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 |
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ページ(範囲) | 365-374 |
ページ数 | 10 |
ジャーナル | Applied Financial Economics |
巻 | 22 |
号 | 5 |
DOI | |
出版ステータス | Published - 2012 3月 |
ASJC Scopus subject areas
- 財務
- 経済学、計量経済学