| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8899 |
| DP8899 Can Rare Events Explain the Equity Premium Puzzle? | |
| Christian Julliard | |
| 发表日期 | 2012-03-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Probably not. First, allowing the probabilities of the states of the economy to differ from their sample frequencies, the Consumption-CAPM is still rejected in both U.S. and international data. Second, the recorded world disasters are too small to rationalize the puzzle unless one assumes that disasters occur every 6-10 years. Third, if the data were generated by the rare events distribution needed to rationalize the equity premium puzzle, the puzzle itself would be unlikely to arise. Fourth, the rare events hypothesis, by reducing the cross-sectional dispersion of consumption risk, worsens the ability of the Consumption-CAPM to explain the cross-section of returns. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Calibration Cross-section of asset returns Equity premium puzzle Generalized empirical likelihood Peso phenomenon Rare disasters Rare events Semi-parametric bayesian inference |
| URL | https://cepr.org/publications/dp8899 |
| 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/537729 |
| 推荐引用方式 GB/T 7714 | Christian Julliard. DP8899 Can Rare Events Explain the Equity Premium Puzzle?. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Christian Julliard]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Christian Julliard]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Christian Julliard]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
