Capturing Equity Risk Premia
نویسندگان
چکیده
منابع مشابه
Eqlqty ~sk Premium ~. ~lufion
In "The Equity Risk Premium: A Pmxle', Mehra and Prescott (1985) developed an ArrowDebreu asset pricing model. They rejected it because it could not explain high enough equity risk premia. They concluded that only non-Arrow-Debreu models would solve this 'puzzle'. Here, I re-specify their model, capturing the effects of possible, though unlikely, market crashes. While maintaining their model's ...
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تاریخ انتشار 2010