Intertemporal Asset Pricing
Evidence from Germany
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 per…
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Produktdetails
- ISBN: 978-3-642-58672-9
- EAN: 9783642586729
- Produktnummer: 37219346
- Verlag: Physica-Verlag HD
- Sprache: Englisch
- Erscheinungsjahr: 2012
- Seitenangabe: 287 S.
- Plattform: PDF
- Auflage: 1999
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