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- W4226395003 abstract "We use option prices and realized returns to decompose risk premia into different parts of the return state space. In the data, 8/10 of the average equity premium is attributable to monthly returns below −10%, but returns below −30% matter very little. In contrast, prominent asset pricing models based on habits, long-run risks, rare disasters, undiversifiable idiosyncratic risk, and constrained intermediaries attribute the premium predominantly to returns above −10% or to the extreme left tail. We show that the discrepancy arises from an unrealistically small price of risk for stock market tail events in the models." @default.
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- W4226395003 date "2022-08-01" @default.
- W4226395003 modified "2023-10-17" @default.
- W4226395003 title "Dissecting the Equity Premium" @default.
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- W4226395003 doi "https://doi.org/10.1086/720396" @default.
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