A new methodology for studying the equity premium

DOI10.1007/S10479-008-0484-1zbMATH Open1233.91212OpenAlexW2070341979MaRDI QIDQ993715FDOQ993715

Authors: Elie Appelbaum, Parantap Basu 

Publication date: 20 September 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://repec.org/res2004/BasuAppelbaum.pdf

Recommendations

• The equity premium in consumption and production models
• A resolution of the equity premium puzzle
• Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances.
• The equity premium: a deeper puzzle
• Estimating C-CAPM and the equity premium over the frequency domain

zbMATH Keywords

momentsequity premiumconsumption function

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Cites Work

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Cited In (6)

• An intensity-based approach for equity modeling
• Estimating C-CAPM and the equity premium over the frequency domain
• The equity premium in consumption and production models
• The equity premium: a deeper puzzle
• Beyond CAPM: estimating the cost of equity considering idiosyncratic risks
• Out‐of‐sample equity premium prediction: A scenario analysis approach

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