate the equity premium and the Sharpe values observed empirically. In addition, we are able to match the empirical fact that equity returns in the two sectors are not correlated with output