Contributions to Economics : Evidence from Germany - Bernd Meyer

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Contributions to Economics

Evidence from Germany

By: Bernd Meyer

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Paperback | 10 November 1998

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304 Pages

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24.13 x 15.88 x 1.91

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In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution.

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You Can Find This Book In

Non-Fiction Accounting & Finance Finance Investment & Securities Shares & Stocks Economics Econometrics Mathematics Optimisation Game Theory Applied Mathematics

Introduction	p. 1
Intertemporal Asset Pricing: Theory	p. 13
The Market Pricing Kernel Approach	p. 15
Implications of Asset Prices for the Market Pricing Kernel	p. 25
Parametric Models of the Market Pricing Kernel	p. 41
The Calibration Approach for Empirically Investigating Parametric Models of the Market Pricing Kernel	p. 87
Intertemporal Asset Pricing: Empirical Analysis	p. 107
Overview and Description of Data	p. 109
Analyzing Variance Bounds of the Market Pricing Kernel	p. 139
Applying the Calibration Approach	p. 159
Evaluating the Calibrated Equilibrium Models	p. 221
Conclusion	p. 241
Expected Value of the Product of Jointly Lognormally Distributed Variables	p. 249
App. A.2: Additional Tables and Figures	p. 251
List of Symbols	p. 263
List of Tables	p. 267
List of Figures	p. 271
Bibliography	p. 275
Table of Contents provided by Blackwell. All Rights Reserved.

Contributions to Economics

Evidence from Germany

At a Glance

Paperback

Shipping

How to return your order

Defective items

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