The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions

Fil: Bertolotto, Manuel Ignacio. Universidad de San Andrés. Departamento de Economía; Argentina.

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Detalles Bibliográficos
Autor principal: Bertolotto, Manuel Ignacio
Otros Autores: Kawamura, Enrique
Formato: Tesis Tesis de maestría updatedVersion
Lenguaje:Inglés
Publicado: Universidad de San Andrés. Departamento de Economía 3/23
Materias:
Stocks > Prices > Mathematical models.
Acciones (Bolsa) > Precios > Modelos matemáticos.
Acceso en línea:http://hdl.handle.net/10908/586
Aporte de:
Repositorio Digital - Universidad de San Andrés (UdeSa) de Universidad de San Andrés
id I37-R143-10908-586
record_format dspace
spelling I37-R143-10908-5862025-01-29T16:35:25Z The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions Bertolotto, Manuel Ignacio Kawamura, Enrique Stocks -- Prices -- Mathematical models. Acciones (Bolsa) -- Precios -- Modelos matemáticos. Fil: Bertolotto, Manuel Ignacio. Universidad de San Andrés. Departamento de Economía; Argentina. This paper suggests that the models which try to explain the equity premium puzzle underestimate rare economic events. The stochastic nature of the model increases the probability of far-from the mean output levels. A multiplicative-additive random walk formulation is considered, consistent with a fat-tail gaussian distribution. Using Barro s (2009) rate of return de nition, the calibrated model yields an equity premium of 5.8% and a risk-free rate of 1.3%. Taking into account the classical de nition, the solutions are 6% and 1.1% respectively. Adopting the utility formulation of Epstein and Zin (1989), the coeficient of relative risk aversion that best performs is about 1.8 and the intertemporal elasticity of substitution is roughly 1.1. Finally, there follows a calculation of the average probability of an economic contraction higher than 15% in the United States during the period between 1954-2004 by using the probability density function calibrated in the last model specification mentioned above and yields 0.06%. 3/23/2012 9:22Z 3/23/2012 9:22Z 2009 Tesis info:eu-repo/semantics/masterThesis info:ar-repo/semantics/tesis de maestría info:eu-repo/semantics/updatedVersion Bertolotto, M. I. (2009). The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions. [Tesis de maestría, Universidad de San Andrés. Departamento de Economía]. Repositorio Digital San Andrés. http://hdl.handle.net/10908/586 Tesis M. Eco. 70 http://hdl.handle.net/10908/586 eng info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf application/pdf Universidad de San Andrés. Departamento de Economía
institution Universidad de San Andrés
institution_str I-37
repository_str R-143
collection Repositorio Digital - Universidad de San Andrés (UdeSa)
language Inglés
topic Stocks -- Prices -- Mathematical models.
Acciones (Bolsa) -- Precios -- Modelos matemáticos.
spellingShingle Stocks -- Prices -- Mathematical models.
Acciones (Bolsa) -- Precios -- Modelos matemáticos.
Bertolotto, Manuel Ignacio
The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions
topic_facet Stocks -- Prices -- Mathematical models.
Acciones (Bolsa) -- Precios -- Modelos matemáticos.
description Fil: Bertolotto, Manuel Ignacio. Universidad de San Andrés. Departamento de Economía; Argentina.
author2 Kawamura, Enrique
author_facet Kawamura, Enrique
Bertolotto, Manuel Ignacio
format Tesis
Tesis de maestría
Tesis de maestría
updatedVersion
author Bertolotto, Manuel Ignacio
author_sort Bertolotto, Manuel Ignacio
title The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions
title_short The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions
title_full The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions
title_fullStr The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions
title_full_unstemmed The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions
title_sort equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions
publisher Universidad de San Andrés. Departamento de Economía
publishDate 3/23
url http://hdl.handle.net/10908/586
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