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Equity premium puzzle — Evidence from Poland

Author

Listed:
  • Łukowski, Michał
  • Gemra, Kamil
  • Maruszewski, Janusz
  • Śliwiński, Paweł
  • Zygmanowski, Piotr

Abstract

The paper investigates the equity premium puzzle on Warsaw Stock Exchange (WSE). The dataset we use is based on a detailed survey conducted among Polish individual investors, which enabled us to develop an investor’s profile. We find evidence that certain behavioral biases are present on the market. We later compare the results with the risk premium on the WSE to verify whether the premium that exists on the market can be explained using behavioral factors. The study provides empirical solution to the equity premium puzzle starting from the individual investor level up to the aggregated market.

Suggested Citation

  • Łukowski, Michał & Gemra, Kamil & Maruszewski, Janusz & Śliwiński, Paweł & Zygmanowski, Piotr, 2020. "Equity premium puzzle — Evidence from Poland," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    • Handle: RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303257
    DOI: 10.1016/j.jbef.2020.100398
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    References listed on IDEAS

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    Cited by:

    1. Kumar, Satish & Rao, Sandeep & Goyal, Kirti & Goyal, Nisha, 2022. "Journal of Behavioral and Experimental Finance: A bibliometric overview," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).

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    More about this item

    Keywords

    Behavioral finance; Equity premium puzzle; Investor’s utility function; Relative risk aversion; Behavioral biases;
    All these keywords.

    JEL classification:

    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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