Stock price volatility and equity premium

• 成果类型: Article
• 署名作者: Brennan, MJ; Xia, YH
• 署名单位: University of California System; University of California Los Angeles; University of Pennsylvania
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00042-3
• 发表日期: 2001
• 页码: 249-283
• 关键词: equity premium; volatility; learning

摘要

A dynamic general equilibrium model of stock prices is developed which yields a stock price volatility and equity premium that are close to the historical values. Non-observability of the expected dividend growth rate introduces an element of learning which increases the volatility of stock price. Calibration to the U.S. dividend and consumption processes yield interest rate and stock price processes that conform closely to the styled facts for the U.S, capital market. (C) 2001 Elsevier Science B.V. All rights reserved.