Do self-control preferences help explain the puzzling behavior of asset prices?

• 成果类型: Article
• 署名作者: DeJong, David N.; Ripoll, Marla
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.03.002
• 发表日期: 2007
• 页码: 1035-1050
• 关键词: full-information estimation; risk-free rate; equity premium; stock-price volatility

摘要

In the context of a simple asset-pricing environment, we study the ability of self-control preferences to account for the stock-price volatility, risk-free-rate and equity-premium puzzles. Using a full-information estimation procedure, we estimate the presence of a quantitatively small self-control effect in the data. Moreover, with results obtained using CRRA preferences serving as a benchmark, we find that the adoption of self-control preferences makes only a marginal contribution towards a resolution of these puzzles. (C) 2006 Elsevier B.V. All rights reserved.