Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
967984 | Journal of Monetary Economics | 2007 | 16 Pages |
Abstract
In the context of a simple asset-pricing environment, we study the ability of self-control preferences to account for the stock-price volatility, risk-free-rate and equity-premium puzzles. Using a full-information estimation procedure, we estimate the presence of a quantitatively small self-control effect in the data. Moreover, with results obtained using CRRA preferences serving as a benchmark, we find that the adoption of self-control preferences makes only a marginal contribution towards a resolution of these puzzles.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
David N. DeJong, Marla Ripoll,