Luxury Goods and the Equity Premium
What a great article The equity risk premium has puzzled researchers for years. In a nutshell it is the finding that the equity risk premium demanded by investors is too large to be explained by changes in stock returns or changes in consumption unless very high levels of risk aversion were assumed. (See Grossman-Schiller, 1981, Mehra-Prescott 1985). In a forthcoming JF article, … [ Read more ]
Content: Article | Authors: Jonathan A. Parket, Motohiro Yogo, Yacine Ait-Sahalia | Subjects: Finance, Industry Specific | Industry: Finance / Banking