Modèles intertemporels d'évaluation d'actifs financiers: une évaluation sur données françaises de longue période

Nicolas Nalpas ()
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Nicolas Nalpas: TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: We examine the existence of an equity premium puzzle in France adopting a long annual data set. To do so, we first investigate the ability of the standard C-CAPM model to account for high equity premia with realistic values for the relative risk aversion coefficient. Employing the three main methods used in the literature for this purpose, we observe that they are complementary each other. We also find that the habit formation model displays some interesting characteristics in explaining the behavior of French consumption and asset returns. Nevertheless, it does not completely succeed because of the underlying positive link between risk aversion and habit persistence.

Keywords: C-CAPM; equity premium puzzle; habit formation; enigme de la prime de risque; formation des habitudes (search for similar items in EconPapers)
Date: 2000-03
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03718540
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Published in 2000

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-03718540

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