Time Discounting and the Value Premium

Thorsten Hens, Marc Oliver Rieger and Mei Wang

Chapter 15 in Cultural Finance:A World Map of Risk, Time and Money, 2020, pp 303-319 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In this chapter, we summarize results from Hens and Schindler (2020) on the influence of time discounting on value premium. We will see that in a consumption-based asset pricing model with hyperbolic discounting — leading to dynamically inconsistent time preferences — the value premium increases nonlinearly with the degree of discounting and thus affects cross section of returns. To test this model, Hens and Schindler (2020) relate the size of the value premium in 41 countries to the degree of hyperbolic discounting across those countries, using the INTRA data. The result is robust to the inclusion of other variables from INTRA, such as risk aversion, as well as micro and macroeconomic variables from the 41 countries.

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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811221958_0015 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811221958_0015 (text/html)
Ebook Access is available upon purchase.

Related works:
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:wsi:wschap:9789811221958_0015

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().