Article2010

Information Quality and Long‐Run Risk: Asset Pricing Implications

159 citations0/0 files storedThe Journal of Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

Abstract

ABSTRACT I study the asset pricing implications of the quality of public information about persistent productivity shocks in a general equilibrium model with Kreps–Porteus preferences. Low information quality is associated with a high equity premium, a low volatility of consumption growth, and a low volatility of the risk‐free interest rate. The relationship between information quality and the equity premium differs from that in endowment economies. My calibration improves substantially upon the Bansal–Yaron model in terms of the moments of the wealth–consumption ratio and the return on aggregate wealth.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 159 citations exist upstream.

References

1973An Intertemporal Capital Asset Pricing Model 1971Optimum consumption and portfolio rules in a continuous-time model 1985The equity premium: A puzzle 1978Asset Prices in an Exchange Economy 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1993Dynamic Asset Pricing Theory.

Cited by

2016Parameter Learning in General Equilibrium: The Asset Pricing Implications 2012Asset Pricing in Production Economies with Extrapolative Expectations 2014Investor Information, Long-Run Risk, and the Term Structure of Equity 2012Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital 2012Fiscal Policies and Asset Prices 2015Learning about Consumption Dynamics

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.