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dc.contributor.MentorKawamura, Enrique
dc.creator.AutorBertolotto, Manuel Ignacio
dc.date.accessioned2012-03-23T12:22:20Z
dc.date.available2012-03-23T12:22:20Z
dc.date.issued2009
dc.identifier.otherTesis M. Eco. 70
dc.identifier.urihttp://hdl.handle.net/10908/586
dc.descriptionFil: Bertolotto, Manuel Ignacio. Universidad de San Andrés. Departamento de Economía; Argentina.
dc.description.abstractThis 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.formatapplication/pdf
dc.languageeng
dc.publisherUniversidad de San Andrés. Departamento de Economía
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightshttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectStocks -- Prices -- Mathematical models.
dc.subjectAcciones (Bolsa) -- Precios -- Modelos matemáticos.
dc.titleThe equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions
dc.typeTesis
dc.typeinfo:eu-repo/semantics/masterThesis
dc.typeinfo:ar-repo/semantics/tesis de maestría
dc.typeinfo:eu-repo/semantics/updatedVersion
Aparece en las colecciones: Tesis de Maestría en Economía

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