全球智库信息集成服务系统(G2TT): Risk Based Explanations of the Equity Premium

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w13220
来源ID	Working Paper 13220
	Risk Based Explanations of the Equity Premium
	John Donaldson; Rajnish Mehra
发表日期	2007-07-02
出版年	2007
语种	英语
摘要	This essay reviews the family of models that seek to provide aggregate risk based explanations for the empirically observed equity premium. Theories based on non-expected utility preference structures, limited financial market participation, model uncertainty and the small probability of enormous losses are detailed. We impose the additional requirements that candidate models yield consistent inter temporal portfolio choice and that a representative agent can be constructed which is independent of the underlying heterogeneous economy's initial wealth distribution. While many models are able to replicate a wide variety of financial statistics including the premium, few satisfy these latter criteria as well.
主题	Microeconomics ; Households and Firms ; General Equilibrium ; Behavioral Economics ; Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w13220
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/570888
推荐引用方式 GB/T 7714	John Donaldson,Rajnish Mehra. Risk Based Explanations of the Equity Premium. 2007.