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A reexamination of the equity-premium puzzle: A robust non-parametric approach

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Author Info
Maasoumi, Esfandiar () (SMU)
Lim, G.C. (University of Melbourne)
Martin, Vance (University of Melbourne)

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Abstract

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File URL: ftp://ftp1.economics.smu.edu/WorkingPapers/2006/maasoumi/paper3.pdf
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Publisher Info
Paper provided by Southern Methodist University, Department of Economics in its series Departmental Working Papers with number 0604.

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Length: 26 pages
Date of creation: Jan 2006
Date of revision:
Handle: RePEc:smu:ecowpa:0604

Contact details of provider:
Postal: Department of Economics, P.O. Box 750496, Southern Methodist University, Dallas, TX 75275-0496
Phone: 214-768-2715
Fax: 214-768-1821
Web page: http://www.smu.edu/economics

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Related research
Keywords: Equity-premium puzzle; Stochastic dominance; Non-parametric; Subsampling; Recentered bootstraps; Higher 23 order moments;

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Find related papers by JEL classification:
F18 - International Economics - - Trade - - - Trade and Environment
Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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References listed on IDEAS
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.:
  1. John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
    Other versions:
  2. Campbell, John Y, 1993. "Intertemporal Asset Pricing without Consumption Data," American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June. [Downloadable!] (restricted)
    Other versions:
  3. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, regulations, and asset prices," Working Papers 610, Federal Reserve Bank of Minneapolis.
    Other versions:
  4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. [Downloadable!] (restricted)
  5. Narayana R. Kocherlakota, 1996. "The Equity Premium: It's Still a Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(1), pages 42-71, March. [Downloadable!] (restricted)
    Other versions:
  6. Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2005. "Consistent Testing for Stochastic Dominance under General Sampling Schemes," Review of Economic Studies, Blackwell Publishing, vol. 72(3), pages 735-765, 07. [Downloadable!] (restricted)
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