Browsing FGV EPGE - Ensaios Econômicos by Title "The forward- and the equity-premium puzzles: two symptoms of the same illness?"

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    • The forward- and the equity-premium puzzles: two symptoms of the same illness? 

      Costa, Carlos Eugênio da; Issler, João Victor; Matos, Paulo Rogério Faustino
      2010-11-05
      Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...

    • The forward- and the equity-premium puzzles: two symptoms of the same illness? 

      Matos, Paulo Rogério Faustino; Costa, Carlos Eugênio da; Issler, João Victor
      2007-08-01
      In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the ...

    • The forward- and the equity-premium puzzles: two symptoms of the same illness? 

      Costa, Carlos Eugênio da; Issler, João Victor; Matos, Paulo Rogério Faustino
      2009-08-12
      We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the ...

    • The forward- and the equity-premium puzzles: two symptoms of the same illness? 

      Costa, Carlos Eugênio da; Issler, João Victor; Matos, Paulo Rogério Faustino
      2012-04-24
      Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...