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- W128991505 abstract "Abstract The two-stage calibration approach has long been the workhorse in evaluating the ability of models to match the observed equity premium. The approach calls for calibrating the model's parameters using data that are not linked to the equity premium and then assessing the ability of the model to match the observed premium. In the following discussion, I demonstrate that calibrating a model to fit the dividend yield series, volatility of prices, or any price to fundamental ratio is likely to produce a large equity premium in a purely mechanical way. Put differently, the practice of calibrating the model to fit dividend yield is no different than matching the equity premium directly, and hence both approaches are subject to Roll's critique in the same way." @default.
- W128991505 created "2016-06-24" @default.
- W128991505 creator A5071739240 @default.
- W128991505 date "2008-01-01" @default.
- W128991505 modified "2023-09-25" @default.
- W128991505 title "Discussion: Cash Flow Risk, Discounting Risk, and the Equity Premium Puzzle" @default.
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- W128991505 doi "https://doi.org/10.1016/b978-044450899-7.50020-8" @default.
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