haku: @author Naik, V. / yhteensä: 2
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| Tekijä: | Naik, V. |
| Otsikko: | Asset prices in dynamic production economies with time-varying risk |
| Lehti: | Review of Financial Studies
1994 : WINTER, VOL. 7:4, p. 781-802 |
| Asiasana: | RISK PRODUCTION ASSETS |
| Kieli: | eng |
| Tiivistelmä: | The author examines the effect of changes in output uncertainty on the price of aggregate capital and on the prices of levered claims on capital. The relation between the volatility of the marginal product of capital and the price of capital depends on the level of capital adjustment costs and the elasticity of intertemporal substitution. For available estimates of this elasticity, the value of capital and risk are directly related while the value of levered equity claims on capital may be decreasing in risk. |
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