EconPapers    
Economics at your fingertips  
 

An exploration of the effect of doubt during disasters on equity premiums

Shiba Suzuki

Economics Letters, 2014, vol. 123, issue 3, 270-273

Abstract: In this note, we consider the effect on equity premiums of a representative household’s subjective expectations during disasters. In particular, we focus on the effect of doubt during disasters. We derive analytical solutions of equity premiums in the model of power utility function and conduct numerical exercises of the model of the recursive utility function. Our contribution is to demonstrate that doubt during disasters–even mild ones–generates high equity premiums.

Keywords: Subjective expectations; Disasters; Equity premium (search for similar items in EconPapers)
JEL-codes: G02 G12 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176514000743
Full text for ScienceDirect subscribers only

Related works:
Working Paper: An Exploration of the Effect of Doubt During Disasters on Equity Premiums (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:3:p:270-273

DOI: 10.1016/j.econlet.2014.02.010

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2024-12-28
Handle: RePEc:eee:ecolet:v:123:y:2014:i:3:p:270-273