| 书目名称 | Intertemporal Asset Pricing |
| 副标题 | Evidence from German |
| 编辑 | Bernd Meyer |
| 视频video | |
| 丛书名称 | Contributions to Economics |
| 图书封面 |  |
| 描述 | In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since |
| 出版日期 | Book 1999 |
| 关键词 | Analysis; Arbitrage; Asset Pricing; Intertemporal Equilibrium Models; Intertemporale Gleichgewichtsmodel |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-58672-9 |
| isbn_softcover | 978-3-7908-1159-9 |
| isbn_ebook | 978-3-642-58672-9Series ISSN 1431-1933 Series E-ISSN 2197-7178 |
| issn_series | 1431-1933 |
| copyright | Springer-Verlag Berlin Heidelberg 1999 |
发表于 2025-3-21 16:54:24
