Browsing by Subject "Asset pricing models, stochastic growth models."

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    The equity premium in consumption and production models?
    (Cambridge University Press, 2012-02-27) Akdeniz, L.; Dechert, W. D.
    In this paper we use a simple model with a single Cobb–Douglas firm and a consumer with a CRRA utility function to show the difference between the equity premia in the production-based Brock model and the consumption-based Lucas model. With this simple example we show that the equity premium in the production-based model exceeds that of the consumption-based model with probability 1.