HİSSE SENEDİ PRİMİ BULMACASININ ÇÖZÜMÜ

Abstract

Bu çalışma, hisse senedi primi bulmacasının çözümünü sunmaktadır. Yeni model, daha önce yapılan çalışmalarda yatırımcıların finansal piyasalarda riske yönelik davranışlarına yer verilerek geliştirilmiştir. Yeni test edilen bu modele dair hesaplamalar, sübjektif zaman iskonto değerinin 0.99 olduğu varsayıldığında, göreceli riskten kaçınma katsayısının değerinin 1.033526 olduğunu göstermektedir Ayrıca, risksiz varlıklara yatırım yapan yatırımcılar belirsiz bir servet değeri için negatif fayda tahsis ederken, hisse senetlerine yatırım yapanlar, yatırımcıların riske yönelik davranışlarının belirlendiği yıl olarak otomatik olarak seçilen 1977'de belirsiz bir servet değeri için pozitif fayda tahsis etmektedirler. Sözü edilen yukarıdaki değerler, mevcut ampirik çalışmalarla uyumlu olduğundan; hisse senedi primi bulmacasına çözüm sağlayan yeni geliştirilmiş modelin geçerliliğini doğrulamaktadırlar.

Keywords

• Modelin Yeterlilik Faktörü
• Göreceli Riskten Kaçınma Katsayısı
• Hisse Senedi Primi Bulmacası

SOLUTION TO THE EQUITY PREMIUM PUZZLE

Abstract

This study provides the solution to the equity premium puzzle. The new model was developed by including the behavior of investors toward risk in financial markets in prior studies. The calculations of this newly tested model show that the value of the coefficient of relative risk aversion is 1.033526 by assuming the value of the subjective time discount factor to be 0.99. Furthermore, investors investing in risk-free asset allocate negative utility for an uncertain wealth value, while those investing in equity allocate positive utility for an uncertain wealth value in 1977 that is automatically selected as the year for the determination of the behavior of investors toward risk. Since the above mentioned values are compatible with the existing empirical studies, they confirm the validity of the newly derived model that provides the solution to the equity premium puzzle.

Keywords

• Sufficiency Factor of the Model
• Coefficient of Relative Risk Aversion
• Equity Premium Puzzle

References

1. ABEL, A. B. (1990). Asset prices under habit formation and catching up with the Joneses (No.w3279). National Bureau of Economic Research. DOI 10.3386/w3279
2. AIYAGARI, S. R., & GERTLER, M. (1991). Asset returns with transactions costs and uninsured individual risk. Journal of Monetary Economics, 27(3), 311-331.
3. ALVAREZ, F., & JERMANN, U. J. (2000). Efficiency, equilibrium, and asset pricing with risk of default. Econometrica, 68(4), 775-797. https://doi.org/10.1111/1468-0262.00137
4. ATTANASIO, O. P., BANKS, J., & TANNER, S. (2002). Asset holding and consumption volatility. Journal of Political Economy, 110(4), 771-792. https://doi.org/10.1086/340774.
5. BANSAL, R., & COLEMAN, W. J. (1996). A monetary explanation of the equity premium, term premium, and risk-free rate puzzles. Journal of Political Economy, 104(6), 1135–1171. https://doi.org/10.1086/262056.
6. BENARTZI, S., & THALER, R. H. (1995). Myopic loss aversion and the equity premium puzzle. The Quarterly Journal of Economics, 110(1), 73–92. https://doi.org/10.2307/2118511.
7. BRAV, A., CONSTANTINIDES, G. M., & GECZY, C. C. (2002). Asset pricing with heterogeneous consumers and limited participation: Empirical evidence. Journal of Political Economy, 110(4), 793–824. https://doi.org/10.1086/340776.
8. BROWN, S. J., GOETZMANN, W. N., & ROSS, S. A. (1995). Survival. The Journal of Finance, 50(3), 853-873. https://doi.org/10.1111/j.1540-6261.1995.tb04039.x

9. CAMPBELL, J. Y., & COCHRANE, J. H. (1999). By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy, 107(2), 205–251. https://doi.org/10.1086/250059
10. COCHRANE, J. H. (2009). Asset pricing: Revised edition. Princeton university press.
11. CONSTANTINIDES, G. M. (1990). Habit formation: A resolution of the equity premium puzzle. Journal of Political Economy, 98(3), 519-543. https://doi.org/10.1086/261693 CONSTANTINIDES, G. M., & DUFFIE, D. (1996). Asset pricing with heterogeneous consumers. Journal of Political economy, 104(2), 219-240. https://doi.org/10.1086/262023
12. CONSTANTINIDES, G. M., DONALDSON, J. B., & MEHRA, R. (2002). Junior can't borrow: A new perspective on the equity premium puzzle. The Quarterly Journal of Economics, 117(1), 269–296. https://doi.org/10.1162/003355302753399508
13. DANTHINE, J. P., & DONALDSON, J. B. (2014). Intermediate Financial Theory (3rd ed.). Academic press.
14. EPSTEIN, L. G., & ZIN, S. E. (1991). Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis. Journal of Political Economy, 99(2), 263-286. https://doi.org/10.1086/261750
15. GABAIX, X., & LAIBSON, D. (2001). The 6D bias and the equity-premium puzzle. NBER Macroeconomics Annual, 16, 257–312. https://doi.org/10.1086/654447
16. HEATON, J. (1995). An empirical investigation of asset pricing with temporally dependent preference specifications. Econometrica: Journal of the Econometric Society, 681–717. https://doi.org/10.2307/2171913
17. HEATON, J., & LUCAS, D. J. (1996). Evaluating the effects of incomplete markets on risk sharing and asset pricing. Journal of Political Economy, 104(3), 443–487. https://doi.org/10.1086/262030
18. HEATON, J., & LUCAS, D. (1997). Market frictions, savings behavior, and portfolio choice. Macroeconomic Dynamics, 1(1), 76–101.
19. LYNCH, A. W. (1996). Decision frequency and synchronization across agents: Implications for aggregate consumption and equity return. The Journal of Finance, 51(4), 1479–1497. https://doi.org/10.1111/j.1540-6261.1996.tb04076.x
20. MANKIW, N. G. (1986). The equity premium and the concentration of aggregate shocks. Journal of Financial Economics, 17(1), 211–219.
21. MCGRATTAN, E. R., & PRESCOTT, E. C. (2001). Taxes, regulations, and asset prices (No. w8623). National Bureau of Economic Research. DOI 10.3386/w8623
22. MEHRA, R., & PRESCOTT, E. C. (1985). The equity premium: A puzzle. Journal of Monetary Economics, 15(2), 145-161.
23. MEHRA, R. (2003). The equity premium: Why is it a puzzle? (No. w9512). National Bureau of Economic Research. DOI 10.3386/w9512
24. MEHRA, R. (2008). Handbook of the equity risk premium. Elsevier.
25. MUNK, C. (2013). Financial asset pricing theory. OUP Oxford.
26. RIETZ, T. A. (1988). The equity risk premium: a solution. Journal of Monetary Economics, 22(1), 117–131.