State Dependence and the Term Structures of Risk Premia

狀態依賴性與風險溢價的期限結構

Student thesis: Doctoral Thesis

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Award date22 Jun 2022

Abstract

This thesis proposes a class of time-separable and state-dependent preferences for asset pricing. In conjunction with the affine structure of the joint dynamics of state variables, aggregate consumption and dividend, an equilibrium model with these preferences yields closed-form solutions of bonds and dividend strips. This model can explain the term structures of equity and bond while maintaining the critical time-series properties of equity returns. It can also match the empirical facts on the yields and Sharpe ratios for dividend strips and bonds. The model’s hump-shaped term structure of equity premia explains the profitability and value premia.