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Creator: Lagos, Ricardo Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 373 Abstract:
I develop an asset-pricing model in which financial assets are valued for their liquidity—the extent to which they are useful in facilitating exchange—as well as for being claims to streams of consumption goods. The implications for average asset returns, the equity-premium puzzle and the risk-free rate puzzle, are explored in a version of the model that nests the work of Mehra and Prescott (1985).
Mot-clé: Equity Premium, Exchange, Risk-Free Rate, Asset Pricing, and Liquidity Assujettir: E52 - Monetary Policy, D42 - Market Structure, Pricing, and Design: Monopoly, and G12 - Asset Pricing; Trading Volume; Bond Interest Rates