The equity premium puzzle and two assets: GMM estimation

Chune Young Chung and Amirhossein Fard

Applied Economics Letters, 2024, vol. 31, issue 13, 1188-1194

Abstract: We quantify a production-based asset pricing model with fixed and variable capitals based on the GMM structural estimation. The estimation results match the stylized characteristics of the U.S. stock market return and help enlighten the equity premium puzzle. In addition, the model performance is reliable throughout the business cycle.

Date: 2024
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DOI: 10.1080/13504851.2023.2177588

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