Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5059289 | Economics Letters | 2014 | 4 Pages |
Abstract
In this note, we consider the effect on equity premiums of a representative household's subjective expectations during disasters. In particular, we focus on the effect of doubt during disasters. We derive analytical solutions of equity premiums in the model of power utility function and conduct numerical exercises of the model of the recursive utility function. Our contribution is to demonstrate that doubt during disasters-even mild ones-generates high equity premiums.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Shiba Suzuki,