A Revealed Preference Analysis of Asset Pricing Under Recursive Utility / Larry G. Epstein, Angelo Melino.

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Epstein, Larry G

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w4524.Publication details: Cambridge, Mass. National Bureau of Economic Research 1993.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: This paper considers a representative agent model of asset prices based on a recursive utility specification. A constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by qualitative, nonparametric regularity conditions. The principal contribution is to determine the exhaustive implications of this semiparametric recursive utility model for the one-step ahead joint probability distribution for consumption growth and asset returns.

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Working Paper	Biblioteca Digital	Colección NBER	nber w4524 (Browse shelf(Opens below))	Not For Loan

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Previous	nber w4521 The Economic Reality of the Beauty Myth /	nber w4522 Currency Option Pricing in Credible Target Zones /	nber w4523 Growth and the Effects of Inflation /	nber w4524 A Revealed Preference Analysis of Asset Pricing Under Recursive Utility /	nber w4525 On the Optimal Taxation of Capital Income /	nber w4526 Entrepreneurial Decisions and Liquidity Constraints /	nber w4527 Endogenous Innovation in the Theory of Growth /	Next

November 1993.

This paper considers a representative agent model of asset prices based on a recursive utility specification. A constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by qualitative, nonparametric regularity conditions. The principal contribution is to determine the exhaustive implications of this semiparametric recursive utility model for the one-step ahead joint probability distribution for consumption growth and asset returns.