| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4090 |
| DP4090 The Impact of R&D Subsidies on the Introduction of New Products by Incumbent Firms | |
| Ralph Siebert | |
| 发表日期 | 2003-10-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the risk-free rate puzzle and the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individual forecasters are, in fact, pessimistic, but show marked overconfidence rather than doubt. Whether this implies that overconfidence should be built into Abel?s model depends on how the empirically heterogeneous subjective distributions are mapped into the distribution of a fictitious representative agent. We work out the form of this mapping in an Arrow-Debreu economy and show that the equity premium increases with the dispersion of beliefs. We then estimate this aggregate distribution and find little evidence of either overconfidence or doubt. |
| 主题 | Financial Economics |
| 关键词 | C42 Equity premium Risk-free rate Aggregation of beliefs Survey of professional forecasters Livingston survey |
| URL | https://cepr.org/publications/dp4090 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533066 |
| 推荐引用方式 GB/T 7714 | Ralph Siebert. DP4090 The Impact of R&D Subsidies on the Introduction of New Products by Incumbent Firms. 2003. |
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