The forward- and the equity-premium puzzles: two symptoms of the same illness?
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/994 |
Resumo: | In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the equity and the foreign currency risk premia. We avoid log-linearizations by using moments restrictions associated with euler equations to test the capacity of our return-based stochastic discount factors to price returns on the relevant assets. Our main finding is that a pricing kernel constructed only using information on American domestic assets accounts for both domestic and international stylized facts that escape consumption based models. In particular, we fail to reject the null hypothesis that the foreign currency risk premium has zero price when the instrument is the own current value of the forward premium. |
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Matos, Paulo Rogério FaustinoCosta, Carlos Eugênio daIssler, João VictorEscolas::EPGEFGV2008-05-13T15:45:46Z2008-05-13T15:45:46Z2007-08-010104-8910http://hdl.handle.net/10438/994In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the equity and the foreign currency risk premia. We avoid log-linearizations by using moments restrictions associated with euler equations to test the capacity of our return-based stochastic discount factors to price returns on the relevant assets. Our main finding is that a pricing kernel constructed only using information on American domestic assets accounts for both domestic and international stylized facts that escape consumption based models. In particular, we fail to reject the null hypothesis that the foreign currency risk premium has zero price when the instrument is the own current value of the forward premium.engFundação Getulio Vargas. Escola de Pós-graduação em EconomiaEnsaios Econômicos;649Equity Premium PuzzleForward Premium PuzzleReturnbased Pricing KernelEconomiaKernel, Funções deThe forward- and the equity-premium puzzles: two symptoms of the same illness?info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL2218.pdfapplication/pdf465149https://repositorio.fgv.br/bitstreams/75739c47-7495-407c-9e12-1ec14d7c0f1f/downloadda4aa88362902d63089a63ffd364319fMD51TEXT2218.pdf.txt2218.pdf.txtExtracted texttext/plain102057https://repositorio.fgv.br/bitstreams/9e465fbd-ec41-48b2-b6cb-a5cf3de37668/downloaddb2b2daf6887a96ee92fa05727c14834MD56THUMBNAIL2218.pdf.jpg2218.pdf.jpgGenerated Thumbnailimage/jpeg3481https://repositorio.fgv.br/bitstreams/87a09ad6-7ddb-4357-9c34-e2bbacf6d9c7/download8be269c4ebb1e9585617e55012d05a4eMD5710438/9942023-11-09 01:27:32.648open.accessoai:repositorio.fgv.br:10438/994https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T01:27:32Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
The forward- and the equity-premium puzzles: two symptoms of the same illness? |
title |
The forward- and the equity-premium puzzles: two symptoms of the same illness? |
spellingShingle |
The forward- and the equity-premium puzzles: two symptoms of the same illness? Matos, Paulo Rogério Faustino Equity Premium Puzzle Forward Premium Puzzle Returnbased Pricing Kernel Economia Kernel, Funções de |
title_short |
The forward- and the equity-premium puzzles: two symptoms of the same illness? |
title_full |
The forward- and the equity-premium puzzles: two symptoms of the same illness? |
title_fullStr |
The forward- and the equity-premium puzzles: two symptoms of the same illness? |
title_full_unstemmed |
The forward- and the equity-premium puzzles: two symptoms of the same illness? |
title_sort |
The forward- and the equity-premium puzzles: two symptoms of the same illness? |
author |
Matos, Paulo Rogério Faustino |
author_facet |
Matos, Paulo Rogério Faustino Costa, Carlos Eugênio da Issler, João Victor |
author_role |
author |
author2 |
Costa, Carlos Eugênio da Issler, João Victor |
author2_role |
author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Matos, Paulo Rogério Faustino Costa, Carlos Eugênio da Issler, João Victor |
dc.subject.por.fl_str_mv |
Equity Premium Puzzle Forward Premium Puzzle Returnbased Pricing Kernel |
topic |
Equity Premium Puzzle Forward Premium Puzzle Returnbased Pricing Kernel Economia Kernel, Funções de |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Kernel, Funções de |
description |
In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the equity and the foreign currency risk premia. We avoid log-linearizations by using moments restrictions associated with euler equations to test the capacity of our return-based stochastic discount factors to price returns on the relevant assets. Our main finding is that a pricing kernel constructed only using information on American domestic assets accounts for both domestic and international stylized facts that escape consumption based models. In particular, we fail to reject the null hypothesis that the foreign currency risk premium has zero price when the instrument is the own current value of the forward premium. |
publishDate |
2007 |
dc.date.issued.fl_str_mv |
2007-08-01 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:45:46Z |
dc.date.available.fl_str_mv |
2008-05-13T15:45:46Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/994 |
dc.identifier.issn.none.fl_str_mv |
0104-8910 |
identifier_str_mv |
0104-8910 |
url |
http://hdl.handle.net/10438/994 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Ensaios Econômicos;649 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Fundação Getulio Vargas. Escola de Pós-graduação em Economia |
publisher.none.fl_str_mv |
Fundação Getulio Vargas. Escola de Pós-graduação em Economia |
dc.source.none.fl_str_mv |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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