Asset Return Dynamics under Bad Environment Good Environment Fundamentals

首页 >教授/研究>学术活动

发布时间：2013-05-24

Topic:

Asset Return Dynamics under Bad Environment Good Environment Fundamentals

Time:

星期四,2013-05-24 10:30-12:00

Venue:

Room 505, Datong Building West Huaihai Road 211, SAIF

Speaker:

Geert Bekaert

Asset Return Dynamics under Bad Environment Good Environment Fundamentals

We introduce a “bad environment-good environment (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of fundamentals, and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk free rate. BEGE dynamics are essential for the model to generate realistic features of the “risk-neutral” conditional density of equity returns, including the variance premium.

学术活动

more >>

04.23

2025

The Dual Impact of Generative Artificial Intelligence on Corporate Employment and Valuations

04.18

2025

Can Nonprofits Save Lives Under Financial Stress? Evidence from the Hospital Industry

04.16

2025

Diffused Errors along Technology Spillovers: Evidence from the 510(k) Medical Device Market

04.11

2025

Long-Term Securities and Banking Crises

期刊论文

more >>

Volatility Ambiguity, Portfolio Choice and Equilibrium Asset Pricing. Management Science, 2024. Torpedo Your Competition: Strategic Reporting and Peer Firm IPO. The Accounting Review, 2024, 99.