dc.contributor.author | Aase, Knut K. | |
dc.date.accessioned | 2013-03-12T12:35:50Z | |
dc.date.available | 2013-03-12T12:35:50Z | |
dc.date.issued | 2012-11 | |
dc.identifier.issn | 1500-4066 | |
dc.identifier.uri | http://hdl.handle.net/11250/164207 | |
dc.description.abstract | Motivated by the problems of the conventional model in rationalizing
izing market data, we derive the equilibrium interest rate and risk premiums
using recursive utility in continuous time. In a representative-
agent framework our model allows for the separation of risk aversion
from the time preference. We demonstrate how this separation gives
new insights in asset pricing: The expressions for risk premiums com-
bine the market-based CAPM with the consumption-based CAPM.
The equilibrium real interest rate now combines characterizations of
preferences and market returns. This model explains both the Equity
Premium Puzzle and the Risk-Free Rate Puzzle with good margin,
and give solutions consistent with early resolution of uncertainty. | no_NO |
dc.language.iso | eng | no_NO |
dc.publisher | Norwegian School of Economics. Department of Finance and Management Science | no_NO |
dc.relation.ispartofseries | Discussion paper;2012:13 | |
dc.subject | The equity premium puzzle | no_NO |
dc.subject | the risk-free rate puzzle | no_NO |
dc.subject | recursive utility | no_NO |
dc.subject | early resolution | no_NO |
dc.subject | utility gradients | no_NO |
dc.subject | dynamic programming | no_NO |
dc.subject | The Stern Review | no_NO |
dc.title | What puzzles? : new insights in asset pricing | no_NO |
dc.type | Working paper | no_NO |
dc.subject.nsi | VDP::Social science: 200::Economics: 210::Business: 213 | no_NO |