In this note, we consider the effect on equity premiums of a representative household's subjective expectations during disasters. In particular, we focus on the effect of doubt during disasters. We derive analytical solutions of equity premiums in...
Research in Economics 66(2) 175-183 2012年6月 [査読有り]
Some studies find that real equity prices in economies damaged during World War II tended to rise sharply at the beginning of actual damage taking place during the war. This paper introduces an empirically plausible degree of persistence from the ...