학술대회자료
Explaining the Equity Premium in Korea
Explaining the Equity Premium in Korea
- 한국계량경제학회
- 한국계량경제학회 학술대회 논문집
- 2009년 하계학술대회
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2009.081 - 27 (27 pages)
- 5
커버이미지 없음
The equity premium in Korea is not larger than 3% annually, far smaller compared to the case of U.S., around 6%. And the equity premium puzzle has been considered not to be severe. With GMM, Hansen-Jagannathan bounds, and longrun risk approach, our analysis strongly suggests that the equity premium puzzle exists in Korea. We find that low consumption growth volatility, together with low correlation between consumption growth and asset returns, contribute to its existence.
1. Introduction
2. Empirical Study
3. Another Look at the Equity Premium: HJ bounds
4. Recursive Preferences and Long-Run Risks
5. Conclusion
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