In search of preference shock risks : evidence from longevity risks and momentum profits

• المؤلفون الرئيسيون: Chen, Zhanhui, Yang, Bowen
• مؤلفون آخرون: Nanyang Business School
• التنسيق: مقال
• اللغة: English
• منشور في: 2021
• الموضوعات: Business::Finance; Time-preference Shocks; Longevity Risk
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/151681

Time-preference shocks affect agents’ preferences for assets with different durations. We consider longevity risk as a source of time-preference shocks and model it in the recursive preferences setting. This implies a consumption-based three-factor model, including longevity risk, consumption growth...