Equity-premium puzzle: evidence from Brazilian data

Economia Aplicada

Rubens Penha Cysne¹ 

[1] ,Getulio Vargas Foundation (EPGE/FGV)

关键词: equity premium;    puzzle;    Brazil;    recursive preferences;    asset pricing;    prêmio de risco;    precificação de ativos;    utilidade recursiva;    prêmio de risco no Brasil;    "equity-premium puzzle";   

DOI  :  10.1590/S1413-80502006000200001

来源: SciELO

【 摘 要 】

This paper uses 1992:1-2004:2 quarterly data and two different methods (approximation under lognormality and calibration) to evaluate the existence of an equity-premium puzzle in Brazil. In contrast with some previous works in the Brazilian literature, I conclude that the model used by Mehra and Prescott (1985), either with additive or recursive preferences, is not able to satisfactorily rationalize the equity premium observed in the Brazilian data. The second contribution of the paper is calling the attention to the fact that the utility function calculated under the discrete-state approximation may not exist if the data (as it is the case with Brazilian time series) implies the existence of states in which high negative rates of consumption growth are attained with relatively high probability. This fact is particularly important when the researcher tries to work with high risk-aversion parameters in order to generate high risk premia.

【 授权许可】

CC BY-NC   
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