Knut Wicksell Working Paper Series,
Lund University, Knut Wicksell Centre for Financial Studies

Abstract: This paper introduces a model to explain the equity-premium puzzle. Consumers exhibit both pessimism and doubt. Consumers are pessimistic if their beliefs about the dividend are a translation of the objective dividend by an independent and identically distributed normal random variable with negative mean. Consumers exhibit doubt if their beliefs are a translation of the objective dividend by an independent and identically distributed normal random variable with mean zero. A cross-sectional empirical study using the SHARE database explores the differences between various European countries in terms of pessimism and doubt and tests the theoretical model empirically.

Keywords: Behavioral Finance; Equity Premium; Doubt; Pessimism

JEL-codes: D81; G12; G14

28 pages, April 1, 2015

Note: Full text versions of the paper: http://www.lusem.lu.se/media/kwc/working-papers/2015/ny_wp_2015_5_emanuel_xiang_web.pdf

Full text files

ny_wp_2015_5_emanuel_xiang_web.pdf  

Download statistics

• Lund University, Knut Wicksell Centre for Financial Studies
• Home page for this series

Questions (including download problems) about the papers in this series should be directed to Jens Forssbaeck ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-02-05 17:12:46.