Modèles intertemporels d'évaluation d'actifs financiers: une évaluation sur données françaises de longue période

Nicolas Nalpas
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Nicolas Nalpas: TEAM - Université Paris 1

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

Abstract: We examine the existence of an equity premium puzzle in France adopting a long annual data set. To do so, we first investigate the ability of the standard C-CAPM model to account for high equity premia with realistic values for the relative risk aversion coefficient. Employing the three main methods used in the literature for this purpose, we observe that they are complementary each other. We also find that the habit formation model displays some interesting characteristics in explaining the behavior of French consumption and asset returns. Nevertheless, it does not completely succeed because of the underlying positive link between risk aversion and habit persistence

Keywords: C-CAPM; equity premium puzzle; habit formation (search for similar items in EconPapers)
JEL-codes: C13 E21 G12 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2000-03
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Persistent link: https://EconPapers.repec.org/RePEc:mse:wpsorb:bla00032

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