Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "10423"
  #_source: array:26 [
    "id" => "10423"
    "slug" => "generalized-disappointment-aversion-long-run-volatility-risk-and-asset-prices"
    "yearMonth" => "2011-01"
    "year" => "2011"
    "title" => "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices"
    "description" => "BONOMO, M., GARCIA, R., MEDDAHI, N. et TÉDONGAP, R. (2011). Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices. <i>Review of Financial Studies</i>, 24(1), pp. 82-122."
    "authors" => array:4 [
      0 => array:3 [
        "name" => "TÉDONGAP Roméo"
        "bid" => "B00693411"
        "slug" => "tedongap-romeo"
      ]
      1 => array:1 [
        "name" => "BONOMO Marco"
      ]
      2 => array:1 [
        "name" => "GARCIA René"
      ]
      3 => array:1 [
        "name" => "MEDDAHI Nour"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2021-07-13 14:31:34"
    "publicationUrl" => "http://rfs.oxfordjournals.org/content/24/1/82.abstract"
    "publicationInfo" => array:3 [
      "pages" => "82-122"
      "volume" => "24"
      "number" => "1"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of price-dividend ratios and asset returns as well as return predictability patterns in line with the data. Compared to Bansal and Yaron (2004), we generate (i) more predictability of excess returns by price-dividend ratios; (ii) less predictability of consumption growth rates by price-dividend ratios. Our results do not depend on a value of the elasticity of intertemporal substitution greater than one. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press."
      "en" => "We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of price-dividend ratios and asset returns as well as return predictability patterns in line with the data. Compared to Bansal and Yaron (2004), we generate (i) more predictability of excess returns by price-dividend ratios; (ii) less predictability of consumption growth rates by price-dividend ratios. Our results do not depend on a value of the elasticity of intertemporal substitution greater than one. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-03T16:21:42.000Z"
    "docTitle" => "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/tedongap-romeo">TÉDONGAP Roméo</a>, BONOMO Marco, GARCIA René, MEDDAHI Nour"
    "docDescription" => "<span class="document-property-authors">TÉDONGAP Roméo, BONOMO Marco, GARCIA René, MEDDAHI Nour</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2011</span>"
    "keywordList" => ""
    "docPreview" => "<b>Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices</b><br><span>2011-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="http://rfs.oxfordjournals.org/content/24/1/82.abstract" target="_blank">Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.687442
  +"parent": null
}