Stochastic Discount Factor Models and the Equity Premium Puzzle
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Cited by:
- Christopher Otrok & B. Ravikumar, 2020. "Asset Pricing Through the Lens of the Hansen-Jagannathan Bound," Review, Federal Reserve Bank of St. Louis, vol. 102(3), pages 255-269, July.
- Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2007. "A generalized volatility bound for dynamic economies," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2269-2290, November.
- Alonso, Irasema & Prado, Mauricio, 2015. "Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 78-92.
- Fujii, Yoichiro & Nakamura, Yutaka, 2021. "Regret-sensitive equity premium," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 302-307.
- Łukowski, Michał & Gemra, Kamil & Maruszewski, Janusz & Śliwiński, Paweł & Zygmanowski, Piotr, 2020. "Equity premium puzzle — Evidence from Poland," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
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More about this item
Keywords
Stochastic Discount Factor; Hansen-Jagannathan Bound; Equity Premium;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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