Results 71 to 80 of about 33,816 (196)
Evolved attitudes to risk and the demand for equity. [PDF]
Proc Natl Acad Sci U S A, 2021 Robson AJ, Orr HA.
europepmc +1 more source
A Theoretical Extension of the Consumption-based CAPM Model [PDF]
We extend the Consumption-based CAPM (C-CAPM) model for representative agents with different risk attitudes. We introduce the concept of expectation dependence and show that for a risk averse representative agent, it is the first-degree expectation ...
Georges Dionne, Jingyuan Li
core
Non‐addictive Habit Formation and the Equity Premium Puzzle [PDF]
European Financial Management, 1997 I analyse a model in a simple representative‐agent economy with one risky and one riskless asset, populated by habit forming consumer‐investors. These consumer‐investors exhibit non‐addictive habit formation in the sense that the current consumption rate of the consumer‐investors can fall below their past habit‐forming consumption rate.
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Is there Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel [PDF]
Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the riskfree rate puzzle and the equity premium puzzle.
Giordani, Paolo, Söderlind, Paul
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Social Security and the Equity Premium Puzzle [PDF]
This paper shows that social security may be an important factor in explaining the equity premium puzzle. In the absence of shortselling constraints, the young shortsell bonds to the middle-aged and buy equity.
Olovsson, Conny
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The Rise and Fall of Financial Flows in EU 15: New Evidence Using Dynamic Panels with Common Correlated Effects. [PDF]
Comput Econ, 2023 Camarero M, Muñoz A, Tamarit C.
europepmc +1 more source
Supply Side Implications of Ambiguity Aversion for Risk Premium and Risk-Free Rate Puzzles [PDF]
برنامهریزی و بودجهSince the 1990s, many economists have taken different approaches towards resolving the risk premium and risk free rate puzzles. Identifying causes of these two puzzles can help investors, regulators and policy makers in finding out determinants of the ...
Mohammad Feghhi Kashani, zahra ziyaee
doaj
Luxury Goods and the Equity Premium [PDF]
This paper evaluates the equity premium using novel data on the consumption of luxury goods. Specifying household utility as a nonhomothetic function of the consumption of both a luxury good and a basic good, we derive pricing equations and evaluate the ...
Jonathan A. Parker +2 more
core
A Note on the McGrattan and Prescott (2003) Adjustments and the Equity Premium Puzzle [PDF]
McGrattan and Prescott (2003) argue that the average equity premium is less than one percent when the annual data used in the computation are adjusted in certain ways: equity returns reduced by subtracting diversification costs and taxes on dividend ...
Selahattin Imrohoroglu
core
The Equity Premium Puzzle in Nepal
Banking Journal, 2013 The study concentrates on one of the most famous puzzles in asset pricing, the equity premium puzzle, which was first identified by Mehra and Prescott (1985). The paper examines the existence and extent of the equity premium puzzle in Nepalese market.
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