skip to content
Valuation risk and asset pricing Preview this item
ClosePreview this item
Checking...

Valuation risk and asset pricing

Author: Rui Albuquerque; Martin S Eichenbaum; Sergio Rebelo; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2012.
Series: Working paper series (National Bureau of Economic Research), no. 18617.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Standard representative-agent models have difficulty in accounting for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing underlies virtually all modern asset-pricing puzzles. The correlation puzzle arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Rui Albuquerque; Martin S Eichenbaum; Sergio Rebelo; National Bureau of Economic Research.
OCLC Number: 821869977
Notes: Title from http://www.nber.org/papers/18617 viewed December 18, 2012.
"December 2012."
Description: 1 online resource (51 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 18617.
Responsibility: Rui Albuquerque, Martin S. Eichenbaum, Sergio Rebelo.

Abstract:

Standard representative-agent models have difficulty in accounting for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing underlies virtually all modern asset-pricing puzzles. The correlation puzzle arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/821869977> # Valuation risk and asset pricing
    a schema:Book, schema:CreativeWork, schema:MediaObject ;
   library:oclcnum "821869977" ;
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/1189956941#Place/cambridge_mass> ; # Cambridge, Mass.
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/mau> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/1189956941#Topic/corporations_valuation_united_states_econometric_models> ; # Corporations--Valuation--United States--Econometric models
   schema:about <http://experiment.worldcat.org/entity/work/data/1189956941#Topic/assets_accounting_econometric_models> ; # Assets (Accounting)--Econometric models
   schema:about <http://id.worldcat.org/fast/879966> ; # Corporations--Valuation--Econometric models
   schema:about <http://id.worldcat.org/fast/1204155> ; # United States.
   schema:about <http://id.worldcat.org/fast/819067> ; # Assets (Accounting)--Econometric models
   schema:bookFormat schema:EBook ;
   schema:contributor <http://viaf.org/viaf/27225864> ; # Sergio Rebelo
   schema:contributor <http://viaf.org/viaf/135446122> ; # National Bureau of Economic Research.
   schema:contributor <http://viaf.org/viaf/45352522> ; # Martin S. Eichenbaum
   schema:copyrightYear "2012" ;
   schema:creator <http://viaf.org/viaf/13374075> ; # Rui Albuquerque
   schema:datePublished "2012" ;
   schema:description "Standard representative-agent models have difficulty in accounting for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing underlies virtually all modern asset-pricing puzzles. The correlation puzzle arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/1189956941> ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/1189956941#Series/nber_working_paper_series> ; # NBER working paper series ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/1189956941#Series/working_paper_series_national_bureau_of_economic_research> ; # Working paper series (National Bureau of Economic Research) ;
   schema:name "Valuation risk and asset pricing"@en ;
   schema:productID "821869977" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/821869977#PublicationEvent/cambridge_mass_national_bureau_of_economic_research_2012> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/1189956941#Agent/national_bureau_of_economic_research> ; # National Bureau of Economic Research
   schema:url <http://papers.nber.org/papers/18617> ;
   schema:url <http://papers.nber.org/papers/w18617> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/821869977> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/1189956941#Agent/national_bureau_of_economic_research> # National Bureau of Economic Research
    a bgn:Agent ;
   schema:name "National Bureau of Economic Research" ;
    .

<http://experiment.worldcat.org/entity/work/data/1189956941#Place/cambridge_mass> # Cambridge, Mass.
    a schema:Place ;
   schema:name "Cambridge, Mass." ;
    .

<http://experiment.worldcat.org/entity/work/data/1189956941#Series/nber_working_paper_series> # NBER working paper series ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/821869977> ; # Valuation risk and asset pricing
   schema:name "NBER working paper series ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/1189956941#Series/working_paper_series_national_bureau_of_economic_research> # Working paper series (National Bureau of Economic Research) ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/821869977> ; # Valuation risk and asset pricing
   schema:name "Working paper series (National Bureau of Economic Research) ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/1189956941#Topic/corporations_valuation_united_states_econometric_models> # Corporations--Valuation--United States--Econometric models
    a schema:Intangible ;
   schema:hasPart <http://id.loc.gov/authorities/subjects/sh2009121937> ;
   schema:name "Corporations--Valuation--United States--Econometric models"@en ;
    .

<http://id.worldcat.org/fast/1204155> # United States.
    a schema:Place ;
   schema:name "United States." ;
    .

<http://id.worldcat.org/fast/819067> # Assets (Accounting)--Econometric models
    a schema:Intangible ;
   schema:name "Assets (Accounting)--Econometric models"@en ;
    .

<http://id.worldcat.org/fast/879966> # Corporations--Valuation--Econometric models
    a schema:Intangible ;
   schema:name "Corporations--Valuation--Econometric models"@en ;
    .

<http://viaf.org/viaf/13374075> # Rui Albuquerque
    a schema:Person ;
   schema:familyName "Albuquerque" ;
   schema:givenName "Rui" ;
   schema:name "Rui Albuquerque" ;
    .

<http://viaf.org/viaf/135446122> # National Bureau of Economic Research.
    a schema:Organization ;
   schema:name "National Bureau of Economic Research." ;
    .

<http://viaf.org/viaf/27225864> # Sergio Rebelo
    a schema:Person ;
   schema:familyName "Rebelo" ;
   schema:givenName "Sergio" ;
   schema:name "Sergio Rebelo" ;
    .

<http://viaf.org/viaf/45352522> # Martin S. Eichenbaum
    a schema:Person ;
   schema:familyName "Eichenbaum" ;
   schema:givenName "Martin S." ;
   schema:name "Martin S. Eichenbaum" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.