반복영역 건너뛰기
지역메뉴 바로가기
주메뉴 바로가기
본문 바로가기

연구정보

The Equity Premium Puzzle: Analysis in Brazil after the Real Plan

브라질 국외연구자료 기타 Fábio Augusto Reis Gomes, Luciana de Andrade Costa, Ruth Carolina Rocha Pupo Bulletin de l'Association des Amis de Rabelais et de La Devinière 발간일 : 2012-11-13 등록일 : 2016-05-11 원문링크

Our paper investigates whether there is evidence of an Equity Premium Puzzle (EPP) in Brazil, applying two different methodologies. The EPP was identified by Mehra and Prescott (1985) since the Consumption Capital Asset Pricing Model (CCAPM), when calibrated with reasonable preference parameters, could not explain high historical average risk premiums in the United States. In our first approach, we consider Mehra’s (2003) model and calibrate the coefficient of risk aversion, using 1995:2-2012:1 quarterly data. The Ibovespa index was used as a measure of the market return, whereas the risk-free rate was proxied by the Selic interbank rate and by the savings account rate. In our second approach, we propose a new method to test the puzzle. We jointly estimate, via generalized method of moments, the parameters of interest using a moment condition that has not been previously explored, as far as we are aware of. The two approaches produced a high risk aversion coefficient, however the second approach indicated that we cannot reject the hypothesis of the risk aversion coefficient being statistically equal to zero. A possible explanation for this result might be that in Brazil the equity premium is not statistically different from zero. Therefore there is no evidence of EPP in Brazil for the studied period.

 

본 페이지에 등재된 자료는 운영기관(KIEP)EMERiCs의 공식적인 입장을 대변하고 있지 않습니다.

목록