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Author/Editor:
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Epaulard, Anne ; Pommeret, Aude
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Publication Date:
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August 01, 2001
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Electronic Access:
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Free Full text
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
This paper aims to measure the risk premium on French equities during 1960-92 and to evaluate how well theoretical models based on various representations of agents' preferences can explain it. Aside from the standard, time-additive utility function with constant relative risk aversion, three other utility functions are reviewed: a recursive utility function, a habit formation utility function, and a utility function that accounts for the interdependence of preferences. Both calibration and econometric estimations show that none of the studied marginal changes in the representation of agents' preferences are sufficient to solve both the equity premium puzzle and the risk-free rate puzzle.
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Series:
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Working Paper No. 01/117
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Subject(s):
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Risk premium | France | Consumption | Savings | Economic models
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Author's Keyword(s):
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Equity premium | puzzle | risk-free rate puzzle |
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English
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Publication Date:
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August 01, 2001
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ISBN/ISSN:
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1934-7073
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Format:
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Paper
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Stock No:
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WPIEA1172001
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Pages:
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36
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Price:
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US$15.00 )
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Price Delivery Note:
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Prepayment required for individual copies. An annual subscription is $375.00 a year. It includes 12 monthly shipments and priority mail delivery. The Stock No. for the subscription is WPEA.
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