Equity premium puzzle — Evidence from Poland

Michał Łukowski, Kamil Gemra, Janusz Maruszewski, Paweł Śliwiński and Piotr Zygmanowski

Journal of Behavioral and Experimental Finance, 2020, vol. 28, issue C

Abstract: The paper investigates the equity premium puzzle on Warsaw Stock Exchange (WSE). The dataset we use is based on a detailed survey conducted among Polish individual investors, which enabled us to develop an investor’s profile. We find evidence that certain behavioral biases are present on the market. We later compare the results with the risk premium on the WSE to verify whether the premium that exists on the market can be explained using behavioral factors. The study provides empirical solution to the equity premium puzzle starting from the individual investor level up to the aggregated market.

Keywords: Behavioral finance; Equity premium puzzle; Investor’s utility function; Relative risk aversion; Behavioral biases (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 G41 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303257

DOI: 10.1016/j.jbef.2020.100398

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