A new methodology for studying the equity premium

DOI10.1007/S10479-008-0484-1MaRDI QIDQ993715zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

momentsequity premiumconsumption function

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3694872 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
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• A note on some limitations of CRRA utility
• Large Sample Properties of Generalized Method of Moments Estimators
• Microeconomic theory
• Smoothness of the Policy Function in Discrete Time Economic Models
• Strongly consistent estimators of k-th order regression curves and rates of convergence
• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Temporal risk and the nature of induced preferences

Cited in

(6)

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

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