Concept

Economic puzzle

Résumé
A puzzle in economics is a situation where the implication of theory is inconsistent with observed economic data. An example is the equity premium puzzle, which relates to the fact that over the last two hundred years, the risk premium of stocks over bonds has been around 5.5%, much larger than expected from theory. The equity premium puzzle was first documented by Mehra and Prescot (1985). See also ; Financial economics #Challenges and criticism.
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Cours associés (1)
FIN-406: Macrofinance
This course provides students with a working knowledge of macroeconomic models that explicitly incorporate financial markets. The goal is to develop a broad and analytical framework for analyzing the
Séances de cours associées (9)
Macrofinance: modèles et décisions politiques
Couvre les modèles macroéconomiques intégrant les marchés financiers et analysant les décisions financières, les événements macroéconomiques et les décisions politiques.
Equity Premium Puzzle
Explore le puzzle Equity Premium et ses implications macrofinancières.
Analyse des modèles de macrofinance
Couvre les modèles macroéconomiques intégrant les marchés financiers, l'analyse des décisions financières, les événements macroéconomiques et les réponses politiques.
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Publications associées (2)

On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle

Pierre Collin Dufresne

Structural models of default calibrated to historical default rates, recovery rates, and Sharpe ratios typically generate Baa-Aaa credit spreads that are significantly below historical values. However, this "credit spread puzzle" can be resolved if one acc ...
2009

Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

Pierre Collin Dufresne

We characterize a three-factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest rates. It also allows for time-varyin ...
2005
Concepts associés (1)
Equity premium puzzle
The equity premium puzzle refers to the inability of an important class of economic models to explain the average equity risk premium (ERP) provided by a diversified portfolio of U.S. equities over that of U.S. Treasury Bills, which has been observed for more than 100 years. There is a significant disparity between returns produced by stocks compared to returns produced by government treasury bills. The equity premium puzzle addresses the difficulty in understanding and explaining this disparity.