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

• Main Authors: Chen, Zhanhui, Yang, Bowen
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2021
• Subjects: Business::Finance; Time-preference Shocks; Longevity Risk
• Online Access: https://hdl.handle.net/10356/151681
• Institution: Nanyang Technological University

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...