Substitution, Risk Aversion, Taste Shocks and Equity Premia

Michel Normandin () and St-Amour, P.

Working Papers from Laval - Recherche en Politique Economique

Abstract: This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state and time-non-separable preferences are subject to taste shocks. The model nests state and time-separable preferences with and without taste shocks as special cases.

Keywords: STOCKS; RISK; MATHEMATICAL MODELS (search for similar items in EconPapers)
JEL-codes: G12 C12 C32 (search for similar items in EconPapers)
Date: 1996

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Related works:
Working Paper: Substitution, Risk Aversion, Taste Shocks and Equity Premia (1996)
Working Paper: Substitution, Risk Aversion, Taste Shocks and Equity Premia (1996)
Working Paper: Substitution, Risk Aversion, Taste Shocks and Equity Premia (1996)
Journal Article: Substitution, risk aversion, taste shocks and equity premia (1998)
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Persistent link: http://EconPapers.repec.org/RePEc:fth:lavape:9606

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