Hidden Bibliographic Details
| Other authors / contributors: | Pommeret, Aude.
International Monetary Fund.
IMF Institute.
|
|---|
| Notes: | Includes bibliographical references (pages 29-31).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
|
|---|
| Summary: | This paper aims to measure the risk premium on French equities during 1960-92 and to evaluate how well theoretical models based on various representations of agents' preferences can explain it. Aside from the standard, time-additive utility function with constant relative risk aversion, three other utility functions are reviewed: a recursive utility function, a habit formation utility function, and a utility function that accounts for the interdependence of preferences. Both calibration and econometric estimations show that none of the studied marginal changes in the representation of agents' preferences are sufficient to solve both the equity premium puzzle and the risk-free rate puzzle.
|
|---|
| Other form: | Print version: Epaulard, Anne. Agents' preferences, the equity premium, and the consumption-saving trade-off. [Washington, D.C.] : International Monetary Fund, IMF Institute, ©2001
|
|---|
