Scholl, Almuth; Uhlig, Harald - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
-year horizon found by Eichenbaum-
Evans. The forward discount bias puzzle comes with risk. The implied
Sharpe ratio for a Bayesian … discount bias puzzle, offering rewards to risk which
exceed the corresponding annual US stock market Sharpe ratio by a factor … this updated data
set, however, as we have argued before2. We therefore conclude, that there is
indeed a sizeable forward …