کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5099843 1377041 2006 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle
چکیده انگلیسی
Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individual forecasters are in fact pessimistic, but show marked overconfidence rather than doubt. However, the implications for Abel's model depend on how the empirically heterogeneous beliefs are mapped into beliefs of a representative agent. We use an Arrow-Debreu economy to show that disagreement increases the equity premium. When incorporating this in our estimation, we find little empirical evidence of either overconfidence or doubt.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 30, Issue 6, June 2006, Pages 1027-1043
نویسندگان
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