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Substitution, Risk Aversion, Taste Shocks and Equity Premia

Author

Listed:
  • Normandin, M.
  • St-Amour, P.

Abstract

This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state and time-non-separable preferences are subject to taste shocks. The model nests state and time-separable preferences with and without taste shocks as special cases.

Suggested Citation

  • Normandin, M. & St-Amour, P., 1996. "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Papers 9606, Laval - Recherche en Politique Economique.
  • Handle: RePEc:fth:lavape:9606
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    Keywords

    STOCKS; RISK; MATHEMATICAL MODELS;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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