Data di Pubblicazione:
2020
Abstract:
This paper studies the impact of information processing and rational learning about economic fundamentals on the level and timing of risk premium in the cross-section of firms. Learning helps explain the level of the value premium, and why the term structure of risk premium is increasing for value firms and decreasing for growth firms. Moreover, learning yields an upward-sloping term structure of interest rates and a downward-sloping term structure of market risk premium, whereas the full information economy predicts the opposite shapes. Therefore, rational learning helps understand the level and timing of expected returns observed in the cross-section of risky and risk-free assets.
Tipologia CRIS:
02A-Contributo in volume
Elenco autori:
Michael Hasler; Mariana Khapko; Roberto Marfe'
Link alla scheda completa:
Titolo del libro:
Carlo Alberto Notebooks
Pubblicato in: