  |
|
|
||||
|
||||
Consumption Based Asset Pricing Models: Theory
Fatih Guvenen University of Minnesota - Department of Economics; National Bureau of Economic Research (NBER) Hanno N. Lustig UCLA, Anderson School of Management; National Bureau of Economic Research (NBER) February 2007 Abstract: The essential element in modern asset pricing theory is a positive random variable called the stochastic discount factor (SDF). This object allows one to price any payoff stream. Its existence is implied by the absence of arbitrage opportunities. Consumption-based asset pricing models link the SDF to the marginal utility growth of investors and in turn to observable economic variables|and in doing so, they provide empirical content to asset pricing theory. This entry discusses this class of models.
Keywords: Equity premium puzzle, asset pricing, Consumption-based asset pricing models JEL Classifications: G12 Working Paper SeriesDate posted: March 08, 2007 ; Last revised: January 20, 2008Suggested CitationContact Information
|
|
|||||||||||||||||||||
© 2009 Social Science Electronic Publishing, Inc. All Rights Reserved. Terms of Use Privacy Policy
This page was served by apollo1 in 0.172 seconds.
Download
Facebook
Twitter
Digg
Del.icio.us
CiteULike
