Discounting The Equity Premium Puzzle
Guay Lim () and
Esfandiar Maasoumi ()
No 331, Econometric Society 2004 Australasian Meetings from Econometric Society
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)
New Economics Papers: this item is included in nep-cfn and nep-fin
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:ausm04:331
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