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The equity premium puzzle and two assets: GMM estimation
- Authors
- Chung, Chune Young; Fard, A.
- Issue Date
- Jul-2024
- Publisher
- Routledge
- Keywords
- equity premium puzzle; GMM; Production-Based CAPM; two assets
- Citation
- Applied Economics Letters, v.31, no.13, pp 1188 - 1194
- Pages
- 7
- Journal Title
- Applied Economics Letters
- Volume
- 31
- Number
- 13
- Start Page
- 1188
- End Page
- 1194
- ISSN
- 1350-4851
1466-4291
- Abstract
- We quantify a production-based asset pricing model with fixed and variable capitals based on the GMM structural estimation. The estimation results match the stylized characteristics of the U.S. stock market return and help enlighten the equity premium puzzle. In addition, the model performance is reliable throughout the business cycle. © 2023 Informa UK Limited, trading as Taylor & Francis Group.
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Related Researcher
- Chung, Chune Young
- 경영경제대학 (경영학부(서울))