Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/oxford-university-press/seasonally-varying-preferences-theoretical-foundations-for-an-BqKQAnAFoF
References (0)
References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.
- Publisher
- Oxford University Press
- Copyright
- © The Author 2014. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oup.com
- ISSN
- 2045-9920
- eISSN
- 2045-9939
- DOI
- 10.1093/rapstu/rau002
- Publisher site
- See Article on Publisher Site
Abstract
We investigate an asset pricing model with preferences cycling between high risk aversion and low EIS in fall/winter and the reverse in spring/summer. Calibrating to consumption data and allowing plausible preference parameter values, we produce returns that match observed equity and Treasury returns across the seasons: risky returns are higher and risk-free returns are lower or stable in fall/winter, and they reverse in spring/summer. Further, risky returns vary more than risk-free returns. A novel finding is that both EIS and risk aversion must vary seasonally to match observed returns. Further, the degree of necessary seasonal change in EIS is small. (JEL E44, G11, G12)
Journal
The Review of Asset Pricing Studies – Oxford University Press
Published: Jun 12, 2014