Consumption strikes back?
Subtitle: measuring long-run risk
By: Lars Peter Hansen, John Heaton, Nan Li.
Contributors: Heaton, John.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11476; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11476.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Risk.; Rate of return.; Cash flow.
Description: "We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed to fluctuations in macroeconomic growth.  This tradeoff features components of financial cash flows that are only realized far into the future but are still reflected in current asset values.  We use the recursive utility model with empirical inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate securities and in portfolios constructed based on the ratio of book equity to market equity.  Finally, we explore the resulting measurement challenges and the implied sensitivity to alternative specifications of stochastic growth"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.