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The equity premium puzzle and two assets: GMM estimation
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Chung, Chune Young | - |
| dc.contributor.author | Fard, A. | - |
| dc.date.accessioned | 2023-04-17T01:41:08Z | - |
| dc.date.available | 2023-04-17T01:41:08Z | - |
| dc.date.issued | 2024-07 | - |
| dc.identifier.issn | 1350-4851 | - |
| dc.identifier.issn | 1466-4291 | - |
| dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/66392 | - |
| dc.description.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. | - |
| dc.format.extent | 7 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | Routledge | - |
| dc.title | The equity premium puzzle and two assets: GMM estimation | - |
| dc.type | Article | - |
| dc.identifier.doi | 10.1080/13504851.2023.2177588 | - |
| dc.identifier.bibliographicCitation | Applied Economics Letters, v.31, no.13, pp 1188 - 1194 | - |
| dc.description.isOpenAccess | N | - |
| dc.identifier.wosid | 000930965700001 | - |
| dc.identifier.scopusid | 2-s2.0-85148295016 | - |
| dc.citation.endPage | 1194 | - |
| dc.citation.number | 13 | - |
| dc.citation.startPage | 1188 | - |
| dc.citation.title | Applied Economics Letters | - |
| dc.citation.volume | 31 | - |
| dc.type.docType | Article | - |
| dc.publisher.location | 영국 | - |
| dc.subject.keywordAuthor | equity premium puzzle | - |
| dc.subject.keywordAuthor | GMM | - |
| dc.subject.keywordAuthor | Production-Based CAPM | - |
| dc.subject.keywordAuthor | two assets | - |
| dc.subject.keywordPlus | INVESTMENT | - |
| dc.subject.keywordPlus | PRICES | - |
| dc.subject.keywordPlus | RISK | - |
| dc.relation.journalResearchArea | Business & Economics | - |
| dc.relation.journalWebOfScienceCategory | Economics | - |
| dc.description.journalRegisteredClass | ssci | - |
| dc.description.journalRegisteredClass | scopus | - |
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Related Researcher
- Chung, Chune Young
- 경영경제대학 (경영학부(서울))