Asset pricing with free entry and exit of firms

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Asset pricing with free entry and exit of firms

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Asset pricing with free entry and exit of firms

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Economics Letters

ISSN

0165-1765

e-ISSN

1873-7374

Svazek periodika

217

Číslo periodika v rámci svazku

August

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

5

Strana od-do

110648

Kód UT WoS článku

000832769200008

EID výsledku v databázi Scopus

2-s2.0-85132385434