The GEL estimates resolve the risk-free rate puzzle in Japan

Mikio Ito, Akihiko Noda

研究成果: Article査読

1 被引用数 (Scopus)

抄録

We show the nonexistence of the well-known risk-free rate puzzle in the Japanese financial markets. This result crucially depends on the accurate estimates of the two basic parameters: the subjective discount factor and the degree of risk aversion, appearing in the standard Consumption-based Capital Asset Pricing Model (CCAPM). We estimate these parameters by the recently developed method, Generalized Empirical Likelihood (GEL) estimation; we also confirm our results by comparing Mean Squared Errors (MSEs) based on higher order biases and first order asymptotic variances of the estimates.

本文言語English
ページ(範囲)365-374
ページ数10
ジャーナルApplied Financial Economics
22
5
DOI
出版ステータスPublished - 2012 3

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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