An Exploration of the Effects of Pessimism and Doubt on Asset Returns / Andrew B. Abel.

Author
Abel, Andrew B. [Browse]
Format
Book
Language
English
Published/​Created
Cambridge, Mass. National Bureau of Economic Research 2001.
Description
1 online resource: illustrations (black and white);

Details

Related name
Series
  • Working Paper Series (National Bureau of Economic Research) no. w8132. [More in this series]
  • NBER working paper series no. w8132
Summary note
The subjective distribution of growth rates of aggregate consumption is characterized by pessimism if it is first-order stochastically dominated by the objective distribution. Uniform pessimism is a leftward translation of the objective distribution of the logarithm of the growth rate. The subjective distribution is characterized by doubt if it is mean-preserving spread of the objective distribution. Pessimism and doubt both reduce the riskfree rate and thus can help resolve the riskfree rate puzzle. Uniform pessimism and doubt both increase the average equity premium and thus can help resolve the equity premium puzzle.
Notes
February 2001.
Source of description
Print version record
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