The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S.

Kenji Wada

doi:10.1016/j.econlet.2006.11.012

The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S.

Kenji Wada

Faculty of Business and Commerce

Research output: Contribution to journal › Article

3 Citations (Scopus)

Abstract

This paper proposes a new measure for Knightian uncertainty under Markovian economy and solves the risk premium and the risk free rate puzzle under Knightian uncertainty in Japan and the U.S. with plausible values for time preference and risk aversion parameters.

Original language	English
Pages (from-to)	386-393
Number of pages	8
Journal	Economics Letters
Volume	95
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2006.11.012
Publication status	Published - 2007 Jun 1

Keywords

Knightian uncertainty
Risk free rate puzzle
Risk premium puzzle

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/j.econlet.2006.11.012

Fingerprint Dive into the research topics of 'The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S.'. Together they form a unique fingerprint.

Cite this

Wada, K. (2007). The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S. Economics Letters, 95(3), 386-393. https://doi.org/10.1016/j.econlet.2006.11.012

@article{4495adfea3774d22800f3d16682718e0,

title = "The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S.",

abstract = "This paper proposes a new measure for Knightian uncertainty under Markovian economy and solves the risk premium and the risk free rate puzzle under Knightian uncertainty in Japan and the U.S. with plausible values for time preference and risk aversion parameters.",

keywords = "Knightian uncertainty, Risk free rate puzzle, Risk premium puzzle",

author = "Kenji Wada",

year = "2007",

month = jun,

day = "1",

doi = "10.1016/j.econlet.2006.11.012",

language = "English",

volume = "95",

pages = "386--393",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "3",

}

TY - JOUR

T1 - The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S.

AU - Wada, Kenji

PY - 2007/6/1

Y1 - 2007/6/1

N2 - This paper proposes a new measure for Knightian uncertainty under Markovian economy and solves the risk premium and the risk free rate puzzle under Knightian uncertainty in Japan and the U.S. with plausible values for time preference and risk aversion parameters.

AB - This paper proposes a new measure for Knightian uncertainty under Markovian economy and solves the risk premium and the risk free rate puzzle under Knightian uncertainty in Japan and the U.S. with plausible values for time preference and risk aversion parameters.

KW - Knightian uncertainty

KW - Risk free rate puzzle

KW - Risk premium puzzle

UR - http://www.scopus.com/inward/record.url?scp=34248599032&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=34248599032&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2006.11.012

DO - 10.1016/j.econlet.2006.11.012

M3 - Article

AN - SCOPUS:34248599032

VL - 95

SP - 386

EP - 393

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 3

ER -