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Comment on Gabaix and Laibson, “The 6D bias and the equity premium puzzle”
premium puzzle Gabaix and Laibson
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2015/7/23
An economy populated by a representative agent with power utility predicts
an equity premium which is far below the realized equity premium in postwar
data, at least for “reasonable parameters” for ...
Risk-Sharing Externalities and Its Implications for Equity Premium in an Infinite-Horizon Economy
Risk-sharing externalities endogenous income risks incomplete market participation
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2010/12/6
This paper examines asset prices when risk-sharing externalities are incorporated into an infinite-horizon model where consumers are exposed to the endogenous income risks. It is shown that there exis...
Luxury Goods and the Equity Premium
Luxury Goods the Equity Premium
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2014/3/13
This paper evaluates the equity premium using novel data on the consumption of luxury goods. Specifying utility as a nonhomothetic function of both luxury and basic consumption goods, we derive pricin...