Learning and Asset-price Jumps

• 成果类型: Article
• 署名作者: Bansal, Ravi; Shaliastovich, Ivan
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Duke University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr023
• 发表日期: 2011
• 页码: 2738
• 关键词: long-run; risk premia; consumption; volatility; returns; MARKETS; options; expectations; confidence; portfolio

摘要

We develop a general equilibrium model in which income and dividends are smooth but asset prices contain large moves (jumps). These large price jumps are triggered by optimal decisions of investors to learn the unobserved state. We show that learning choice is determined by preference parameters and the conditional volatility of income process. An important model prediction is that income volatility predicts future jump periods, while income growth does not. Consistent with the model, large moves in returns in the data are predicted by consumption volatility but not by consumption growth. The model quantitatively captures these novel features of the data.