Abstract

http://ssrn.com/abstract=332261
 
 

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The Time Series of the Cross Section of Asset Prices


Lior Menzly


University of Chicago - Booth School of Business

Pietro Veronesi


University of Chicago - Booth School of Business; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Tano Santos


Columbia Business School; National Bureau of Economic Research (NBER)

September 2002

NBER Working Paper No. w9217

Abstract:     
In this paper we propose a general equilibrium model that successfully reproduces the historical experience of the cross section of US stock prices as well as the realized history of the market portfolio. The model achieves this while addressing traditional concerns in the asset pricing literature: A high equity premium and volatility of returns, the long horizon predictability, and a low volatility of the risk free rate. The model combines a rich payoff structure with a habit persistence discount factor, which allows us to identify the effect on prices of idiosyncratic cash flow shocks versus business cycle components.

Number of Pages in PDF File: 65

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Date posted: September 20, 2002  

Suggested Citation

Menzly, Lior and Veronesi, Pietro and Santos, Tano, The Time Series of the Cross Section of Asset Prices (September 2002). NBER Working Paper No. w9217. Available at SSRN: http://ssrn.com/abstract=332261

Contact Information

Lior Menzly
University of Chicago - Booth School of Business ( email )
1101 East 58th Street
c/o PhD Office
Chicago, IL 60637
United States
(773) 702-7420 (Phone)
(773) 702-5257 (Fax)
Pietro Veronesi
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-6348 (Phone)
773-702-0458 (Fax)
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Tano Santos (Contact Author)
Columbia Business School ( email )
3022 Broadway
New York, NY 10027
United States
212-854-0489 (Phone)
212-316-9180 (Fax)

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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