Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/46532
Authors: 
Heer, Burkhard
Maußner, Alfred
Year of Publication: 
2010
Series/Report no.: 
CESifo working paper: Empirical and Theoretical Methods 3311
Abstract: 
The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one third less than that implied by a non-linear approximation of the Euler equations.
Subjects: 
equity premium
log-normal approximation
production CAPM
JEL: 
G12
C63
E22
E32
Document Type: 
Working Paper

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