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Can Rare Events Explain the Equity Premium Puzzle? · Study

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PreprintCan Rare Events Explain the Equity Premium Puzzle?

Christian Julliard2008

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Preprintgreen2008

Can Rare Events Explain the Equity Premium Puzzle?

Christian Julliard · Anisha Ghosh

38 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1978Asset Prices in an Exchange Economy 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities 2006Rare Disasters and Asset Markets in the Twentieth Century*1993Understanding Risk and Return 1997Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis 1976The Valuation of Uncertain Income Streams and the Pricing of Options

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2011Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals 2007Consumption-Based Asset Pricing With Higher Cumulants 2009Asset Return Dynamics under Bad Environment-Good Environment Fundamentals 2009Disasters Risk and Business Cycles

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Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations38

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1104760

openalex_workW2025670968

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