Title: Unrealized return dispersion and the equity risk premium
Abstract: This paper discusses how unrealized return dispersion across individuals affects the equity risk premium. We specify an intertemporal capital asset pricing model with heterogeneous preferences depending on investors' unrealized returns and uncover that unrealized return dispersion negatively predicts the equity risk premium. An empirical study is performed on the Chinese stock market, and the results are consistent with the theoretical claims.
Publication Year: 2023
Publication Date: 2023-08-18
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 1
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