Narrow search
Showing 1 - 10 of 12,423
Cover Image
The return on everything and the business cycle in production economies
Fehrle, Daniel; Heiberger, Christopher - 2020
The risk premium puzzle is even worse than previously reported if housing is also taken into consideration next to … equity. While housing premia are only moderately smaller than equity premia, they are significantly less volatile and the … Sharpe ratio of housing is significantly larger. Hence, three question arise: i) are existing approaches to explain the …
Persistent link: https://www.econbiz.de/10012180532
Cover Image
The return on everything and the business cycle in production economies
Fehrle, Daniel; Heiberger, Christopher - In: Economic modelling 136 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014549145
Cover Image
Asset returns, the business cycle, and the labor market : a sensitivity analysis for the German economy
Heer, Burkhard; Maußner, Alfred - 2011
premium is very sensitive with regard to the utility parameters. -- equity premium ; production CAPM ; real-business cycle …
Persistent link: https://www.econbiz.de/10009011127
Cover Image
Macroeconomic Disasters and the Equity Premium Puzzle : Are Emerging Countries Riskier?
Horvath, Jaroslav - 2019
Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...
Persistent link: https://www.econbiz.de/10012902819
Cover Image
Searching for the equity premium
Bai, Hang; Zhang, Lu - 2020
Labor market frictions are crucial for the equity premium in production economies. A dynamic stochastic general equilibrium model with recursive utility, search frictions, and capital accumulation yields a high equity premium of 4.26% per annum, a stock market volatility of 11.8%, and a low...
Persistent link: https://www.econbiz.de/10012301454
Cover Image
Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993
This paper assesses the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...
Persistent link: https://www.econbiz.de/10011994544
Cover Image
Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
Persistent link: https://www.econbiz.de/10012617667
Cover Image
Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...
Persistent link: https://www.econbiz.de/10011756113
Cover Image
Cyclical asset returns in the consumption and investment goods sector
Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...
Persistent link: https://www.econbiz.de/10009786095
Cover Image
The Equity Premium Puzzle Solution : Incentives to Under-Report Inflation
Korsos, Laszlo - 2020
The biggest and most well-known unsolved problem in academic finance is famously referred to as the Equity Premium Puzzle. It refers to the unexplained phenomenon that for over 100 years the average return on a well-diversified portfolio of equities has far outperformed that of risk-free,...
Persistent link: https://www.econbiz.de/10012838903