Is there Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel

Research, Preprint OPEN
Giordani, Paolo; Söderlind, Paul;
  • Publisher: Stockholm: Stockholm School of Economics, The Economic Research Institute (EFI)
  • Subject: C42 | Risikoprämie | equity premium; riskfree rate; aggregation of beliefs; Survey of Professional Forecasters; Livingston Survey | aggregation of beliefs; C42; equity premium; livingston survey; risk-free rate; survey of professional forecasters | equity premium | E44 | G12 | Livingston Survey | riskfree rate | Risiko | aggregation of beliefs | Schätzung | Survey of Professional Forecasters
    • jel: jel:C42 | jel:G12 | jel:E44
      ddc: ddc:330

Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the risk-free rate puzzle and the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individ... View more
  • References (11)
    11 references, page 1 of 2

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