Working paper
Ambiguity and the historical equity premium
- Abstract:
-
This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and prices. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk-free rate in data and condition the uncertainty each period on the actual, observed history of (U.S.) macroeconomic growth outcomes. Ambiguity...
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- Publication status:
- Published
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Bibliographic Details
- Publisher:
- University of Oxford Publisher's website
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2011-04-29
- Paper number:
- 550
Item Description
- Keywords:
- Pubs id:
-
451784
- Local pid:
- pubs:451784
- Deposit date:
- 2020-12-14
Terms of use
- Copyright date:
- 2011
- Rights statement:
- Copyright 2011 The Author(s)
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