TY - JOUR
A1 - Rodríguez Jiménez, Rosa María
AU - Restoy, Fernando
AU - Peña, Juan Ignacio
T1 - Can output explain the predictability and volatility of stock returns?
Y1 - 2002
SN - 02615606
UR - http://hdl.handle.net/11268/5714
AB - This paper examines whether a general equilibrium asset pricing model can explain two important empirical regularities of asset returns, extensively documented in the literature: (i) returns can be predicted by a set of macro variables, and (ii) returns are very volatile. We derive a closed-form solution for the equilibrium asset pricing model that relates asset returns to output by using an approximate method proposed by Campbell (Am. Econ. Rev. 83 (1993) 487) and Restoy and Weil (W.P. NBER, No. 6611 (1998)). We obtain evidence on eight OECD economies using both quarterly and annual observations. Equilibrium models seem to find fewer difficulties in explaining the volatility of returns than their predictability for general output processes. In the case of the US, the observed predictability and volatility of asset returns, for annual frequencies, are broadly compatible with the predictions of equilibrium models for a reasonable specification of preferences.
KW - Negocios
KW - Finanzas
KW - Economía de mercado
KW - Empresa
KW - Finanzas
KW - Economía de mercado
LA - eng
ER -