MARC Record from Library of Congress

LEADER: 01999nam a22003017a 4500
001 2006619060
003 DLC
005 20060523151742.0
007 cr |||||||||||
008 060523s2006 mau sb 000 0 eng
010 $a 2006619060
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aBekaert, Geert.
245 10 $aStock and bond returns with moody investors$h[electronic resource] /$cGeert Bekaert, Eric Engstrom, Steven R. Grenadier.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2006.
490 1 $aNBER working paper series ;$vworking paper 12247
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 5/23/2006.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily calculated. After estimating the parameters of the model by the general method of moments, we investigate a series of classic puzzles of the empirical asset pricing literature. In particular, our model is shown to jointly accommodate the mean and volatility of equity and long term bond risk premia as well as salient features of the nominal short rate, the dividend yield, and the term spread. Also, the model matches the evidence for predictability of excess stock and bond returns. However, the stock-bond return correlation implied by the model is somewhat higher than in the data"--National Bureau of Economic Research web site.
700 1 $aEngstrom, Eric
700 1 $aGrenadier, Steven R.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 12247.
856 40 $uhttp://papers.nber.org/papers/w12247