Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
|
Material Type |
Article
|
Author(s) |
WACHTER, JESSICA A (Author)
|
Source Journal Info. |
Title:
The Journal of Finance
|
|
Volume/ Issue No.: 2013/JUN V.68 N.3
Call No.:332.05 JFI Location: Periodicals & References Hall - 2nd floor
|
Physical Description |
p897-1036
|
Subject Area/ Descriptors |
Economics
(9033)
|
|
|
Abstract |
Why is the equity premium so high, and why are stocks so volatile? Why are stock returns in excess of government bill rates predictable? This paper proposes an answer to these questions based on a time-varying probability of a consumption disaster. In the model,...
Full Abstract
|
| More Articles from:
Journal:
The Journal of Finance
(268)
Issu: 2013/JUN V.68 N.3
|
|
|
|
|