Equity premium with habits, wealth inequality and background risk

Artikel

In an exchange economy with endowment inequality, we investigate how preferences with external habits affect the equity risk premium. We show that the dynamics of external additive habits with wealth inequality are complex when a background risk is present. It is ambiguous whether wealth inequality will increase or decrease the equity premium even when the income uncertainty is low. This result extends literature by suggesting that wealth inequality has a small role in explaining asset pricing puzzles.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 7 ; Pages: 1-15 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: asset prices ; background risk ; habits ; wealth inequality

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Giannikos, Christos ; Koimisis, Georgios
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2021

Weitere Informationen

• DOI: doi:10.3390/jrfm14070321
• Handle: http://hdl.handle.net/10419/258425
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ