Recursive preferences, long-run risks, and stock valuation [r-libre/1666]

Bergeron, Claude (2019). Recursive preferences, long-run risks, and stock valuation. Economics Bulletin, 39 (2), 996-1004.

Fichier(s) associé(s) à ce document :

PDF - pRLibreEB2019Vol39(2)PP996-1004.pdf
Contenu du fichier : Version de l'éditeur

Catégorie de document :	Articles de revues
Évaluation par un comité de lecture :	Oui
Étape de publication :	Publié
Résumé :	In this note, we develop a stock valuation model with recursive preferences and long-run risks. The model is based on the Epstein and Zin (1989, 1991) and Weil (1989) recursive utility framework. Our main result indicates that the intrinsic value of a stock is negatively related to (i) the long-run covariance between dividends and aggregate consumption, and (ii) the long-run covariance between dividends and market returns. This theoretical finding suggests that the sensitivity of dividends to market returns and aggregate consumption affects the long-run risk of a firm and its equity value.
Adresse de la version officielle :	http://www.accessecon.com/pubs/eb/default.aspx?pag...
Déposant:	Bergeron, Claude
Responsable :	Claude Bergeron
Dépôt :	08 mai 2019 13:31
Dernière modification :	08 mai 2019 13:31

RÉVISER