Is There an Equity Premium Puzzle in Italy? A look at Asset Returns, Consumption and Financial Structure Data over the Last Century

1999 ◽  
Author(s):  
Fabio Panetta ◽  
Roberto Violi
Keyword(s):  
Structure Data ◽  
Equity Premium ◽  
Financial Structure ◽  
Asset Returns ◽  
Equity Premium Puzzle ◽  
Premium Puzzle

The Private Equity Premium Puzzle

2001 ◽  
Author(s):  
Tobias J. Moskowitz ◽  
Annette Vissing-Jorgensen
Keyword(s):  
Private Equity ◽  
Equity Premium ◽  
Equity Premium Puzzle ◽  
Premium Puzzle

scholarly journals Solution to the Equity Premium Puzzle

2021 ◽  
Author(s):  
Atilla Aras
Keyword(s):  
Relative Risk ◽  
Risk Aversion ◽  
Risk Behavior ◽  
Empirical Studies ◽  
Equity Premium ◽  
Subjective Time ◽  
Relative Risk Aversion ◽  
Equity Premium Puzzle ◽  
Time Discount ◽  
Premium Puzzle

This study provides a solution of the equity premium puzzle. Questioning the validity of the Arrow-Pratt measure of relative risk aversion for detecting the risk behavior of investors, a new tool in the form of the sufficiency factor of the model was developed to analyze the risk behavior of investors. The calculations of this newly tested model show that the value of the coefficient of relative risk aversion is 1.033526 by assuming the value of the subjective time discount factor as 0.99. Since these values are compatible with the existing empirical studies, they confirm the validity of the newly derived model that provides a solution to the equity premium puzzle.

Sign in / Sign up

Export Citation Format

Share Document