Market incompleteness and the equity premium puzzle: Evidence from state-level data

被引：4

作者：

Jacobs, Kris ^{[1
]}

Pallage, Stephane ^{[2
,3
]}

Robe, Michel A. ^{[4
]}

机构：

[1] Univ Houston, Dept Finance, CT Bauer Coll Business, Houston, TX 77204 USA

[2] Univ Quebec, Dept Econ, Montreal, PQ H3C 3P8, Canada

[3] Univ Quebec, CIRPEE, Montreal, PQ H3C 3P8, Canada

[4] American Univ, Dept Finance, Kogod Sch Business, Washington, DC 20016 USA

来源：

JOURNAL OF BANKING & FINANCE | 2013年 / 37卷 / 02期

关键词：

Heterogeneity; Idiosyncratic consumption risk; Incomplete markets; Consumption-based asset pricing model; Risk aversion; Equity premium puzzle; ASSET-PRICING PUZZLES; CONSUMPTION RISK; IDIOSYNCRATIC RISK; HABIT FORMATION; CROSS-SECTION; LONG-RUN; PREFERENCE; PRICES; RESOLUTION; RETURNS;

D O I：

10.1016/j.jbankfin.2012.09.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the importance of market incompleteness by comparing the rates of risk aversion estimated from complete and incomplete markets environments. For the incomplete-markets case, we use consumption data for the 50 US states. We find that the rate of risk aversion under the incomplete-markets setup is much lower. Furthermore, including the second and third moments of the cross-sectional distribution of consumption growth in the pricing kernel lowers the estimate of risk aversion. These findings suggest that market incompleteness ought to be seen as an important component of solutions to the equity premium puzzle. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：378 / 388

页数：11

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