Can Rare Events Explain the Equity Premium Puzzle?

• 成果类型: Article
• 署名作者: Julliard, Christian; Ghosh, Anisha
• 署名单位: Carnegie Mellon University; University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs078
• 发表日期: 2012
• 页码: 3037
• 关键词: CROSS-SECTIONAL TEST; Empirical Likelihood; generalized-method; Consumption risk; disasters

摘要

Probably not. First, allowing the probabilities of the states of the economy to differ from their sample frequencies, the consumption-CAPM is still rejected in both U.S. and international data. Second, the recorded world disasters are too small to rationalize the puzzle, unless one assumes that disasters occur every 6-10 years. Third, if the data were generated by the rare events distribution needed to rationalize the equity premium puzzle, the puzzle itself would be unlikely to arise. Fourth, the rare events hypothesis, by reducing the cross-sectional dispersion of consumption risk, worsens the ability of the consumption-CAPM to explain the cross-section of returns.