The equity premium puzzle and two assets: GMM estimation

초록

We quantify a production-based asset pricing model with fixed and variable capitals based on the GMM structural estimation. The estimation results match the stylized characteristics of the U.S. stock market return and help enlighten the equity premium puzzle. In addition, the model performance is reliable throughout the business cycle. © 2023 Informa UK Limited, trading as Taylor & Francis Group.

키워드