Valuation risk revalued

DOI10.3982/qe1779OpenAlexW2884921502MaRDI QIDQ6067180

Oliver de Groot, Alexander W. Richter, Nathaniel A. Throckmorton

Publication date: 16 November 2023

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe1779

zbMATH Keywords

asset pricingequity premium puzzlerecursive utilityrisk-free rate puzzle

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Valuation risk revalued ⋮ Asset pricing with time preference shocks: existence and uniqueness

Cites Work

• Stochastic differential utility as the continuous-time limit of recursive utility
• Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
• Stochastic Differential Utility
• Asset Prices in an Exchange Economy
• Uncertainty Shocks in a Model of Effective Demand
• Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
• Uncertainty Shocks in a Model of Effective Demand: Comment
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Bond risk premia in consumption‐based models
• Robustness
• Valuation risk revalued

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