English, Article, Journal or magazine article edition: Rischio di lungo periodo e premio a termine Giorgio PIZZUTTO

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Bookmark: http://trove.nla.gov.au/version/58322
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Rischio di lungo periodo e premio a termine
Author
  • Giorgio PIZZUTTO
Physical Description
  • preprint
Notes
  • Abstract: Standard theoretical model cannot generate positive and large real bond risk premium under power utility preferences. Following recent developments in equity premium literature we explore bond premium in a long run risk environment with generalized isoleastic preferences. This approach explains equity premium puzzle, but it fails to fit real bond prices and returns. Term premium is negative even if we model exogenous consumption growth with a persistent component and time-varying volatility
  • Asset pricing, long run risk, bond premium puzzle
  • RePEc:mil:wpdepa:2008-03
Language
  • English
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