Two trees

• 成果类型: Article; Proceedings Paper
• 署名作者: Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro
• 署名单位: National Bureau of Economic Research; University of California System; University of California Los Angeles; University of Chicago; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhm059
• 发表日期: 2008
• 页码: 347
• 关键词: asset prices; exchange-rates; returns; MODEL

摘要

We solve a model with two i.i.d. Lucas trees. Although the corresponding one-tree model produces a constant price-dividend ratio and i.i.d. returns, the two-tree model produces interesting asset-pricing dynamics. Investors want to rebalance their portfolios after any change in value. Because the size of the trees is fixed, prices must adjust to offset this desire. As a result, expected returns, excess returns, and return volatility all vary through time. Returns display serial correlation and are predictable from price-dividend ratios. Return volatility differs from cash-flow volatility, and return shocks can occur without news about cash flows.