Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
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چکیده
منابع مشابه
Junior Can’t Borrow: a New Perspective on the Equity Premium Puzzle
Ongoing questions on the historical mean and standard deviation of the return on equities and bonds and on the equilibrium demand for these securities are addressed in the context of a stationary, overlapping-generations economy in which consumers are subject to a borrowing constraint. The key feature captured by the OLG economy is that the bulk of the future income of the young consumers is de...
متن کاملForthcoming in The Quarterly Journal of Economics JUNIOR CAN’T BORROW: A NEW PERSPECTIVE ON THE EQUITY PREMIUM PUZZLE
Ongoing questions on the historical mean and standard deviation of the return on equities and bonds and on the equilibrium demand for these securities are addressed in the context of a stationary, overlapping-generations economy in which consumers are subject to a borrowing constraint. The key feature captured by the OLG economy is that the bulk of the future income of the young consumers is de...
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Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 1889-1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equilibrium model which is not an Arrow-Debreu economy will be the one that Simultaneously rationali...
متن کاملDiscounting The Equity Premium Puzzle
Recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) are applied to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to assess whether the existence of a premium is due to particular cardinal choices of either the utility function or the underlying returns distribution, or both. The appr...
متن کاملThe Equity Premium Puzzle and the Risk-free Rate Puzzle
This paper studies the implications for general equilibnum asset pricing of a class of Kreps-Porteus nonexpected utility preferences characterized by a constant intertemporal elasticity of substitution and a constant, but unrelated, coefficient of relative risk aversion. It is shown that relaxing the parametric restriction on tastes imposed by the time-additive expected utility specification do...
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ژورنال
عنوان ژورنال: The Quarterly Journal of Economics
سال: 2002
ISSN: 0033-5533,1531-4650
DOI: 10.1162/003355302753399508