The equity premium implied by production

• 成果类型: Article
• 署名作者: Jermann, Urban J.
• 署名单位: University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.04.007
• 发表日期: 2010
• 页码: 279-296
• 关键词: equity premium; Production

摘要

This paper studies the determinants of the equity premium as implied by producers' first-order conditions. A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology parameters. Calibrated to the US postwar economy, the model can match the historical first and second moments of the market return and the risk-free interest rate. The model also generates a very volatile Sharpe ratio and market price of risk. (C) 2010 Elsevier B.V. All rights reserved.