Asset pricing with free entry and exit of firms
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F22%3A43921583" target="_blank" >RIV/62156489:43110/22:43921583 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1016/j.econlet.2022.110648" target="_blank" >https://doi.org/10.1016/j.econlet.2022.110648</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econlet.2022.110648" target="_blank" >10.1016/j.econlet.2022.110648</a>
Alternative languages
Result language
angličtina
Original language name
Asset pricing with free entry and exit of firms
Original language description
We study the asset-pricing implications of changes in the variety of consumption goods which happens through free entry and exit of firms. Fluctuations in varieties drive a wedge between the measured and model-based (including variety growth) consumer price index making the pricing kernel as well as asset prices more volatile without driving up the volatility of consumption growth. Different from earlier endowment economy models of variety growth our model contains production which (i) generates the correlations important for the explanation of the high mean and volatility of equity premium endogenously, and (ii) leads to an increase of about 140 basis points in the risk-premia relative to the endowment model.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Economics Letters
ISSN
0165-1765
e-ISSN
1873-7374
Volume of the periodical
217
Issue of the periodical within the volume
August
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
5
Pages from-to
110648
UT code for WoS article
000832769200008
EID of the result in the Scopus database
2-s2.0-85132385434