Discounting The Equity Premium Puzzle

Vance Martin, Guay Lim and Esfandiar Maasoumi

No 331, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to assess whether the existence of a premium is due to an incorrect choice of either the utility function or the underlying returns distribution. The approach is applied to a range of data sets including the S&P500

Keywords: Equity premium puzzle; stochastic dominance; nonparametric; subsampling. (search for similar items in EconPapers)
JEL-codes: C14 G12 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-cfn and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://repec.org/esAUSM04/up.2531.1078895389.pdf (application/pdf)

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:ecm:ausm04:331

Access Statistics for this paper

More papers in Econometric Society 2004 Australasian Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum (baum@bc.edu).