Book/Printed Material Cash-flow risk, discount risk, and the value premium

Title

• Cash-flow risk, discount risk, and the value premium

Summary

• "A habit persistence, general equilibrium model with multiple assets matches both the time series properties of the market portfolio and the cross-sectional predictability of returns on price sorted portfolios, the value premium. Consistent with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because of general equilibrium restrictions on the market portfolio. The dynamic nature of the value premium rationalizes why the conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM"--National Bureau of Economic Research web site.

Names

• Santos, Tano
• Veronesi, Pietro
• National Bureau of Economic Research

Created / Published

• Cambridge, MA : National Bureau of Economic Research, c2005.

Headings

• -  Discounted cash flow--Mathematical models
• -  Rate of return--Mathematical models
• -  Stocks--Prices--Mathematical models

Notes

• -  Title from PDF file as viewed on 12/20/2005.
• -  Includes bibliographical references.
• -  Also available in print.
• -  Mode of access: World Wide Web.
• -  System requirements: Adobe Acrobat Reader.

Call Number/Physical Location

• HB1

Digital Id

• https://hdl.loc.gov/loc.gdc/gdcebookspublic.2005705278
• http://papers.nber.org/papers/w11816 External

Library of Congress Control Number

• 2005705278

Access Advisory

• Unrestricted online access

Online Format

• image
• pdf

LCCN Permalink

• https://lccn.loc.gov/2005705278

Additional Metadata Formats

• MARCXML Record
• MODS Record
• Dublin Core Record