Log-normal approximation of the equity premium in the production model

Arbeitspapier

The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one third less than that implied by a non-linear approximation of the Euler equations.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 3311

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Computational Techniques; Simulation Modeling ; Investment; Capital; Intangible Capital; Capacity ; Business Fluctuations; Cycles
• Thema: equity premium ; log-normal approximation ; production CAPM ; Risikoprämie ; Capital Asset Pricing Model ; Statistische Verteilung ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Heer, Burkhard ; Maußner, Alfred
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/46532
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ