Asset Pricing in the Frequency Domain: Theory and Empirics

• 成果类型: Article
• 署名作者: Dew-Becker, Ian; Giglio, Stefano
• 署名单位: Northwestern University; University of Chicago; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw027
• 发表日期: 2016
• 页码: 2029
• 关键词: Long-run risks; Consumption risk; habit formation; cross-section; RESOLUTION; prices; MODEL; macroeconomy; expectations; equilibrium

摘要

We quantify investors' preferences over the dynamics of shocks by deriving frequency-specific risk prices that capture the price of risk of consumption fluctuations at each frequency. The frequency-specific risk prices are derived analytically for leading models. The decomposition helps measure the importance of economic fluctuations at different frequencies. We precisely quantify the meaning of long-run in the context of Epstein-Zin preferences - centuries - and measure the exact relevance of business-cycle fluctuations. Finally, we estimate frequency-specific risk prices and show that cycles longer than the business cycle - long-run risks - are significantly priced in the equity market.