Risk based explanations of the equity premium:
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 lo...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
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| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13220 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | Literaturverz. S. 90 - 101 |
| Beschreibung: | 101 S. graph. Darst. 22 cm |
Internformat
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| 245 | 1 | 0 | |a Risk based explanations of the equity premium |c John Donaldson ; Rajnish Mehra |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2007 | |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13220 | |
| 500 | |a Literaturverz. S. 90 - 101 | ||
| 520 | 8 | |a 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. | |
| 700 | 1 | |a Mehra, Rajnish |d 1950- |e Verfasser |0 (DE-588)130464996 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 810 | 2 | |a National Bureau of Economic Research <Cambridge, Mass.> |t NBER working paper series |v 13220 |w (DE-604)BV002801238 |9 13220 | |
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Datensatz im Suchindex
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| id | DE-604.BV023593128 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:31Z |
| indexdate | 2024-07-09T21:25:14Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016908458 |
| oclc_num | 255572250 |
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| owner_facet | DE-521 |
| physical | 101 S. graph. Darst. 22 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Donaldson, John B. 1948- Verfasser (DE-588)12482501X aut Risk based explanations of the equity premium John Donaldson ; Rajnish Mehra Cambridge, Mass. National Bureau of Economic Research 2007 101 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13220 Literaturverz. S. 90 - 101 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. Mehra, Rajnish 1950- Verfasser (DE-588)130464996 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13220 (DE-604)BV002801238 13220 http://papers.nber.org/papers/w13220.pdf kostenfrei Volltext |
| spellingShingle | Donaldson, John B. 1948- Mehra, Rajnish 1950- Risk based explanations of the equity premium |
| title | Risk based explanations of the equity premium |
| title_auth | Risk based explanations of the equity premium |
| title_exact_search | Risk based explanations of the equity premium |
| title_exact_search_txtP | Risk based explanations of the equity premium |
| title_full | Risk based explanations of the equity premium John Donaldson ; Rajnish Mehra |
| title_fullStr | Risk based explanations of the equity premium John Donaldson ; Rajnish Mehra |
| title_full_unstemmed | Risk based explanations of the equity premium John Donaldson ; Rajnish Mehra |
| title_short | Risk based explanations of the equity premium |
| title_sort | risk based explanations of the equity premium |
| url | http://papers.nber.org/papers/w13220.pdf |
| volume_link | (DE-604)BV002801238 |
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