Diminishing marginal impatience: its promises for asset pricing
AbstractThis study argues that diminishing marginal impatience ( DMI ) as an intuitively plausible behavioural assumption of endogenous time preference has the potential for resolving important issues like the equity premium puzzle . It shows that, while applied to a model in the traditional overlapping generations ( OG ) framework, DMI is capable of generating assets prices with magnitude and volatility higher than those suggested by standard models with constant marginal impatience ( CMI ).
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 2 (2006)
Issue (Month): 1 (January)
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Web page: http://www.tandfonline.com/RAFL20
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