Can ambiguity about rare disasters explain equity premium puzzle?

被引：6
|
作者：
Wang, Yuanping [1 ,2 ,5 ]
Mu, Congming [1 ,3 ,4 ]
机构：
[1] Shanghai Univ Finance & Econ, Shanghai 200433, Peoples R China
[2] Shanxi Univ Finance & Econ, Taiyuan, Shanxi, Peoples R China
[3] Shanghai Inst Int Finance & Econ, Shanghai, Peoples R China
[4] Shanghai Key Lab Financial Informat Technol, Shanghai, Peoples R China
[5] Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China
来源：
ECONOMICS LETTERS | 2019年 / 183卷
基金：
中国博士后科学基金;
关键词：
Equity premium puzzle; Risk-free rate puzzle; Ambiguity aversion; Production-based asset pricing; ASSET PRICES; INVESTMENT; RISK; EQUILIBRIUM; MARKET; MODEL;
D O I：
10.1016/j.econlet.2019.108555
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study the effects of ambiguity aversion to diffusion risk and jump risk on asset prices in a production-based asset pricing model and find that ambiguity aversion to jump risk can resolve equity premium puzzle and risk-free rate puzzle. (C) 2019 Elsevier B.V. All rights reserved.
引用
收藏
页数：6
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