Equity Premium Puzzle: A Finnish Review

Nader Shahzad Virk

Research output: Contribution to journalArticleScientificpeer-review

Abstract

The study provides a comprehensive review on the equity premium puzzle for Finnish stock market. The analysis indicates large risk aversion values for Finnish representative agent to justify the observed equity premium. The negative consumption growth implies a premium for lending in the equilibrium, atypical in reported international evidence. The results for standard consumption model (C-CAPM) show model parameters couldn’t replicate the observed returns on the risk-free bond and proxy for aggregate wealth index, same is reported for the reduced sample estimations. The Hansen and Jagannathan (1997) specification measure further illustrates the inability of the model to explain excess equity premium.
Original languageEnglish
Peer-reviewed scientific journalInternational Journal of Economics and Finance
Volume4
Issue number2
Pages (from-to)44-55
Number of pages12
ISSN1916-971X
DOIs
Publication statusPublished - 01.02.2012
MoE publication typeA1 Journal article - refereed

Keywords

  • 511 Economics
  • equity premium
  • risk aversion
  • C-CAPM
  • Hansen and Jagannathan (1997) specification measure
  • KOTA2012

Fingerprint Dive into the research topics of 'Equity Premium Puzzle: A Finnish Review'. Together they form a unique fingerprint.

  • Cite this