Intertemporal substitution and equity premium

DOI10.1093/ROF/RFV004MaRDI QIDQ4554766zbMATH OpenOpenAlexFDO

Authors Wei Yang

Publication date 9 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfv004

zbMATH Keywords

asset pricingEpstein-Zin preferenceslong-run risksrisk aversion

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• HABIT PERSISTENCE AND ASSET RETURNS IN AN EXCHANGE ECONOMY
• Habit formation and the equity-premium puzzle: a skeptical view
• Loss aversion, habit formation and the term structures of equity and interest rates
• Asset pricing with multiplicative habit and power-expo preferences

Cited in

(7)

• Consumption adjustment to real interest rates: Intertemporal substitution revisited
• The interaction between the equity premium and the risk-free rate
• Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances.
• Disaster risk and preference shifts in a New Keynesian model
• Risk premiums versus waiting-options premiums: a simple numerical example
• Rational Pessimism, Rational Exuberance, and Asset Pricing Models
• Gross substitution in financial markets

This page was built for publication: Intertemporal substitution and equity premium

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4554766)