The GEL Estimates Resolve the Risk-free Rate Puzzle in Japan

Mikio Ito and Akihiko Noda

No 2010-007, Keio/Kyoto Joint Global COE Discussion Paper Series from Keio/Kyoto Joint Global COE Program

Abstract: We show the nonexistence of the well-known risk-free rate puzzle in the Japanese financial markets. This result crucially depends on the accurate estimates of the two basic parameters: the subjective discount factor and the degree of risk aversion, appearing in the standard consumption-based capital asset pricing model (CCAPM). We estimate these parameters by the recently developed method, generalized empirical likelihood (GEL) estimation; we also confirm our results by comparing mean squared errors (MSEs) based on higher order biases and first order asymptotic variances of the estimates.

Pages: 16 pages
Date: 2010
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ies.keio.ac.jp/old_project/old/gcoe-econbus/pdf/dp/DP2010-007.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:kei:dpaper:2010-007

Access Statistics for this paper

More papers in Keio/Kyoto Joint Global COE Discussion Paper Series from Keio/Kyoto Joint Global COE Program Contact information at EDIRC.
Bibliographic data for series maintained by Global COE Program Office ().