Risk premia and variance bounds

被引：16

作者：

Balduzzi, P ^{[1
]}

Kallal, H ^{[1
]}

机构：

[1] SALOMON BROTHERS, NEW YORK, NY 10048 USA

来源：

JOURNAL OF FINANCE | 1997年 / 52卷 / 05期

关键词：

D O I：

10.1111/j.1540-6261.1997.tb02746.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

If a pricing kernel assigns a premium to a risk variable that differs from the one assigned by the minimum-variance admissible kernel, then the pricing kernel must exhibit more variability than the minimum-variance kernel. Based on this intuition, we derive a variance bound that is more stringent than that of Hansen and Jagannathan (1991). When we apply our bound to the kernel of a representative consumer with power utility, we find that the consumption risk premium increases the severity of the ''equity-premium puzzle'' of Mehra and Prescott (1985).

引用

页码：1913 / 1949

页数：37

共 28 条

[1]

ABEL AB, 1990, AM ECON REV, V80, P38

[2] JOINT ESTIMATION OF FACTOR SENSITIVITIES AND RISK PREMIA FOR THE ARBITRAGE PRICING THEORY [J].