New goods and asset prices

• 成果类型: Article
• 署名作者: Scanlon, Paul
• 署名单位: Trinity College Dublin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.11.006
• 发表日期: 2019
• 页码: 140-157
• 关键词: equity premium; INNOVATION; New product introduction; risk-free rate

摘要

I extend the consumption capital asset pricing model to incorporate expanding product variety over time and states of nature. In the model, consumers have a love of variety, and consumption consists of different components: product groups and brands. By raising future marginal utility, growth in product groups increases the incentive to save and reduces the risk-free rate. By making marginal utility more volatile, variation in brand and quality growth magnifies consumption risk and raises the equity premium. Embedding new goods in a long-run risk setting has similar implications. (C) 2018 Elsevier B.V. All rights reserved.