論文

査読有り
2014年6月

An exploration of the effect of doubt during disasters on equity premiums

ECONOMICS LETTERS
  • Shiba Suzuki

123
3
開始ページ
270
終了ページ
273
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1016/j.econlet.2014.02.010
出版者・発行元
ELSEVIER SCIENCE SA

In this note, we consider the effect on equity premiums of a representative household's subjective expectations during disasters. In particular, we focus on the effect of doubt during disasters. We derive analytical solutions of equity premiums in the model of power utility function and conduct numerical exercises of the model of the recursive utility function. Our contribution is to demonstrate that doubt during disasters even mild ones generates high equity premiums. (c) 2014 Elsevier B.V. All rights reserved.


リンク情報
DOI
https://doi.org/10.1016/j.econlet.2014.02.010
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000337209400004&DestApp=WOS_CPL