Explaining the equity risk premium

被引：0
|
作者：
Lungu, Laurian [1 ]
Minford, Patrick [1 ]
机构：
[1] Cardiff Business Sch, Cardiff, Wales
来源：
MANCHESTER SCHOOL | 2006年 / 74卷 / 06期
关键词：
D O I：
10.1111/j.1467-9957.2006.00522.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We develop a simple overlapping generations model in which the young have a choice in investing in equities or index-linked bonds. Projections of share price uncertainty over a 30-year period show that the risk associated with such long-term investments predicts an equity premium that matches historical values. Moreover, we calibrate the model and show that it can predict up to the fourth moment of both the observed risk premium and the real rate of interest.
引用
收藏
页码：670 / 700
页数：31
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