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Modèles intertemporels d'évaluation d'actifs financiers : une évaluation sur données françaises de longue période

Author

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  • Nicolas Nalpas

    (TEAM - Université Paris 1)

Abstract

We examine the existence of an equity premium puzzle in France adopting a long annual data set. To do so, we first investigate the ability of the standard C-CAPM model to account for high equity premia with realistic values for the relative risk aversion coefficient. Employing the three main methods used in the literature for this purpose, we observe that they are complementary each other. We also find that the habit formation model displays some interesting characteristics in explaining the behavior of French consumption and asset returns. Nevertheless, it does not completely succeed because of the underlying positive link between risk aversion and habit persistence

Suggested Citation

  • Nicolas Nalpas, 2000. "Modèles intertemporels d'évaluation d'actifs financiers : une évaluation sur données françaises de longue période," Cahiers de la Maison des Sciences Economiques bla00032, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:mse:wpsorb:bla00032
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    More about this item

    Keywords

    C-CAPM; equity premium puzzle; habit formation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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