Por favor, use este identificador para citar o enlazar este ítem:
http://hdl.handle.net/10908/586
Registro completo de metadatos
Campo DC | Valor | Lengua/Idioma |
---|---|---|
dc.contributor.Mentor | Kawamura, Enrique | |
dc.creator.Autor | Bertolotto, Manuel Ignacio | |
dc.date.accessioned | 2012-03-23T12:22:20Z | |
dc.date.available | 2012-03-23T12:22:20Z | |
dc.date.issued | 2009 | |
dc.identifier.other | Tesis M. Eco. 70 | |
dc.identifier.uri | http://hdl.handle.net/10908/586 | |
dc.description | Fil: Bertolotto, Manuel Ignacio. Universidad de San Andrés. Departamento de Economía; Argentina. | |
dc.description.abstract | 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%. | |
dc.format | application/pdf | |
dc.language | eng | |
dc.publisher | Universidad de San Andrés. Departamento de Economía | |
dc.rights | info:eu-repo/semantics/openAccess | |
dc.rights | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
dc.subject | Stocks -- Prices -- Mathematical models. | |
dc.subject | Acciones (Bolsa) -- Precios -- Modelos matemáticos. | |
dc.title | The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions | |
dc.type | Tesis | |
dc.type | info:eu-repo/semantics/masterThesis | |
dc.type | info:ar-repo/semantics/tesis de maestría | |
dc.type | info:eu-repo/semantics/updatedVersion | |
Aparece en las colecciones: | Tesis de Maestría en Economía |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | |
---|---|---|---|---|
[P][W] M. Eco. Manuel I Bertolotto.pdf | 361.99 kB | Adobe PDF | Visualizar/Abrir |
Los ítems de DSpace están protegidos por copyright, con todos los derechos reservados, a menos que se indique lo contrario.