재무관리논총 (The Korean Journal of Financial Studies)
- 제2권1호
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- Pages.145-158
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- 1995
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- 1226-1467(pISSN)
Volatility Puzzle, Equity Premium Puzzle, And Mean Reversion; Are They Interrelated Phenomena?
초록
According to recent empirical studies, there is a systematic pattern in temporal behaviors of asset returns, and that systematic pattern is related to the business cycle. I propose a model which captures this evidence. This is done by considering a state dependent preference structure where state dependency is related to the business cycle. In this setting, the three main puzzles(i.e., the volatility puzzle, the equity premium puzzle, mean reversion) are understood as interrelated behaviors.
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