The Equity Premium Puzzle
Discounting The Equity Premium Puzzle
... the equity premium ...a premium is due to particular cardinal choices of either the utility func- tion or the underlying returns distribution, or ...no puzzle and that the observed ...
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The 6D Bias and the Equity Premium Puzzle
... Lynch (1996) and Marshall and Parekh (1999) have simulated discrete-time delayed adjustments models and demonstrated that these models can potentially explain the equity premium puzzle. 2 In light of ...
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Macroeconomic Perspectives on the Equity Premium Puzzle
... Chapter 3 is based on De Vries and Zenhorst (2012). Limited stock market partic- ipation has been proposed as a resolution to the equity premium puzzle. The idea is that stockholders’ consumption ...
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Anchoring Heuristic and the Equity Premium Puzzle
... assets. Equity returns ...the equity premium ...the equity premium puzzle, I consider the general case in section ...the equity premium puzzle, but also ...
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Anchoring Heuristic and the Equity Premium Puzzle
... 2 Anchoring Heuristic and the Equity Premium Puzzle Any financial asset is just a particular label assigned to some future payoff stream. Valuing an asset requires estimating this stream. Needless to ...
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The equity premium puzzle and habit formation
... called equity premium puzzle first pub- lished in Prescott and Mehra ...The equity premium observed em- pirically deviates significantly from its pendant predicted by consumption-based ...
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Mental Accounting and The Equity Premium Puzzle
... the equity premium puzzle arises when one does not apply mental accounting to stock market data while mental accounting is applied to the determination of risk aversion in ...
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The Private Equity Premium Puzzle Revisited
... private equity premium puzzle, orriginally identi…ed in MVJ (2002), is not a robust feature of the data as it does not survive beyond the period of high public equity returns in the ...
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Resource allocation in the brain and the equity premium puzzle
... the Equity Premium Puzzle When happens when information reaches the brain? In economics, a black box approach to information absorption is generally taken with an implicit assumption that, ...
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Myopic loss aversion and the equity premium puzzle
... 3.3.1 Students Gneezy and Potters (1997) designed their lottery after Benartzi and Thaler (1995) proposed myopic loss aversion as a possible solution to the equity premium puzzle. They conducted 14 ...
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The Equity Premium Puzzle post the Financial Crisis
... the equity premium puzzle which is one of the most intriguing puzzles in economics and has been challenging researchers for the last 25 years since Mehra and Prescott first introduced the ...risky ...
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The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy
... Abel (1991) hoped that “incorporating differences among investors or more general attitudes toward risk can explain the various statistical properties of asset returns.” Bakshi and Chen (1994) noted an increase in risk ...
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Futures market approach to understanding equity premium puzzle
... that equity premium puzzle is no longer a ...tackle equity premium puzzle using the fact that bonds in practice must have real values, which are corresponding goods in con- ...
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Stochastic Discount Factor Models and the Equity Premium Puzzle
... the equity premium puzzle is that in the standard asset-pricing model with time-separable preferences, the volatility of the stochastic discount factor, for plausible values of risk aversion, is too ...
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The equity premium puzzle and decreasing relative risk aversion
... It has been twenty years since the seminal paper of Mehra and Prescott (1985) that first articulated the equity premium puzzle. In a recent critical review of the literature Mehra and Prescott (2003) ...
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Stochastic Discount Factor Models and the Equity Premium Puzzle
... the equity premium puzzle is that in the standard asset-pricing model with time-separable preferences, the volatility of the stochastic discount factor, for plausible values of risk aversion, is too ...
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Disappointment aversion and the equity premium puzzle: new international evidence
... 3. Data and Descriptive Statistics For the empirical analysis, we use the Dimson-Marsh-Staunton (DMS) database distributed by Morningstar. The main advantage of this database is that it is free of ex-post selection bias, ...
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The Loss Aversion/Narrow Framing Approach to the Equity Premium Puzzle
... the equity premium ...large equity premium and a low and stable risk-free rate, even when consumption growth is smooth and only weakly correlated with the stock ...the equity ...
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State Dependent Preferences Can Explain the Equity Premium Puzzle
... the equity premium ...on equity, and the risk-free rate, combined with no arbitrage and a simple behavioural assumption can be used in the Mehra-Prescott economy to uniquely determine the points of ...
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A Note on the McGrattan and Prescott (2003) Adjustments and the Equity Premium Puzzle
... This note uses the measurements proposed by McGrattan and Prescott (2003) and examines various aspects of the equity premium puzzle in detail, in- cluding the related low risk-free rate and excess ...
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