全球智库信息集成服务系统(G2TT): The Loss Aversion \/ Narrow Framing Approach to the Equity Premium Puzzle

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w12378
来源ID	Working Paper 12378
	The Loss Aversion \/ Narrow Framing Approach to the Equity Premium Puzzle
	Nicholas Barberis; Ming Huang
发表日期	2006-07-24
出版年	2006
语种	英语
摘要	We review a recent approach to understanding the equity premium puzzle. The key elements of this approach are loss aversion and narrow framing, two well-known features of decision-making under risk in experimental settings. In equilibrium, models that incorporate these ideas can generate a large equity premium and a low and stable risk-free rate, even when consumption growth is smooth and only weakly correlated with the stock market. Moreover, they can do so for parameter values that correspond to sensible attitudes to independent monetary gambles. We conclude by suggesting some possible directions for future research.
主题	Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w12378
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/570035
推荐引用方式 GB/T 7714	Nicholas Barberis,Ming Huang. The Loss Aversion \/ Narrow Framing Approach to the Equity Premium Puzzle. 2006.