LEVERAGE, TIME PREFERENCE, AND THE EQUITY PREMIUM PUZZLE

被引：34

作者：

BENNINGA, S

PROTOPAPADAKIS, A

机构：

[1] CLAREMONT GRAD SCH,CLAREMONT,CA 91711

[2] UNIV CALIF LOS ANGELES,ANDERSON GRAD SCH MANAGEMENT,LOS ANGELES,CA 90024

来源：

JOURNAL OF MONETARY ECONOMICS | 1990年 / 25卷 / 01期

关键词：

D O I：

10.1016/0304-3932(90)90044-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We re-examine the Mehra and Prescott (1985) model. A combination of the time preference factor greater than one and reasonable leverage ratios in the equity market resolve the 'equity premium puzzle'. Such parameter values can be consistent with finite expected utility and a positive risk-free rate of interest rate. The model performs better for the MP target values than for economically reasonable variations around those values. © 1990.

引用

页码：49 / 58

页数：10

共 11 条

[1] ABEL A, 1988, UNPUB ASSET PRICES H
[2] CECCHETTI S, 1988, EQUITY PREMIUM RISK
[3] CONSTANTINIDES GM, 1988, UNPUB HABIT FORMATIO
[4] FRIEND I, 1975, AM ECON REV, V65, P900
[5] KOCHERLAKOTA MR, 1990, J MONETARY ECON, V25, P43
[6] ASSET PRICES IN AN EXCHANGE ECONOMY
LUCAS, RE
[J]. ECONOMETRICA, 1978, 46 (06) : 1429 - 1445
[7] THE EQUITY PREMIUM AND THE CONCENTRATION OF AGGREGATE SHOCKS
MANKIW, NG
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1986, 17 (01) : 211 - 219
[8] Masulis RW, 1988, DEBT EQUITY CHOICE
[9] THE EQUITY PREMIUM - A PUZZLE
MEHRA, R
PRESCOTT, EC
[J]. JOURNAL OF MONETARY ECONOMICS, 1985, 15 (02) : 145 - 161
[10] MEHRA R, 1988, J MONETARY ECON, V22, P133, DOI 10.1016/0304-3932(88)90173-0

← 1 2 →