Robust asset pricing with stochastic hyperbolic discounting

doi:10.1016/j.frl.2017.01.005

CORC > 上海财经大学 > 上海财经大学

	Robust asset pricing with stochastic hyperbolic discounting
	Wang, Haijun 1,2
刊名	FINANCE RESEARCH LETTERS
	2017-05
卷号	21 页码:178-185
关键词	Asset pricing Stochastic hyperbolic discounting Ambiguity The equity premium puzzle The risk-free rate puzzle
ISSN号	1544-6123
DOI	10.1016/j.frl.2017.01.005
英文摘要	This paper examines how the interactions of stochastic hyperbolic discounting and ambiguity affect asset pricing. It is found that stochastic hyperbolic discounting has no effects on the equity premium and can raise or lower the risk-free rate, while ambiguity raises the equity premium and always lowers the risk-free rate. Empirical analysis shows that the equity premium puzzle and the risk-free rate puzzle can be resolved by stochastic hyperbolic discounting and ambiguity, while exponential discounting and ambiguity cannot interpret the risk-free rate puzzle. (C) 2017 Elsevier Inc. All rights reserved.
WOS研究方向	Business & Economics
语种	英语
出版者	ACADEMIC PRESS INC ELSEVIER SCIENCE
WOS记录号	WOS:000400220500026
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/990]
专题	上海财经大学
通讯作者	Wang, Haijun
作者单位	1.Shanghai Univ Finance & Econ, Sch Math, Shanghai 200433, Peoples R China; 2.Shanghai Univ Finance & Econ, Shanghai Key Lab Financial Informat Technol, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Wang, Haijun. Robust asset pricing with stochastic hyperbolic discounting[J]. FINANCE RESEARCH LETTERS,2017,21:178-185.
APA	Wang, Haijun.(2017).Robust asset pricing with stochastic hyperbolic discounting.FINANCE RESEARCH LETTERS,21,178-185.
MLA	Wang, Haijun."Robust asset pricing with stochastic hyperbolic discounting".FINANCE RESEARCH LETTERS 21(2017):178-185.