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Intertemporal Asset Pricing
Bernd Meyer
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Description for Intertemporal Asset Pricing
Paperback. This work analyzes the "equity premium puzzle" and the "risk-free rate puzzle" in the German capital market. The author provides insights into the basic mechanisms of intertemporal equilibrium asset pricing models derived from the consumption and investment choice of individuals. Series: Contributions to Economics. Num Pages: 287 pages, 5 black & white illustrations, 27 black & white tables, biography. BIC Classification: 1DFG; KCH; KFFM2. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 235 x 155 x 16. Weight in Grams: 475.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
1998
Publisher
Physica-Verlag GmbH & Co Germany
Number of pages
287
Condition
New
Series
Contributions to Economics
Number of Pages
287
Place of Publication
Heidelberg, Germany
ISBN
9783790811599
SKU
V9783790811599
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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