Log-normal approximation of the equity premium in the production model

Burkhard Heer ; Alfred Maussner

The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one third less than that implied by a non-linear approximation of the Euler equations. -- equity premium ; log-normal approximation ; production CAPM

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Year of publication:	2010
Authors:	Heer, Burkhard ; Maußner, Alfred
Publisher:	München : CESifo
Subject:	Risikoprämie \| Risk premium \| CAPM \| Statistische Verteilung \| Statistical distribution \| Theorie \| Theory

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Extent:	Online-Ressource (PDF-Datei: 9 S., 141 KB) graph. Darst.
Series:	CESifo working papers. - München : [Verlag nicht ermittelbar], ISSN 2364-1428, ZDB-ID 2065232-X. - Vol. 3311
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Parallel als Druckausg. erschienen Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/46532 [Handle]
Classification:	G12 - Asset Pricing ; C63 - Computational Techniques ; E22 - Capital; Investment (including Inventories); Capacity ; E32 - Business Fluctuations; Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10008808223