Results 11 to 20 of about 33,816 (196)
Preference for consumption predictability and the equity premium puzzle
International Review of Economics & FinanceThis paper provides a solution to the equity premium puzzle. We modify the standard constant relative risk aversion utility function by assuming that the representative consumer also has a preference for consumption predictability.
Steven P. Cassou, Jesús Vázquez
doaj +2 more sources
The Equity Premium Puzzle and the Riskfree Rate Puzzle [PDF]
Journal of Monetary Economics, 1989 This paper studies the implications for general equilibrium asset pricing of a recently introduced class of Kreps-Porteus non-expected utility preferences, which is characterized by a constant intertemporal elasticity of substitution and a constant, but ...
Philippe Weil
core +7 more sources
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
Esfandiar Maasoumi +2 more
core +1 more source
The equity premium puzzle and emotional asset pricing [PDF]
International Journal of Theoretical and Applied Finance, 2007 Since the equity premium as well as the risk-free rate puzzle question the concepts central to financial and economic modeling, we apply behavioral decision theory to asset pricing in view of solving these puzzles. U.S.
Gürtler, Marc, Hartmann, Nora
core +6 more sources
Solution to the Equity Premium Puzzle [PDF]
SSRN Electronic Journal, 2020 This study provides the solution to the equity premium puzzle. The new model was developed by including the behavior of investors toward risk in financial markets in prior studies. The calculations of this newly tested model show that the value of the coefficient of relative risk aversion is 1.033526 by assuming the value of the subjective time ...
openaire +2 more sources
The 6D Bias and the Equity-Premium Puzzle [PDF]
NBER Macroeconomics Annual, 2001 If decision costs lead agents to update consumption every D periods, then econometricians will find an anomalously low correlation between equity returns and consumption growth (Lynch 1996). We analytically characterize the dynamic properties of an economy composed of consumers who have such delayed updating.
Gabaix, Xavier, Laibson, David
openaire +4 more sources
The Equity Premium: A Deeper Puzzle [PDF]
SSRN Electronic Journal, 2007 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +4 more sources
The equity premium: a puzzle [PDF]
Journal of Monetary Economics, 1985 Abstract Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 1889–1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equilibrium model which is not an Arrow-Debreu
E. Prescott, R. Mehra
core +3 more sources
Consumption-based macroeconomic models of asset pricing theory [PDF]
Ekonomski Anali, 2016 The family of consumptionbased asset pricing models yields a stochastic discount factor proportional to the marginal rate of intertemporal substitution of consumption.
Đorđević Marija
doaj +1 more source
Review on Efficiency and Anomalies in Stock Markets
Economies, 2020 The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some ...
Kai-Yin Woo +3 more
doaj +1 more source