The effect of time complementarity on consumption smoothing and the equity premium

The effect of time complementarity is examined on the equity premium and consumption smoothing. Under time complementarity (or substitutability), the equity premium is smaller (or larger) and the growth rate in consumption is less (or more) volatile than under time additive preference. It is shown that a resolution of the consumption smoothing puzzle and the equity premium puzzle critically depends on the choice of the risk aversion measure.

MoreLess

Year of publication:	2001
Authors:	Mo Ahn, Chang ; Kim, Joon
Published in:	Research in finance : a research annual. Vol. 18. - Bingley, U.K : Emerald, ISBN 978-1-84950-578-9. - 2001, p. 153-168
Subject:	Risikoprämie \| Risk premium \| Theorie \| Theory \| Privater Konsum \| Private consumption \| Intertemporale Entscheidung \| Intertemporal choice \| Risikoaversion \| Risk aversion

Type of publication:	Article
Language:	English
Other identifiers:	10.1016/S0196-3821(01)18006-8 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10015390108