文章基本信息

标题：The Equity Premium Puzzle Based on a Jump-Diffusion Model
本地全文：下载
作者：Fanchao Zhou ; Yanyun Li ; Jun Zhao 等
期刊名称：Journal of Applied Finance and Banking
印刷版ISSN：1792-6580
电子版ISSN：1792-6599
出版年度：2018
卷号：8
期号：3
出版社：Scienpress Ltd
摘要：
Gong and Zou [1] studied and explained the equity premium puzzle with the domestic output process satisfying a diffusion stochastic differential equation. In this paper, we further study and arrive at a positive solution of the equity premium puzzle based on the domestic output process satisfying a jump-diffusion stochastic differential equation. The conclusions obtained here can be regarded as a natural generalization of the work by Gong and Zou [1].
关键词：The equity premium puzzle; The spirit of capitalism; Jump; The stochastic growth model