Unrealized return dispersion and the equity risk premium

被引：1
|
作者：
Qiao, Kenan [1 ,2 ,3 ]
Ji, Zhehan [4 ]
Xie, Haibin [4 ,5 ]
机构：
[1] Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
[2] Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China
[3] Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
[4] Univ Int Business & Econ, Sch Banking & Finance, Beijing, Peoples R China
[5] Univ Int Business & Econ, Sch Banking & Finance, Beijing 100029, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 58卷
基金：
中国国家自然科学基金;
关键词：
Disposition effect; Unrealized return dispersion; Equity risk premium; PROSPECT-THEORY; STOCK; MODEL;
D O I：
10.1016/j.frl.2023.104316
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper discusses how unrealized return dispersion across individuals affects the equity risk premium. We specify an intertemporal capital asset pricing model with heterogeneous preferences depending on investors' unrealized returns and uncover that unrealized return dispersion negatively predicts the equity risk premium. An empirical study is performed on the Chinese stock market, and the results are consistent with the theoretical claims.
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页数：6
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