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International Evidence on the Equity Premium Puzzle and Time Discounting

In: Cultural Finance A World Map of Risk, Time and Money

Author

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  • Marc Oliver Rieger
  • Mei Wang
  • Thorsten Hens

Abstract

We examine time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premiums across 27 countries. This result implies that higher historical equity risk premiums are observed in countries where survey participants tend to be more short-term oriented. This finding is consistent with the explanation of the equity premium puzzle provided by myopic loss aversion. (JEL: G02, G11, D81)

Suggested Citation

  • Marc Oliver Rieger & Mei Wang & Thorsten Hens, 2020. "International Evidence on the Equity Premium Puzzle and Time Discounting," World Scientific Book Chapters, in: Cultural Finance A World Map of Risk, Time and Money, chapter 12, pages 231-245, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811221958_0012
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    More about this item

    Keywords

    Finance; Culture; International; Time Preferences; Risk Preferences; Decision Theory;
    All these keywords.

    JEL classification:

    • Z1 - Other Special Topics - - Cultural Economics
    • G4 - Financial Economics - - Behavioral Finance
    • D9 - Microeconomics - - Micro-Based Behavioral Economics
    • E7 - Macroeconomics and Monetary Economics - - Macro-Based Behavioral Economics

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