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| Campo DC | Valor | Lengua/Idioma |
|---|---|---|
| dc.provenance | Universidad de San Andrés | - |
| dc.contributor | Kawamura, Enrique, tutor. | - |
| dc.creator | Bertolotto, Manuel Ignacio. | - |
| dc.date.accessioned | 2018-05-04T16:44:44Z | - |
| dc.date.accessioned | 2018-05-14T17:57:24Z | - |
| dc.date.available | 2018-05-04T16:44:44Z | - |
| dc.date.available | 2018-05-14T17:57:24Z | - |
| dc.date.issued | 2012-03-23 | - |
| dc.identifier.uri | http://10.0.0.11:8080/jspui/handle/bnmm/55702 | - |
| dc.description | Tesis --Universidad de San Andrés, 2011. Incluye referencias bibliográficas. | - |
| dc.description | This paper suggests that the models which try to explain the equity premium puzzle underestimate rare economic events. The stochastic nature of the model increases the probability of far-from the mean output levels. A multiplicative-additive ran- dom walk formulation is considered, consistent with a fat-tail gaussian distribution. Using Barro s (2009) rate of return de nition, the calibrated model yields an equity premium of 5.8% and a risk-free rate of 1.3%. Taking into account the classical de nition, the solutions are 6% and 1.1% respectively. Adopting the utility formu- lation of Epstein and Zin (1989), the coe¢ cient of relative risk aversion that best performs is about 1.8 and the intertemporal elasticity of substitution is roughly 1.1. Finally, there follows a calculation of the average probability of an economic con- traction higher than 15% in the United States during the period between 1954-2004 by using the probability density function calibrated in the last model speci cation mentioned above and yields 0.06%. | - |
| dc.description | Kawamura, Enrique, tutor. | - |
| dc.language | en | - |
| dc.source.uri | http://hdl.handle.net/10908/586 | - |
| dc.subject | Stocks -- Prices -- Mathematical models. | - |
| dc.subject | Acciones (Bolsa) -- Precios -- Modelos matemáticos. | - |
| dc.title | The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions | - |
| dc.type | Thesis | - |
| Aparece en las colecciones: | Universidad de San Andrés | |
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