Learning and asset-price jumps
Publication
, Journal Article
Bansal, R; Shaliastovich, I
Published in: Review of Financial Studies
August 1, 2011
We develop a general equilibrium model in which income and dividends are smooth but asset prices contain large moves (jumps). These large price jumps are triggered by optimal decisions of investors to learn the unobserved state. We show that learning choice is determined by preference parameters and the conditional volatility of income process. An important model prediction is that income volatility predicts future jump periods, while income growth does not. Consistent with the model, large moves in returns in the data are predicted by consumption volatility but not by consumption growth. © 2011 The Authors.
Duke Scholars
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
August 1, 2011
Volume
24
Issue
8
Start / End Page
2738 / 2780
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory
Citation
APA
Chicago
ICMJE
MLA
NLM
Bansal, R., & Shaliastovich, I. (2011). Learning and asset-price jumps. Review of Financial Studies, 24(8), 2738–2780. https://doi.org/10.1093/rfs/hhr023
Bansal, R., and I. Shaliastovich. “Learning and asset-price jumps.” Review of Financial Studies 24, no. 8 (August 1, 2011): 2738–80. https://doi.org/10.1093/rfs/hhr023.
Bansal R, Shaliastovich I. Learning and asset-price jumps. Review of Financial Studies. 2011 Aug 1;24(8):2738–80.
Bansal, R., and I. Shaliastovich. “Learning and asset-price jumps.” Review of Financial Studies, vol. 24, no. 8, Aug. 2011, pp. 2738–80. Scopus, doi:10.1093/rfs/hhr023.
Bansal R, Shaliastovich I. Learning and asset-price jumps. Review of Financial Studies. 2011 Aug 1;24(8):2738–2780.
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
August 1, 2011
Volume
24
Issue
8
Start / End Page
2738 / 2780
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory