Utility-implied term structures of equity risk premia

DOI10.1016/J.ECONLET.2024.111947MaRDI QIDQ6665036zbMATH OpenFDO

Authors Louis R. Piccotti

Publication date 16 January 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2024.111947

zbMATH Keywords

asset pricingequity risk premium term structurefrequency domain

Mathematics Subject Classification ID

Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• Dynamic Logit With Choice Aversion
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited in

(1)

• The term structure of equity yields -- a bottom-up approach

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