Tesis de maestría
Asset pricing under habit formation and disaster risk
Registro en:
156472.pdf
Autor
Kassack Gallardo, Juan Julio
Resumen
I modify the Campbell and Cochrane (1999) by adding disaster risk from Barro (2006). Through a numerical solution I find that adding disaster risk improves the (Campbell and Cochrane, 1999) equity premium estimation with a more reasonable level of surplus consumption. The drawback is an overstated risk-free rate.