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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 2 (2006)
Issue (Month): 3 (May)
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/titles/17446546.asp
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
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.:
- Joseph Eisenhauer & Luigi Ventura, 2003. "Survey measures of risk aversion and prudence," Applied Economics, Taylor and Francis Journals, vol. 35(13), pages 1477-1484.
- R. Mehra & E. Prescott, 2010.
"The equity premium: a puzzle,"
Levine's Working Paper Archive
1401, David K. Levine.
- Mehra, Rajnish & Prescott, Edward C., 2003.
"The equity premium in retrospect,"
Handbook of the Economics of Finance,
in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938
- Atsushi Maki & Tadashi Sonoda, 2002. "A solution to the equity premium and riskfree rate puzzles: an empirical investigation using Japanese data," Applied Financial Economics, Taylor and Francis Journals, vol. 12(8), pages 601-612.
- Meyer, Donald J. & Meyer, Jack, 2005. "Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1497-1515, November.
- Stuart Hyde & Mohamed Sherif, 2005. "Don't break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor and Francis Journals, vol. 12(5), pages 289-296.
- Denis Conniffe, 2007.
"Generalised Means of Simple Utility Functions with Risk Aversion,"
Economics, Finance and Accounting Department Working Paper Series
n1790907.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
- Conniffe, Denis, 2008. "Generalised Means of Simple Utility Functions with Risk Aversion," The Economic and Social Review, Economic and Social Studies, vol. 39(1), pages 1-12.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.