Risk premia and term premia in general equilibrium

• 成果类型: Article
• 署名作者: Abel, AB
• 署名单位: University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(98)00039-7
• 发表日期: 1999
• 页码: 3-33
• 关键词: Asset pricing; equity premium; Risk premium; Term premium

摘要

The equity premium consists of a term premium reflecting the longer maturity of equity relative to short-term bills, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on riskless bills. This paper analyzes term premia and risk premia in a general equilibrium model with catching up with the Joneses preferences and a novel formulation of leverage. Closed-form solutions for moments of asset returns are derived. First-order approximations illustrate the effects of parameters and provide an algorithm to match the means and variances of the riskless rate and the rate of return on equity. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: G12.