search query: @indexterm Heteroscedasticity / total: 30
reference: 2 / 30
Author: | Bekaert, G. Engstrom, E. Xing, Y. |
Title: | Risk, uncertainty, and asset prices |
Journal: | Journal of Financial Economics
2009 : JAN, VOL. 91:1, p. 59-82 |
Index terms: | models equities uncertainty risk aversion volatility heteroscedasticity |
Freeterms: | term structure time variation |
Language: | eng |
Abstract: | This study identifies the relative importance of changes in the conditional variance of fundamentals (called "uncertainty") and changes in risk aversion in the determination of the term structure, equity prices, and risk premiums. Theoretically, persistent time-varying uncertainty about the fundamentals in an external habit model is introduced. The model matches the dynamics of dividend and consumption growth, incl. volatility dynamics and many asset market phenomena. While the variation in priceĀdividend ratios and the equity risk premium is primarily driven by risk aversion, uncertainty plays a large role in the term structure etc. |
SCIMA