An exploration of the effects of pessimism and doubt on asset returns

被引：69

作者：

Abel, AB ^{[1
]}

机构：

[1] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

[2] Natl Bur Econ Res, Philadelphia, PA 19104 USA

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2002年 / 26卷 / 7-8期

关键词：

pessimism; doubt; riskfree rate; equity premium;

D O I：

10.1016/S0165-1889(01)00040-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The subjective distribution of growth rates of aggregate consumption is characterized by pessimism if it is first-order stochastically dominated by the objective distribution. Uniform pessimism is a leftward translation of the objective distribution of the logarithm of the growth rate. The subjective distribution is characterized by doubt if it is a mean-preserving spread of the objective distribution. Pessimism and doubt both reduce the riskfree rate and thus can help resolve the riskfree rate puzzle. Uniform pessimism and doubt both increase the average equity premium and thus can help resolve the equity premium puzzle. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：1075 / 1092

页数：18

共 10 条

[1]

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[2]

CECCHETTI SG, 1990, AM ECON REV, V80, P398

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