L'énigme de la prime de risque : une application aux données françaises

The aim of this empirical paper is to measure the equity risk premium on the French financial market (1960-1962), and to evaluate, through both calibration and econometric estimations, whether any change in the assumptions on agents?s preferences may improve the explanation of the large equity risk premium one observes. Aside from the standard time additive CHRA utility function, three other utility functions are reviewed : the recursive utility function, a habit formation utility function, and a utility function which exhibits preferences interdependance.