Can ambiguity about rare disasters explain equity premium puzzle?

DOI10.1016/J.ECONLET.2019.108555MaRDI QIDQ2324692zbMATH OpenOpenAlexWikidataFDO

Authors Yuanping Wang, Congming Mu

Publication date 12 September 2019

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2019.108555

zbMATH Keywords

ambiguity aversionequity premium puzzleproduction-based asset pricingrisk-free rate puzzle

Mathematics Subject Classification ID

Decision theory (91B06)

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Cites work

• Adjustment Costs in the Theory of Investment of the Firm
• Ambiguity sharing and the lack of relative performance evaluation
• Asset Prices in an Exchange Economy
• Consumption-based asset pricing with higher cumulants
• Dynamic corporate investment and liquidity management under model uncertainty
• Rare disasters and asset markets in the twentieth century
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Time-inconsistent preferences, investment and asset pricing
• Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance

Cited in

(12)

• Doubts and variability: a robust perspective on exotic consumption series
• Robust leverage dynamics without commitment
• Macroeconomic disasters and the equity premium puzzle: are emerging countries riskier?
• Labor market search, endogenous disasters and the equity premium puzzle
• Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
• Rare disasters and asset markets in the twentieth century
• An exploration of the effect of doubt during disasters on equity premiums
• Learning about Rare Disasters: Implications For Consumption and Asset Prices*
• Ambiguity and the historical equity premium
• Hidden persistent disasters and asset prices
• Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance
• Smooth ambiguity preferences and asset prices with a jump-diffusion process

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