Discounting The Equity Premium Puzzle

This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) 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 an incorrect choice of either the utility function or the underlying returns distribution. The approach is applied to a range of data sets including the S&P500

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Year of publication:	2004-08-11
Authors:	Martin, Vance ; Lim, G.C. ; Maasoumi, Esfandiar
Institutions:	Econometric Society
Subject:	Equity premium puzzle \| stochastic dominance \| nonparametric \| subsampling

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Extent:	application/pdf
Series:	Econometric Society 2004 Australasian Meetings.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Econometric Society Australasian Meetings 2004 Number 331
Classification:	C14 - Semiparametric and Nonparametric Methods ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005130156