Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle
收藏NBER1992-06-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w4110
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资源简介：
This paper derives simple closed-form solutions for expected rates of return on stocks and riskless one-period bills under the assumption that shocks to the growth rates of consumption and dividends are generated by a Markov regime-switching process. These closed-form solutions are used to show that
提供机构：
美国国家经济研究局
创建时间：
1992-06-01
