Elucidating Equity Premium Using Corporate Dividends and Habit Formation

摘要：

This study examines the implications of asset pricing. Corporate sensitivity to shocks is assessed using a continuous time representative agent framework in which dividends are a stochastic fraction of total consumption. Additionally, representative agent has a habit formation preference. This investigation provides closed-form solutions for equity value when dividends, habit ratio and consumption follow exponential affine jump diffusion processes. Calibrated results show that the corporate fraction and habit ratio to shocks significantly increases the equity premium and decrease the risk free rate. The model determines realistic value for the equity premium and the risk free rate.

关键词： Dividends equity premium puzzle habit formation risk free rate puzzle

作者: Jow-ran Chang Hsu-hsien Chu Mao-wei Hung

作者单位: Department of Quantitative Finance, National Tsing Hua University, Hsinchu, Taiwan., 101, Sec.2, Kua College of Technology Science Management, National Tsing Hua University, Hsinchu, Taiwan., 101, Sec. College of Management, National Taiwan University, Taipei, Taiwan, No.1, Sec.4, Roosevelt Road, Taip

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-38

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）