Two trees

被引：91

作者：

Cochrane, John H. ^{[2
]}

Longstaff, Francis A. ^{[1
]}

Santa-Clara, Pedro ^{[1
]}

机构：

[1] Univ Calif Los Angeles, Anderson Sch, NBER, Los Angeles, CA 90095 USA

[2] Univ Chicago, Grad Sch Business, NBER, Chicago, IL 60637 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2008年 / 21卷 / 01期

关键词：

D O I：

10.1093/rfs/hhm059

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We solve a model with two i.i.d. Lucas trees. Although the corresponding one-tree model produces a constant price-dividend ratio and i.i.d. returns, the two-tree model produces interesting asset-pricing dynamics. Investors want to rebalance their portfolios after any change in value. Because the size of the trees is fixed, prices must adjust to offset this desire. As a result, expected returns, excess returns, and return volatility all vary through time. Returns display serial correlation and are predictable from price-dividend ratios. Return volatility differs from cash-flow volatility, and return shocks can occur without news about cash flows.

引用

页码：347 / 385

页数：39

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