Solving asset pricing models when the price-dividend function is analytic

• 成果类型: Article
• 署名作者: Calin, OL; Chen, Y; Cosimano, TF; Himonas, AA
• 署名单位: Eastern Michigan University; Idaho State University; University of Notre Dame; University of Notre Dame
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/j.1468-0262.2005.00600.x
• 发表日期: 2005
• 页码: 961-982
• 关键词: equity premium; risk-aversion; temporal behavior; consumption; returns; substitution; accuracy; habit

摘要

We present a new method for solving asset pricing models, which yields an analytic price-dividend function of one state variable. To illustrate our method we give a detailed analysis of Abel's asset pricing model. A function is analytic in an open interval if it can be represented as a convergent power series near every point of that interval. In addition to allowing us to solve for the exact equilibrium price-dividend function, the analyticity property also lets us assess the accuracy of any numerical solution procedure used in the asset pricing literature.