Intertemporal Asset Pricing: Evidence from Germany
In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This ph...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Heidelberg
Physica-Verlag HD
1999
|
| Ausgabe: | 1st ed. 1999 |
| Schriftenreihe: | Contributions to Economics
|
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution |
| Beschreibung: | 1 Online-Ressource (XII, 287 p. 5 illus) |
| ISBN: | 9783642586729 |
| DOI: | 10.1007/978-3-642-58672-9 |
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| 520 | |a In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution | ||
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| author | Meyer, Bernd |
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| dewey-full | 332 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332 |
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| dewey-sort | 3332 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-642-58672-9 |
| edition | 1st ed. 1999 |
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| spelling | Meyer, Bernd Verfasser aut Intertemporal Asset Pricing Evidence from Germany by Bernd Meyer 1st ed. 1999 Heidelberg Physica-Verlag HD 1999 1 Online-Ressource (XII, 287 p. 5 illus) txt rdacontent c rdamedia cr rdacarrier Contributions to Economics In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution Finance, general Econometrics Quantitative Finance Finance Economics, Mathematical Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Modell (DE-588)4039798-1 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Zeitfaktor (DE-588)4190602-0 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Mehr-Perioden-Modell (DE-588)4388956-6 gnd rswk-swf Analyse (DE-588)4122795-5 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf Deutschland (DE-588)4011882-4 g Kapitalmarkt (DE-588)4029578-3 s Analyse (DE-588)4122795-5 s DE-604 Modell (DE-588)4039798-1 s Preisbildung (DE-588)4047103-2 s Zeitfaktor (DE-588)4190602-0 s Kapitalmarkttheorie (DE-588)4137411-3 s Mehr-Perioden-Modell (DE-588)4388956-6 s Erscheint auch als Druck-Ausgabe 9783790811599 Erscheint auch als Druck-Ausgabe 9783642586736 https://doi.org/10.1007/978-3-642-58672-9 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Meyer, Bernd Intertemporal Asset Pricing Evidence from Germany Finance, general Econometrics Quantitative Finance Finance Economics, Mathematical Kapitalmarkt (DE-588)4029578-3 gnd Modell (DE-588)4039798-1 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Zeitfaktor (DE-588)4190602-0 gnd Preisbildung (DE-588)4047103-2 gnd Mehr-Perioden-Modell (DE-588)4388956-6 gnd Analyse (DE-588)4122795-5 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4039798-1 (DE-588)4137411-3 (DE-588)4190602-0 (DE-588)4047103-2 (DE-588)4388956-6 (DE-588)4122795-5 (DE-588)4011882-4 |
| title | Intertemporal Asset Pricing Evidence from Germany |
| title_auth | Intertemporal Asset Pricing Evidence from Germany |
| title_exact_search | Intertemporal Asset Pricing Evidence from Germany |
| title_exact_search_txtP | Intertemporal Asset Pricing Evidence from Germany |
| title_full | Intertemporal Asset Pricing Evidence from Germany by Bernd Meyer |
| title_fullStr | Intertemporal Asset Pricing Evidence from Germany by Bernd Meyer |
| title_full_unstemmed | Intertemporal Asset Pricing Evidence from Germany by Bernd Meyer |
| title_short | Intertemporal Asset Pricing |
| title_sort | intertemporal asset pricing evidence from germany |
| title_sub | Evidence from Germany |
| topic | Finance, general Econometrics Quantitative Finance Finance Economics, Mathematical Kapitalmarkt (DE-588)4029578-3 gnd Modell (DE-588)4039798-1 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Zeitfaktor (DE-588)4190602-0 gnd Preisbildung (DE-588)4047103-2 gnd Mehr-Perioden-Modell (DE-588)4388956-6 gnd Analyse (DE-588)4122795-5 gnd |
| topic_facet | Finance, general Econometrics Quantitative Finance Finance Economics, Mathematical Kapitalmarkt Modell Kapitalmarkttheorie Zeitfaktor Preisbildung Mehr-Perioden-Modell Analyse Deutschland |
| url | https://doi.org/10.1007/978-3-642-58672-9 |
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