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State-dependent preferences can explain the equity premium puzzle

✍ Scribed by Angelo Melino; Alan X. Yang

Book ID
114362056
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
283 KB
Volume
6
Category
Article
ISSN
1096-0929

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This paper examines the behavior of asset returns as predicted by the consumptionbased capital asset pricing model within an artificial economy that includes a low probability, crash state in consumption and dividends. It is demonstrated that the behavior of agents' intertemporal marginal rate of su