Agents' Preferences, the Equity Premium, and the Consumption-Saving Trade-Off: An Application to French Data1
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- Synopsis
- This paper aims to measure the risk premium on French equities during 1960-92 and to evaluate how well theoretical models based on various representations of agents' preferences can explain it. Aside from the standard, time-additive utility function with constant relative risk aversion, three other utility functions are reviewed: a recursive utility function, a habit formation utility function, and a utility funtion that accounts for the interdependence of preferences. Both calibration and econometric estimations show that none of the studied marginal changes in the representation of agents' preferences are sufficient to solve both the equity premium puzzle and the risk-free rate puzzle.
- Copyright:
- 2001
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9781451992472
- Publisher:
- International Monetary Fund
- Date of Addition:
- 04/24/12
- Copyrighted By:
- International Monetary Fund
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.