Investment Shocks and Asset Prices

作者: Dimitris Papanikolaou

DOI: 10.1086/662221

关键词:

摘要: I explore the implications for asset prices and macroeconomic dynamics of shocks that improve real investment opportunities thus affect representative household’s marginal utility. These generate differences in risk premia due to their heterogeneous impact on firms: they benefit firms producing relative consumption goods increase value growth existing assets. Using data returns, find a positive shock leads high utility states. A general equilibrium model with matches key features quantities prices.

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