Two trees

被引:89
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
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
收藏
页码:347 / 385
页数:39
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