The GEL Estimates Resolve the Risk-free Rate Puzzle in Japan
AbstractWe show the nonexistence of the well-known risk-free rate puzzle in the Japanese financial markets. This result crucially depends on the accurate estimates of the two basic parameters: the subjective discount factor and the degree of risk aversion, appearing in the standard consumption-based capital asset pricing model (CCAPM). We estimate these parameters by the recently developed method, generalized empirical likelihood (GEL) estimation; we also confirm our results by comparing mean squared errors (MSEs) based on higher order biases and first order asymptotic variances of the estimates.
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 InfoPaper provided by Keio/Kyoto Joint Global COE Program in its series Keio/Kyoto Joint Global COE Discussion Paper Series with number 2010-007.
Length: 16 pages
Date of creation: 2010
Date of revision:
Contact details of provider:
Postal: 2-15-45, Mita, Minato-ku, Tokyo 108-8345
Web page: http://ies.keio.ac.jp/old_project/old/gcoe-econbus/
More information through EDIRC
Other versions of this item:
- Mikio Ito & Akihiko Noda, 2012. "The GEL estimates resolve the risk-free rate puzzle in Japan," Applied Financial Economics, Taylor & Francis Journals, vol. 22(5), pages 365-374, March.
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Global COE Program Office).
If references are entirely missing, you can add them using this form.