- Abstract:
-
This paper assesses the quantitative impact of ambiguity on the historically observed equity premium. We consider a Lucas-tree pure—exchange economy with a single agent where we introduce two key non-standard assumptions. First, the agent’s beliefs about the dividend/consumption process is ambiguous, i.e., she is uncertain about the exact probability distribution governing the realization of future dividends and consumption. Second, the agent’s preferences are sensitive to this ambiguity, a p...
Expand abstract - Volume:
- 550
- Series:
- Discussion paper series
- Publication date:
- 2011-05-05
- URN:
-
uuid:af18d391-afa8-4ebc-a9b3-aed98a35ab50
- Local pid:
- oai:economics.ouls.ox.ac.uk:15184
- Language:
- English
- Copyright date:
- 2011
Working paper
Ambiguity and the historical equity premium.
Actions
Authors
Bibliographic Details
Item Description
Terms of use
Metrics
Altmetrics
Dimensions
If you are the owner of this record, you can report an update to it here: Report update to this record