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EQUITY PREMIUM PUZZLE IN THAILAND: REVISITED |
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| รหัสดีโอไอ | |
| Creator | Sartja Duangchaiyoosook |
| Title | EQUITY PREMIUM PUZZLE IN THAILAND: REVISITED |
| Contributor | Thitapon Ousawat |
| Publisher | University of the Thai Chamber of Commerce |
| Publication Year | 2564 |
| Journal Title | UTCC International Journal of Business and Economics |
| Journal Vol. | 13 |
| Journal No. | 1 |
| Page no. | 101-134 |
| Keyword | Equity premium puzzle, Risk-free rate puzzle, FEDR return |
| URL Website | http://ijbejournal.com/ |
| Website title | ijbejournal |
| ISSN | 1906-5582 (paper) |
| Abstract | This paper empirically studies the standard consumption-based asset pricing model of Lucas (1978), Breeden (1979) and the consumption-based asset pricing model with recursive utility of Weil (1989) using quarterly data from Thailand from 2000 to 2016. The equity premium is calculated using FEDR returns, which includes dividend and right benefits and considers the effect of stock split. The result confirms that the models, which are the standard consumption-based asset pricing model of Lucas (1978), Breeden (1979) and the consumption-based asset pricing model with the recursive utility of Weil (1989), assuming consumption growth are iid and Markov processes, cannot explain observed expected equity premium and observed expected risk-free return in Thailand data. Thailand's quarterly financial data from 2000 to 2016 exhibit the equity premium and risk-free rate puzzles. |
