Sökning: "Johan Wiksell"

Hittade 1 uppsats innehållade orden Johan Wiksell.

  1. 1. Long-run expected consumption and volatility risk, and the cross-section of asset returns

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Johan Wiksell; Mikael Eidvall; [2013]
    Nyckelord :asset pricing; expected consumption; cross-section of returns; Long-Run Risk; Consumer Sentiment Index;

    Sammanfattning : This paper builds on the Long-Run Risks Framework in the quest of explaining the true nature of risk that drives asset prices. Instead of modeling expected consumption as in past research, we use the forward-looking Michigan Consumer Sentiment Index to proxy innovations in the agent's beliefs about expected consumption growth. LÄS MER