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Zare Joneghani, Sahar, Sahabi, Bahram, Heydari, Hassan, Zolfaghari, Mehdi. (1402). Does the Equity Premium Puzzle exists in Iran?. , (), -. doi: 10.22059/ier.2023.365556.1007812
Sahar Zare Joneghani; Bahram Sahabi; Hassan Heydari; Mehdi Zolfaghari. "Does the Equity Premium Puzzle exists in Iran?". , , , 1402, -. doi: 10.22059/ier.2023.365556.1007812
Zare Joneghani, Sahar, Sahabi, Bahram, Heydari, Hassan, Zolfaghari, Mehdi. (1402). 'Does the Equity Premium Puzzle exists in Iran?', , (), pp. -. doi: 10.22059/ier.2023.365556.1007812
Zare Joneghani, Sahar, Sahabi, Bahram, Heydari, Hassan, Zolfaghari, Mehdi. Does the Equity Premium Puzzle exists in Iran?. , 1402; (): -. doi: 10.22059/ier.2023.365556.1007812

Does the Equity Premium Puzzle exists in Iran?

Iranian Economic Review
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 13 آذر 1402
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/ier.2023.365556.1007812
نویسندگان
Sahar Zare Joneghani1؛ Bahram Sahabi* 1؛ Hassan Heydari1؛ Mehdi Zolfaghari2
1Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran
2Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran.
چکیده
Investors decide on the type and amount of their investment by considering the two components of risk and return. In general, investing in risky and risk-free assets should be made according to their yield. The equity premium is obtained from the difference between the rate of return on risky and risk-free assets. In the theoretical literature, the failure of financial theory to explain the equity premium is known as the premium puzzle. In this context, the aim of the present study is to empirically examine the equity premium puzzle in Iran for the quarterly period 1993‒2021. Using the C-CAPM model introduced by Mehra and Prescott, we obtained a negative risk aversion coefficient in this study. Since this coefficient is outside the acceptable range, it indicates the existence of the puzzle of equity premium in Iran. because, it is not possible to justify a negative risk aversion coefficient in an economy where agents are concerned about their consumption flow. Considering this issue and in order to resolve this puzzle, we incorporated exogenous consumption habits in the C-CAPM model. This measure resulted in a relatively positive risk aversion coefficient within an acceptable range. Thus, we could resolve the equity premium puzzle by applying habits to the C-CAPM model.
کلیدواژه‌ها
Equity Premium Puzzle؛ C-CAPM؛ Habit of Consumption؛ risk aversion coefficient؛ financial markets
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تعداد مشاهده مقاله: 86


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