An exploration of the effects of pessimism and doubt on asset returns. (Q1605411)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An exploration of the effects of pessimism and doubt on asset returns. |
scientific article; zbMATH DE number 1768256
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An exploration of the effects of pessimism and doubt on asset returns. |
scientific article; zbMATH DE number 1768256 |
Statements
An exploration of the effects of pessimism and doubt on asset returns. (English)
0 references
15 July 2002
0 references
The subjective distribution of growth rates of aggregate consumption is characterized by pessimism if it is first-order stochastically dominated by the objective distribution. Uniform pessimism is a leftward translation of the objective distribution of the logarithm of the growth rate. The subjective distribution is characterized by doubt if it is a mean-preserving spread of the objective distribution. Pessimism and doubt both reduce the riskfree rate and thus can help resolve the riskfree rate puzzle. Uniform pessimism and doubt both increase the average equity premium and thus can help resolve the equity premium puzzle.
0 references
Pessimism
0 references
Doubt
0 references
Riskfree rate
0 references
Equity premium
0 references
0.8173803
0 references
0.8102917
0 references
0.8004742
0 references
0.7961029
0 references
0.77895445
0 references
0.77556795
0 references
0 references
0.7656325
0 references
0.76087487
0 references
