Rare Disasters and the Equity Premium in a Two-Country World
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- Christian Julliard & Anisha Ghosh, 2012.
"Can Rare Events Explain the Equity Premium Puzzle?,"
Review of Financial Studies,
Society for Financial Studies, vol. 25(10), pages 3037-3076.
- Anisha Ghosh & Christian Julliard, 2008. "Can Rare Events Explain the Equity Premium Puzzle?," FMG Discussion Papers dp610, Financial Markets Group.
- Anisha Ghosh & Christian Julliard, 2008. "Can Rare Events Explain the Equity Premium Puzzle?," 2008 Meeting Papers 1090, Society for Economic Dynamics.
- Ghosh, Anisha & Julliard, Christian, 2012. "Can Rare Events Explain the Equity Premium Puzzle?," CEPR Discussion Papers 8899, C.E.P.R. Discussion Papers.
- Julliard, Christian & Ghosh, Anisha, 2008. "Can rare events explain the equity premium puzzle?," LSE Research Online Documents on Economics 4808, London School of Economics and Political Science, LSE Library.
- Vinay Asthana, 2013. "Street-smart asset pricing," Applied Financial Economics, Taylor & Francis Journals, vol. 23(17), pages 1371-1381, September.
- Berkman, Henk & Jacobsen, Ben & Lee, John B., 2011. "Time-varying rare disaster risk and stock returns," Journal of Financial Economics, Elsevier, vol. 101(2), pages 313-332, August.
More about this item
Keywordsequity risk premium; default risk; international diversification;
- F3 - International Economics - - International Finance
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-UPT-2007-03-10 (Utility Models & Prospect Theory)
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