期刊
ANNALS OF FINANCIAL ECONOMICS
卷 10, 期 2, 页码 -出版社
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S2010495215500141
关键词
Dividends; equity premium puzzle; habit formation; risk-free rate puzzle
类别
This paper extends Longstaff and Piazzesi (2004, Journal of Financial Economics, 74, 401-421.) to a habit formation model. By combining corporate fraction ratio, and surplus consumption ratio, we derive closed-form solutions for stock values when dividends, habit ratio and consumption follow exponential affine jump-diffusion processes. We can prove that Longstaff and Piazzesi (2004) is only a special case of our model. In addition, calibrated results show that the corporate fraction and habit ratio to shocks significantly increases the equity premium and decreases the risk-free rate. The model determines realistic values for the equity premium and the risk-free rate.
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