Kontakt
Ako nakupovať
Doručenie
Nákupný poradca
Angličtina
125 b
Až 30 dní na vrátenie tovaru
Zákazníci tiež kúpili
/
Brožovaná
32.78
€
/
Brožovaná
20.51
€
In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution.
Informácie o knihe
Angličtina
Darujte túto knihu ešte dnes
Je to jednoduché
1 Pridajte knihu do košíka a vyberte možnosť doručiť ako darček 2 Obratom Vám zašleme poukaz 3 Knihu zašleme na adresu obdarovanéhoMohlo by vás tiež zaujímať
/
Pevná
421.88
€
/
Brožovaná
9.95
€
/
Brožovaná
9.95
€
/
Brožovaná
59.93
€
Ahoj! Som Libroamiko, tvoj knižný radca.
Ako ti môžem pomôcť?