Loading...
Please wait, while we are loading the content...
Similar Documents
A Reconsideration of the Equity Premium Puzzle
| Content Provider | Scilit |
|---|---|
| Author | Cantillo, Miguel |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal This paper develops a tractable asset pricing framework based on an Arrow Debreu economy with heterogeneous agents. The model re-casts a number of well known asset pricing relationships in terms of four underlying variables. The financial relationships studied here are the risk free rate, the market risk premium, a call option, the expected returns of individual securities, and the dividend growth model. The theoretical formulations are used to measure preference parameters in three different ways. The most precise estimates yield a value of relative risk aversion of 1.27, and a time preference discount rate of 3.82% per year. |
| Related Links | https://mpra.ub.uni-muenchen.de/79357/1/MPRA_paper_79357.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3013456 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2972964 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-08-03 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Asset Pricing Estimates Yield Measure Preference Time Preference Preference Discount |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |