Unrealized Return Dispersion and the Equity Risk Premium

This paper discusses how unrealized return dispersion across individuals affects the equity risk premium. We specify an intertemporal capital asset pricing model with heterogeneous preferences depending on investors’ unrealized returns and uncover that unrealized return dispersion negatively predicts the equity risk premium. An empirical study is performed on the Chinese stock market, and the results are consistent with the theoretical claims

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Year of publication:	[2023]
Authors:	Qiao, Kenan ; 纪, 哲翰 ; Xie, Haibin
Publisher:	[S.l.] : SSRN
Subject:	Risikoprämie \| Risk premium \| Kapitaleinkommen \| Capital income \| Volatilität \| Volatility \| Theorie \| Theory

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4474304 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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