The Time Series of the Cross Section of Asset Prices

65 Pages Posted: 20 Sep 2002 Last revised: 29 Oct 2010

See all articles by Lior Menzly

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)

Multiple version iconThere are 2 versions of this paper

Date Written: September 2002

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.

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: https://ssrn.com/abstract=332261

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)

London
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 - Uris Hall
Room 815
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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
34
Abstract Views
1,049
PlumX Metrics