Title Agents' preferences, the equity premium, and the consumption-saving trade-off : an application to French data / Anne Epaulard and Aude Pommeret

Published [Washington, D.C.] : International Monetary Fund, IMF Institute, ©2001

Click on the following:
IMF eLibrary

Copies

Description 1 online resource (35 pages) : illustrations Series IMF working paper ; WP/01/117 IMF working paper ; WP/01/117 Summary This paper aims to measure the risk premium on French equities during 1960-92 and to evaluate how well theoretical models based on various representations of agents' preferences can explain it. Aside from the standard, time-additive utility function with constant relative risk aversion, three other utility functions are reviewed: a recursive utility function, a habit formation utility function, and a utility function that accounts for the interdependence of preferences. Both calibration and econometric estimations show that none of the studied marginal changes in the representation of agents' preferences are sufficient to solve both the equity premium puzzle and the risk-free rate puzzle Bibliography Includes bibliographical references (pages 29-31) Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Print version record Subject Stocks -- Prices -- France -- Econometric models Risk -- France -- Econometric models Rate of return -- France -- Econometric models Investment analysis -- Econometric models Investment analysis -- Econometric models. Rate of return -- Econometric models. Risk -- Econometric models. France. Form Electronic book Author Pommeret, Aude International Monetary Fund IMF Institute

  Permalink