International Evidence on the Equity Premium Puzzle and Time Discounting

We examine time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premiums across 27 countries. This result implies that higher historical equity risk premiums are observed in countries where survey participants tend to be more short-term oriented. This finding is consistent with the explanation of the equity premium puzzle provided by myopic loss aversion.

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Year of publication:	2013
Authors:	Rieger, Marc Oliver ; Hens, Thorsten ; Wang, Mei
Published in:	Multinational Finance Journal. - Multinational Finance Society - MFS. - Vol. 17.2013, 3-4, p. 149-163
Publisher:	Multinational Finance Society - MFS
Subject:	equity risk premium \| time discounting \| myopic loss aversion \| cultural finance

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	g02 ; G11 - Portfolio Choice ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011103236