鈴木 史馬

This note demonstrates analytically that a persistent catastrophic shock on endowment growth, even if moderate, yields negative equity premiums when a representative agent is relatively prudent. In particular, it derives the minimum persistence ne...

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...