The equity premium puzzle and decreasing relative risk aversion
AbstractAgents are assumed to have a power risk aversion utility function in an otherwise standard asset-pricing model. When these preferences display decreasing relative risk aversion they are capable of eliminating one version of the equity premium and risk free rate puzzles.
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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): 3 (May)
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Other versions of this item:
- M. J. Roche, 2005. "The equity premium puzzle and decreasing relative risk aversion," Economics, Finance and Accounting Department Working Paper Series n1510205, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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