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http://hdl.handle.net/10419/55238
  

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dc.contributor.authorGürtler, Marcen_US
dc.contributor.authorHartmann, Noraen_US
dc.date.accessioned2012-02-06en_US
dc.date.accessioned2012-02-10T15:38:42Z-
dc.date.available2012-02-10T15:38:42Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/55238-
dc.description.abstractSince the equity premium as well as the risk-free rate puzzle question the concepts central to financial and economic modeling, we apply behavioral decision theory to asset pricing in view of solving these puzzles. U.S. stock market data for the period 1960-2003 and German stock market data for the period 1977-2003 show that emotional investors who act in accordance to Bell's (1985) disappointment theory - a special case of prospect theory − and additionally administer mental accounts demand a high equity premium. Furthermore, these investors reason a low risk-free rate. However, Barberis/Huang/Santos (2001) already showed that limited rational investors demand a high equity premium. But as opposed to them, our approach additionally supports dividend smoothing.en_US
dc.language.isogeren_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig FW10V3en_US
dc.subject.jelG12en_US
dc.subject.jelG35en_US
dc.subject.ddc330en_US
dc.subject.keywordBehavioral Financeen_US
dc.subject.keywordEquity Premium Puzzleen_US
dc.subject.keywordCCAPMen_US
dc.subject.keywordDividend Smoothingen_US
dc.titleThe equity premium puzzle and emotional asset pricingen_US
dc.typeWorking Paperen_US
dc.identifier.ppn684775131en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:tbsifw:FW10V3-
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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