The equity premium: a deeper puzzle

DOI10.1007/s10436-014-0248-7zbMath1320.91108OpenAlexW2130222271WikidataQ56453487 ScholiaQ56453487MaRDI QIDQ481366

Francisco Azeredo

Publication date: 12 December 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: http://www.escholarship.org/uc/item/6ks5p6v5

zbMATH Keywords

persistenceequity premium puzzlestructural breakautoregressive processneoclassical growth modelUS consumption growth

Mathematics Subject Classification ID

Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

Cites Work

• Shaking the tree: an agency-theoretic model of asset pricing
• Determinants of stock market volatility and risk premia
• Habit formation and the equity-premium puzzle: a skeptical view
• Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
• Tests for Parameter Instability and Structural Change With Unknown Change Point

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