The equity premium puzzle and two assets: GMM estimation

被引：0

作者：

Chung, Chune Young ^{[1
]}

Fard, Amirhossein ^{[2
]}

机构：

[1] Chung Ang Univ, Sch Business Adm, Seoul, South Korea

[2] Texas Lutheran Univ, Dept Business & Econ, Seguin, TX USA

来源：

APPLIED ECONOMICS LETTERS | 2024年 / 31卷 / 13期

关键词：

Production-Based CAPM; two assets; GMM; equity premium puzzle; INVESTMENT; PRICES; RISK;

D O I：

10.1080/13504851.2023.2177588

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We quantify a production-based asset pricing model with fixed and variable capitals based on the GMM structural estimation. The estimation results match the stylized characteristics of the U.S. stock market return and help enlighten the equity premium puzzle. In addition, the model performance is reliable throughout the business cycle.

引用

页码：1188 / 1194

页数：7

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