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Replication data for: Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks

Version
V0
Resource Type
Dataset
Creator
  • Lansing, Kevin J.
Publication Date
2014-12-31
Description
  • Abstract

    This paper develops a production-based asset pricing model with two types of agents and concentrated ownership of physical capital. A temporary but persistent "distribution shock" causes the income share of capital owners to fluctuate in a procyclical manner, consistent with US data. The concentrated ownership model significantly magnifies the equity risk premium relative to a representative-agent model because the capital owners' consumption is more-strongly linked to volatile dividends from equity. With a steady-state risk aversion coefficient around 4, the model delivers an unleveled equity premium of 3.9 percent relative to short-term bonds and a premium of 1.2 percent relative to long-term bonds. (JEL D31, E13, E25, E32, E44, G12)
Availability
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Relations
  • Is supplemented by
    DOI: 10.1257/mac.20110130 (Text)
Publications
  • Lansing, Kevin J. “Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks.” American Economic Journal: Macroeconomics 7, no. 4 (October 2015): 67–103. https://doi.org/10.1257/mac.20110130.
    • ID: 10.1257/mac.20110130 (DOI)

Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Lansing, Kevin J. (2014): Replication data for: Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. http://doi.org/10.3886/E114050