Titlebook: Intertemporal Asset Pricing; Evidence from German Bernd Meyer Book 1999 Springer-Verlag Berlin Heidelberg 1999 Analysis.Arbitrage.Asset Pri

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Evaluating the Calibrated Equilibrium Modelst that they are not able to generate the empirically observed standard deviations. While the primary focus has been on the unconditional first and second moments of the one-period risk-free rate and the equity premium in the previous chapter, the performance of the calibrated equilibrium models is now measured along other dimensions.

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Introductionected return is one of the central problems of financial economics and has been the focus of theoretical and empirical research for many decades. But the question of how to measure risk and how to calculate the market reward for bearing a given amount of risk is not fully answered.

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1431-1933 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 t

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Book 1999arket 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 obse

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Implications of Asset Prices for the Market Pricing Kernel equivalently, about the risk-neutral probability distribution and the risk-free rate. As shown in the previous chapter this knowledge would enable the pricing of any asset. The traditional approach to gain insights into the properties of the market pricing kernel is to start by choosing a functiona

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