ANÁLISE E AVALIAÇÃO DO EQUITY PREMIUM PUZZLE NO MERCADO ACIONÁRIO BRASILEIRO SOB DIFERENTES CONTEXTOS ECONÔMICOS / ANALYSIS AND VALUATION OF EQUITY PREMIUM PUZZLE IN THE BRAZILIAN STOCK MARKETS UNDER DIFFERENT ECONOMIC CONTEXTS
AUTOR(ES)
ROBSON CABRAL DOS SANTOS
DATA DE PUBLICAÇÃO
2006
RESUMO
The Equity Premium Puzzle has been very studied in the world since 1985, year of the publication of the work of Mehra and Prescott. The intention of this dissertation was to make an analysis and valuation of the Equity Premium Puzzle being used different contexts lived in the Brazilian economy in the period of 1990 up to 2005. It was used the representative agent model with separable utility in the time developed for Mehra and the Prescott (1985). In order to carry through comparisons of results was used also the model revised for Mehra (2003) and a model with utility type Kreps - Porteus with endowment process having followed the Markov´s chain.
ASSUNTO(S)
stock markets retorno acionario mercado de capitais stock returns equity risk premium premio de risco
ACESSO AO ARTIGO
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