Equilibrium Predictability And Other Return Characteristics

@inproceedings{Hore2008EquilibriumPA,
  title={Equilibrium Predictability And Other Return Characteristics},
  author={Satadru Hore},
  year={2008}
}
  • Satadru Hore
  • Published 2008
I derive equilibrium predictability results in a Bansal and Yaron (2004) one channel economy under Duffie-Epstein preferences. The dynamic properties of my model are delivered by a single persistant growth rate that serves as a common trend in aggregate consumption and dividend growth and it induces long-run risk for agents with DE preferences. The key results are delivered by an endogenously determined price-dividend ratio that is no longer exponentially affine, and as such can produce… CONTINUE READING

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