Myopic loss aversion, bond returns and the equity premium puzzle

• Autores: Philip Jagd, Jakob B. Madsen
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 19, Nº. 16-18, 2009, págs. 1383-1390
• Idioma: inglés
• DOI: 10.1080/09603100802599530
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• Resumen

  • In an influential paper Bernatzi and Thaler (1995) (B&T) show that Myopic Loss Aversion (MLA) can explain the equity premium in the US over the period 1926 to 1990. However, bond returns, in their simulations, are based on coupons only. Allowing for capital gains on bonds in the simulations yields results that are somewhat different from those obtained by B&T. Furthermore, the simulations reveal another asset market puzzle related to the demand for bonds of long duration.