Can ambiguity about rare disasters explain equity premium puzzle?

DOI10.1016/J.ECONLET.2019.108555zbMath1420.91147OpenAlexW2959498221WikidataQ127457432 ScholiaQ127457432MaRDI QIDQ2324692

Yuanping Wang, Congming Mu

Publication date: 12 September 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108555

zbMATH Keywords

ambiguity aversionequity premium puzzlerisk-free rate puzzleproduction-based asset pricing

Mathematics Subject Classification ID

Decision theory (91B06)

Related Items (1)

Robust leverage dynamics without commitment

Cites Work

• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Ambiguity sharing and the lack of relative performance evaluation
• Time-inconsistent preferences, investment and asset pricing
• Dynamic corporate investment and liquidity management under model uncertainty
• Rare Disasters and Asset Markets in the Twentieth Century*
• Asset Prices in an Exchange Economy
• Consumption-Based Asset Pricing with Higher Cumulants
• Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
• Adjustment Costs in the Theory of Investment of the Firm

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