International Evidence on the Equity Premium Puzzle and Time Discounting

Marc Oliver Rieger, Mei Wang and Thorsten Hens

Chapter 12 in Cultural Finance:A World Map of Risk, Time and Money, 2020, pp 231-245 from World Scientific Publishing Co. Pte. Ltd.

Abstract: We examine time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premiums across 27 countries. This result implies that higher historical equity risk premiums are observed in countries where survey participants tend to be more short-term oriented. This finding is consistent with the explanation of the equity premium puzzle provided by myopic loss aversion. (JEL: G02, G11, D81)

Keywords: Finance; Culture; International; Time Preferences; Risk Preferences; Decision Theory (search for similar items in EconPapers)
JEL-codes: D9 E7 G4 Z1 (search for similar items in EconPapers)
Date: 2020
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