TY  - JOUR
AU  - Kandel,Shmuel
AU  - Stambaugh,Robert F.
TI  - Asset Returns and Intertemporal Preferences
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3633
PY  - 1991
Y2  - February 1991
UR  - http://www.nber.org/papers/w3633
L1  - http://www.nber.org/papers/w3633.pdf
N1  - Author contact info:
Robert F. Stambaugh
Finance Department
The Wharton School
University of Pennsylvania
Philadelphia, PA   19104-6367
Tel: 215/898-5734
Fax: 215/898-6200
E-Mail: stambaugh@wharton.upenn.edu
AB  - A representative-agent model with time-varying moments of consumption growth is used to analyze implications about means and volatilities of asset returns as well as the predictability of asset returns for various investment horizons. A comparative-statics analysis using non-expected-utility preferences indicates that, although risk aversion is important in determining the means of both equity returns and interest rates, implications about the volatility and the predictability of equity returns are affected primarily by intertemporal substitution. Lower elasticities of intertemporal substitution are associated with greater variance in the temporary component of equity prices.
ER  -