Essays about: "Mikael Eidvall"

Found 1 essay containing the words Mikael Eidvall.

  1. 1. Long-run expected consumption and volatility risk, and the cross-section of asset returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Wiksell; Mikael Eidvall; [2013]
    Keywords : asset pricing; expected consumption; cross-section of returns; Long-Run Risk; Consumer Sentiment Index;

    Abstract : This paper builds on the Long-Run Risks Framework in the quest of explaining the true nature of risk that drives asset prices. Instead of modeling expected consumption as in past research, we use the forward-looking Michigan Consumer Sentiment Index to proxy innovations in the agent's beliefs about expected consumption growth. READ MORE