Results 121 to 130 of about 293 (163)
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The Private Equity Premium Puzzle Revisited
2011L’auteure applique à une plus longue période la méthode qu’utilisent Moskowitz et Vissing-Jørgensen (2002) pour calculer le rendement des investissements des entrepreneurs américains. En premier lieu, en suivant la même approche qu’eux, elle reproduit les résultats initiaux obtenus à partir de l’enquête sur les finances des consommateurs pour les ...
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The Equity Premium is No Puzzle
SSRN Electronic Journal, 1996We examine the equity premium puzzle with the perspective of the theory of Rational Beliefs Equilibrium (RBE) and show that from the perspective of this theory there is no puzzle. In an RBE agents need to be compensated for the endogenously propagated price uncertainty which is not permitted under rational expectations.
Mordecai Kurz, Andrea Beltratti
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Discounting The Equity Premium Puzzle [PDF]
, 2004 This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to assess whether the existence of a premium is due to an incorrect choice of either the utility function or the ...
Vance Martin +2 more
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Optimal Portfolio and Equity Premium Puzzle
2011 International Conference on Management and Service Science, 2011Portfolio with one risk-free and one risky assets was explored in \cite{BT1995, LO1999, SS2000, Gomes2005, Bassett2004, DGP2008, BG2009, HZ2009} for risk averse investors. Most of them, for example, \cite{BT1995, LO1999, SS2000, Gomes2005, Bassett2004, DGP2008} focus on empirical or numerical studies, except for some optimization problems solved simply
Xianhua Dai, Hong Li
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Can COVID-19 Solve The Equity Premium Puzzle?
SSRN Electronic Journal, 2021We propose a new approach for estimating rare disaster event models where we only use U.S. national consumption data as an alternative to the ubiquitous Barro and Urs´ua’s (2008, 2012) multi-country data set. We find that the 2020 COVID crisis unambiguously reveals the presence and significance of rare disasters in consumption dynamics.
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The Equity Risk Premium and the Equity Premium Puzzle
2016All of finance rests on the proposition that investors dislike risk and demand higher returns as compensation for bearing risk. In behavioral terms, the equity risk premium may be regarded as the additional rate of return that risk-averse investors, as a class, demand in exchange for the burden of bearing volatility and the attendant risk of downside ...
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The Equity Premium Puzzle: A Reconciliation
SSRN Electronic Journal, 2008This paper estimates the risk aversion for households accounting for their lifetime consumption risk. Households view the overall lifetime uninsured consumption risk when they optimize resources, which based on micro data varies across households. Thus, representing households’ consumption by merging cross-sectional micro data into the single Euler ...
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Disaggregation and the equity premium puzzle
Journal of Empirical Finance, 2020Abstract Standard macroeconomic models cannot explain why stocks so greatly outperform bonds. However, this result depends on the use of aggregate consumption data. If markets are incomplete, then a representative agent might not exist and it is necessary to use consumption data at the household rather than aggregate level.
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Another Look at the Equity Risk Premium Puzzle
German Economic Review, 2015Abstract The model of Mehra and Prescott (1985, J. Econometrics, 22, 145-161) implies that reasonable coefficients of risk-aversion of economic agents cannot explain the equity risk premium generated by financial markets. This discrepancy is hitherto regarded as a major financial puzzle.
Bamberg, Günter, Heiden, Sebastian
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Underdiversification puzzle, volatility puzzle and equity premium puzzle: a common solution
Studies in Economics and Finance, 2022Purpose The purpose of this paper is to use some of the contributions of the option pricing theory to solve three outstanding puzzles in finance: the underdiversification puzzle, the volatility puzzle and the equity premium puzzle. Design/methodology/approach To approach the issue, this paper considers the applications of the option pricing theory ...
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