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Journal Articles

High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model

Samuel Kruger
Journal: Critical Finance Review
Critical Finance Review (2021) 10 (3): 383–408.
https://doi.org/10.1561/104.00000093
Published: 02 August 2021
...Samuel Kruger Does valuation risk induced by stochastic time preferences explain the equity premium puzzle as proposed by Albuquerque et al. (2016 )? This explanation of the equity premium has several challenges. First, the valuation risk model implies extreme preference for early...
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