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SUMMARY:Asset Return Dynamics under Bad Environment-Good Environment Funda
 mentals
DTSTART:20140527T103000
DTEND:20140527T120000
DTSTAMP:20260407T125905Z
UID:99de21df7d682eb317c0bc9c79e817ea05522f695ca5a9eab89ca7ed
CATEGORIES:Conferences - Seminars
DESCRIPTION:Geert BEKAERT (Columbia Business School)\nWe introduce a “ba
 d environment-good environment” technology for consumption growth in a c
 onsumption-based asset pricing model. Using the preference structure from 
 Campbell and Cochrane (1999)\, the model generates realistic non-Gaussian 
 features of fundamentals while still permitting closed-form solutions for 
 asset prices. The model not only fits standard salient asset prices featur
 es including means and volatilities for equity returns and risk free rates
 \, but also generates realistic features of the “risk-neutral” conditi
 onal density of equity returns\, including the variance premium.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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