1ST-ORDER RISK-AVERSION AND THE EQUITY PREMIUM PUZZLE

被引：115

作者：

EPSTEIN, LG ^{[1
]}

ZIN, SE ^{[1
]}

机构：

[1] CARNEGIE MELLON UNIV,PITTSBURGH,PA 15213

来源：

JOURNAL OF MONETARY ECONOMICS | 1990年 / 26卷 / 03期

关键词：

D O I：

10.1016/0304-3932(90)90004-N

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper integrates Yaari's dual theory of choice under uncertainty into a multiperiod context and examines its implications for the equity premium puzzle. An important property of these preferences is that of 'first-order risk aversion' which implies, in our model, that the risk premium for a small gamble is proportional to the standard deviation rather than the variance. Since the standard deviation of the growth rate in aggregate consumption is considerably larger than its variance, the model can generate both a small risk-free rate and a moderate equity premium. © 1990.

引用

页码：387 / 407

页数：21

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