{"title":"内生增长与资产价格关系的闭式解法再探讨","authors":"","doi":"10.1016/j.frl.2024.105986","DOIUrl":null,"url":null,"abstract":"<div><p>Endogenous growth models exhibit long-run risks, which are considered a potential explanation of the equity premium puzzle. Unlike previous literature, we use a closed-form solution of a simplified model to make the following contributions. First, we derive a set of conditions for a positive and large equity premium. Second, we match a key driver of endogenous growth, the R&D spending-to-GDP ratio. Third, we include a novel discussion on the role of patent obsolescence. Given that the literature concerns the accuracy of loglinear-lognormal solutions, we solve our model numerically with third-order perturbation. We find additional risk correction due to higher-order terms.</p></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":null,"pages":null},"PeriodicalIF":7.4000,"publicationDate":"2024-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The endogenous growth and asset prices nexus revisited with closed-form solution\",\"authors\":\"\",\"doi\":\"10.1016/j.frl.2024.105986\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Endogenous growth models exhibit long-run risks, which are considered a potential explanation of the equity premium puzzle. Unlike previous literature, we use a closed-form solution of a simplified model to make the following contributions. First, we derive a set of conditions for a positive and large equity premium. Second, we match a key driver of endogenous growth, the R&D spending-to-GDP ratio. Third, we include a novel discussion on the role of patent obsolescence. Given that the literature concerns the accuracy of loglinear-lognormal solutions, we solve our model numerically with third-order perturbation. We find additional risk correction due to higher-order terms.</p></div>\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":7.4000,\"publicationDate\":\"2024-08-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S154461232401016X\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S154461232401016X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The endogenous growth and asset prices nexus revisited with closed-form solution
Endogenous growth models exhibit long-run risks, which are considered a potential explanation of the equity premium puzzle. Unlike previous literature, we use a closed-form solution of a simplified model to make the following contributions. First, we derive a set of conditions for a positive and large equity premium. Second, we match a key driver of endogenous growth, the R&D spending-to-GDP ratio. Third, we include a novel discussion on the role of patent obsolescence. Given that the literature concerns the accuracy of loglinear-lognormal solutions, we solve our model numerically with third-order perturbation. We find additional risk correction due to higher-order terms.
期刊介绍:
Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies.
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