Stock price volatility and equity premium
A dynamic general equilibrium model of stock prices is developed which yields a stock price volatility and equity premium that are close to the historical values. Non-observability of the expected dividend growth rate introduces an element of learning which increases the volatility of stock price. C...
Gespeichert in:
| Veröffentlicht in: | Journal of monetary economics 2001-04, Vol.47 (2), p.249-283 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 283 |
|---|---|
| container_issue | 2 |
| container_start_page | 249 |
| container_title | Journal of monetary economics |
| container_volume | 47 |
| creator | Brennan, Michael J. Xia, Yihong |
| description | A dynamic general equilibrium model of stock prices is developed which yields a stock price volatility and equity premium that are close to the historical values. Non-observability of the expected dividend growth rate introduces an element of learning which increases the volatility of stock price. Calibration to the U.S. dividend and consumption processes yield interest rate and stock price processes that conform closely to the styled facts for the U.S. capital market. |
| doi_str_mv | 10.1016/S0304-3932(01)00042-3 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_38247457</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0304393201000423</els_id><sourcerecordid>74256983</sourcerecordid><originalsourceid>FETCH-LOGICAL-c546t-53896ffe6c61c75ca88de7eb53546d0bd2287b4fc6cf0b6569354c440e54cf8e3</originalsourceid><addsrcrecordid>eNqFkE1LxDAQhoMouH78BGHxIHqo5jvtSWTxE8GDeh666RSjbVOTdmH_vakrHrx4mLwD887L5CHkiNFzRpm-eKaCykwUgp9SdkYplTwTW2TGciMyxgu1TWa_ll2yF-N7MrHC6Bk5ex68_Zj3wVmcr3xTDq5xw3pedtUcP8ep7QO2bmwPyE5dNhEPf3SfvN5cvyzussen2_vF1WNmldRDpkRe6LpGbTWzRtkyzys0uFQijSu6rDjPzVLWVtuaLrXSRRpYKSkmqXMU--Rkk9sH_zliHKB10WLTlB36MYLIuTRSmWQ8_mN892Po0m3AqTKFVFomk9qYbPAxBqwhfbUtwxoYhYkefNODCQ1QBt_0QKS9h81ewB7t7xIitr5D62EFopQmPetUPOFM4qY2VT-pLIDnAt6GNoVdbsIwcVs5DBCtw85i5QLaASrv_jnnCzsrjjQ</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>205794564</pqid></control><display><type>article</type><title>Stock price volatility and equity premium</title><source>RePEc</source><source>Elsevier ScienceDirect Journals</source><creator>Brennan, Michael J. ; Xia, Yihong</creator><creatorcontrib>Brennan, Michael J. ; Xia, Yihong</creatorcontrib><description>A dynamic general equilibrium model of stock prices is developed which yields a stock price volatility and equity premium that are close to the historical values. Non-observability of the expected dividend growth rate introduces an element of learning which increases the volatility of stock price. Calibration to the U.S. dividend and consumption processes yield interest rate and stock price processes that conform closely to the styled facts for the U.S. capital market.</description><identifier>ISSN: 0304-3932</identifier><identifier>EISSN: 1873-1295</identifier><identifier>DOI: 10.1016/S0304-3932(01)00042-3</identifier><identifier>CODEN: JMOEDW</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Capital market ; Economic theory ; Equity capital ; Equity premium ; Growth rates ; Interest rates ; Learning ; Monetary economics ; Stock prices ; Stock returns ; Studies ; Volatility</subject><ispartof>Journal of monetary economics, 2001-04, Vol.47 (2), p.249-283</ispartof><rights>2001 Elsevier Science B.V.</rights><rights>Copyright Elsevier Sequoia S.A. Apr 2001</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c546t-53896ffe6c61c75ca88de7eb53546d0bd2287b4fc6cf0b6569354c440e54cf8e3</citedby><cites>FETCH-LOGICAL-c546t-53896ffe6c61c75ca88de7eb53546d0bd2287b4fc6cf0b6569354c440e54cf8e3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.sciencedirect.com/science/article/pii/S0304393201000423$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3537,3994,27901,27902,65306</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeemoneco/v_3a47_3ay_3a2001_3ai_3a2_3ap_3a249-283.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Brennan, Michael J.</creatorcontrib><creatorcontrib>Xia, Yihong</creatorcontrib><title>Stock price volatility and equity premium</title><title>Journal of monetary economics</title><description>A dynamic general equilibrium model of stock prices is developed which yields a stock price volatility and equity premium that are close to the historical values. Non-observability of the expected dividend growth rate introduces an element of learning which increases the volatility of stock price. Calibration to the U.S. dividend and consumption processes yield interest rate and stock price processes that conform closely to the styled facts for the U.S. capital market.</description><subject>Capital market</subject><subject>Economic theory</subject><subject>Equity capital</subject><subject>Equity premium</subject><subject>Growth rates</subject><subject>Interest rates</subject><subject>Learning</subject><subject>Monetary economics</subject><subject>Stock prices</subject><subject>Stock returns</subject><subject>Studies</subject><subject>Volatility</subject><issn>0304-3932</issn><issn>1873-1295</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2001</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkE1LxDAQhoMouH78BGHxIHqo5jvtSWTxE8GDeh666RSjbVOTdmH_vakrHrx4mLwD887L5CHkiNFzRpm-eKaCykwUgp9SdkYplTwTW2TGciMyxgu1TWa_ll2yF-N7MrHC6Bk5ex68_Zj3wVmcr3xTDq5xw3pedtUcP8ep7QO2bmwPyE5dNhEPf3SfvN5cvyzussen2_vF1WNmldRDpkRe6LpGbTWzRtkyzys0uFQijSu6rDjPzVLWVtuaLrXSRRpYKSkmqXMU--Rkk9sH_zliHKB10WLTlB36MYLIuTRSmWQ8_mN892Po0m3AqTKFVFomk9qYbPAxBqwhfbUtwxoYhYkefNODCQ1QBt_0QKS9h81ewB7t7xIitr5D62EFopQmPetUPOFM4qY2VT-pLIDnAt6GNoVdbsIwcVs5DBCtw85i5QLaASrv_jnnCzsrjjQ</recordid><startdate>20010401</startdate><enddate>20010401</enddate><creator>Brennan, Michael J.</creator><creator>Xia, Yihong</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20010401</creationdate><title>Stock price volatility and equity premium</title><author>Brennan, Michael J. ; Xia, Yihong</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c546t-53896ffe6c61c75ca88de7eb53546d0bd2287b4fc6cf0b6569354c440e54cf8e3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2001</creationdate><topic>Capital market</topic><topic>Economic theory</topic><topic>Equity capital</topic><topic>Equity premium</topic><topic>Growth rates</topic><topic>Interest rates</topic><topic>Learning</topic><topic>Monetary economics</topic><topic>Stock prices</topic><topic>Stock returns</topic><topic>Studies</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Brennan, Michael J.</creatorcontrib><creatorcontrib>Xia, Yihong</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of monetary economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Brennan, Michael J.</au><au>Xia, Yihong</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Stock price volatility and equity premium</atitle><jtitle>Journal of monetary economics</jtitle><date>2001-04-01</date><risdate>2001</risdate><volume>47</volume><issue>2</issue><spage>249</spage><epage>283</epage><pages>249-283</pages><issn>0304-3932</issn><eissn>1873-1295</eissn><coden>JMOEDW</coden><abstract>A dynamic general equilibrium model of stock prices is developed which yields a stock price volatility and equity premium that are close to the historical values. Non-observability of the expected dividend growth rate introduces an element of learning which increases the volatility of stock price. Calibration to the U.S. dividend and consumption processes yield interest rate and stock price processes that conform closely to the styled facts for the U.S. capital market.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/S0304-3932(01)00042-3</doi><tpages>35</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0304-3932 |
| ispartof | Journal of monetary economics, 2001-04, Vol.47 (2), p.249-283 |
| issn | 0304-3932 1873-1295 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38247457 |
| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | Capital market Economic theory Equity capital Equity premium Growth rates Interest rates Learning Monetary economics Stock prices Stock returns Studies Volatility |
| title | Stock price volatility and equity premium |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-10T01%3A23%3A51IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Stock%20price%20volatility%20and%20equity%20premium&rft.jtitle=Journal%20of%20monetary%20economics&rft.au=Brennan,%20Michael%20J.&rft.date=2001-04-01&rft.volume=47&rft.issue=2&rft.spage=249&rft.epage=283&rft.pages=249-283&rft.issn=0304-3932&rft.eissn=1873-1295&rft.coden=JMOEDW&rft_id=info:doi/10.1016/S0304-3932(01)00042-3&rft_dat=%3Cproquest_cross%3E74256983%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=205794564&rft_id=info:pmid/&rft_els_id=S0304393201000423&rfr_iscdi=true |