Vis enkel innførsel

dc.contributor.authorAase, Knut K.
dc.date.accessioned2013-03-12T12:35:50Z
dc.date.available2013-03-12T12:35:50Z
dc.date.issued2012-11
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/164207
dc.description.abstractMotivated 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.isoengno_NO
dc.publisherNorwegian School of Economics. Department of Finance and Management Scienceno_NO
dc.relation.ispartofseriesDiscussion paper;2012:13
dc.subjectThe equity premium puzzleno_NO
dc.subjectthe risk-free rate puzzleno_NO
dc.subjectrecursive utilityno_NO
dc.subjectearly resolutionno_NO
dc.subjectutility gradientsno_NO
dc.subjectdynamic programmingno_NO
dc.subjectThe Stern Reviewno_NO
dc.titleWhat puzzles? : new insights in asset pricingno_NO
dc.typeWorking paperno_NO
dc.subject.nsiVDP::Social science: 200::Economics: 210::Business: 213no_NO


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel