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Learning and asset-price jumps

Author: Ravi Bansal; Ivan Shaliastovich; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2009.
Series: Working paper series (National Bureau of Economic Research), no. 14814.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
We develop a general equilibrium model in which income and dividends are smooth, but asset prices are subject to large moves (jumps). A prominent feature of the model is that the optimal decision of investors to learn the unobserved state triggers large asset-price jumps. We show that the learning choice is critically determined by preference parameters and the conditional volatility of income process. An important  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ravi Bansal; Ivan Shaliastovich; National Bureau of Economic Research.
OCLC Number: 317116260
Notes: "March 2009."
Description: 1 online resource (45 pages) : illustrations, digital.
Series Title: Working paper series (National Bureau of Economic Research), no. 14814.
Responsibility: Ravi Bansal, Ivan Shaliastovich.

Abstract:

We develop a general equilibrium model in which income and dividends are smooth, but asset prices are subject to large moves (jumps). A prominent feature of the model is that the optimal decision of investors to learn the unobserved state triggers large asset-price jumps. We show that the learning choice is critically determined by preference parameters and the conditional volatility of income process. An important prediction of the model is that income volatility predicts future jumps, while the variation in the level of income does not. We find that indeed in the data large moves in returns are predicted by consumption volatility, but not by the changes in the consumption level. We show that the model can quantitatively capture these novel features of the data.

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