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International evidence on the equity premium puzzle and time discounting


Hens, Thorsten; Rieger, Marc Oliver; Wang, Mei (2013). International evidence on the equity premium puzzle and time discounting. Multinational Finance Journal, 17(3/4):149-163.

Abstract

We examine time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premiums across 27 countries. This result implies that higher historical equity risk premiums are observed in countries where survey participants tend to be more short-term oriented. This finding is consistent with the explanation of the equity premium puzzle provided by myopic loss aversion.

Abstract

We examine time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premiums across 27 countries. This result implies that higher historical equity risk premiums are observed in countries where survey participants tend to be more short-term oriented. This finding is consistent with the explanation of the equity premium puzzle provided by myopic loss aversion.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:December 2013
Deposited On:05 Mar 2015 08:18
Last Modified:08 Dec 2017 11:17
Publisher:Multinational Finance Society
Free access at:Official URL. An embargo period may apply.
Official URL:http://www.mfsociety.org/modules/modDashboard/uploadFiles/journals/MJ~0~p194oq5k5eatuosfrj11lc2mj94.pdf
Other Identification Number:merlin-id:9160

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