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http://hdl.handle.net/10908/586
Título : | The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions |
Autor/a: | Bertolotto, Manuel Ignacio |
Mentor/a: | Kawamura, Enrique |
Palabras clave : | Stocks -- Prices -- Mathematical models. Acciones (Bolsa) -- Precios -- Modelos matemáticos. |
Fecha de publicación : | 2009 |
Editor: | Universidad de San Andrés. Departamento de Economía |
Resumen : | This paper suggests that the models which try to explain the equity premium puzzle underestimate rare economic events. The stochastic nature of the model increases the probability of far-from the mean output levels. A multiplicative-additive ran- dom walk formulation is considered, consistent with a fat-tail gaussian distribution. Using Barro s (2009) rate of return de nition, the calibrated model yields an equity premium of 5.8% and a risk-free rate of 1.3%. Taking into account the classical de nition, the solutions are 6% and 1.1% respectively. Adopting the utility formu- lation of Epstein and Zin (1989), the coe¢ cient of relative risk aversion that best performs is about 1.8 and the intertemporal elasticity of substitution is roughly 1.1. Finally, there follows a calculation of the average probability of an economic con- traction higher than 15% in the United States during the period between 1954-2004 by using the probability density function calibrated in the last model speci cation mentioned above and yields 0.06%. |
Descripción : | Fil: Bertolotto, Manuel Ignacio. Universidad de San Andrés. Departamento de Economía; Argentina. |
URI : | http://hdl.handle.net/10908/586 |
Aparece en las colecciones: | Tesis de Maestría en Economía |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | |
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[P][W] M. Eco. Manuel I Bertolotto.pdf | 361.99 kB | Adobe PDF | Visualizar/Abrir |
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