Cash Flow and Risk Premium Dynamics in an Equilibrium Asset Pricing Model with Recursive Preferences∗

  • Taeyoung Doh, Shu Wu
  • Published 2015

Abstract

Under linear approximations for asset prices and the assumption of independence between expected consumption growth and time-varying volatility, long-run risks models imply constant market prices of risks and often generate counterfactual results about asset return and cash flow predictability. We develop and estimate a nonlinear equilibrium asset pricing… (More)

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Cite this paper

@inproceedings{Doh2015CashFA, title={Cash Flow and Risk Premium Dynamics in an Equilibrium Asset Pricing Model with Recursive Preferences∗}, author={Taeyoung Doh and Shu Wu}, year={2015} }