Substitution, Risk Aversion, Taste Shocks and Equity Premia

Détails

ID Serval
serval:BIB_AE73B4D18603
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Substitution, Risk Aversion, Taste Shocks and Equity Premia
Périodique
Journal of Applied Econometrics
Auteur⸱e⸱s
Normandin M., St-Amour P.
ISSN
0883-7252
Statut éditorial
Publié
Date de publication
1998
Peer-reviewed
Oui
Volume
13
Numéro
3
Pages
265-281
Langue
anglais
Résumé
This paper gauges the relative contribution of risk aversion, inter-temporal substitution and taste shocks on postwar monthly US equity premia. The time-varying consumption, market, and taste risks involved in the Euler equations are recovered from a common factor GARCH process and the MLE are obtained by applying the Kalman filter. Empirically, (1) the market risk is the only source of risk that does not statistically affect the equity premia, and thus, the hypothesis that the coefficient of relative risk aversion corresponds to the reciprocal of the elasticity of inter-temporal substitution is not rejected; (2) the estimates are reasonable, so that the equity premium puzzle is circumvented; and (3) taste risks are quantitatively important in capturing excess returns movements.
Web of science
Création de la notice
31/03/2009 13:34
Dernière modification de la notice
20/08/2019 16:18
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