Diminishing marginal impatience: its promises for asset pricing
This 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 ).
Volume (Year): 2 (2006)
Issue (Month): 1 (January)
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