Equity premium puzzle - PowerPoint PPT Presentation

Empirical Financial Economics

Empirical Financial Economics. New developments in asset pricing. Where does m come from?. Stein’s lemma If the vector f t+1 and r t+1 are jointly Normal. Modeling m directly. Typically assume power utility Equity Premium Puzzle: Habit persistence: These models imply

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View Bias towards Ambiguity, Expectile CAPM and the Anomalies

View Bias towards Ambiguity, Expectile CAPM and the Anomalies. Wei Hu, ZhenLong Zheng. Campbell (2000), Asset Pricing at the Millennium.

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482 views • 28 slides

Behavioral Finance

Behavioral Finance. Economics 437. Equity Premium Puzzle. Why have stocks earned so much more than bonds? (…than treasury bills?) Not consistent with any reasonable utility function Loss aversion is usual behavioral explanation Originally noted by Rajnish Mehra and Edward Prescott in 1985.

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192 views • 5 slides

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