EQUITY PREMIUM PUZZLE IN HABIT FORMATION MODEL WITH FUZZY SENSITIVE FUNCTIONS: A CASE STUDY OF IRAN

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

ERFANI ALIREZA; SAFARI SOLMAZ

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2018 | Volume:11 | Issue:37 Page(s): 73-89

Download Full-Text

Persian Verion

View:

799

Download:

Cites:

Information Journal Paper

Title

EQUITY PREMIUM PUZZLE IN HABIT FORMATION MODEL WITH FUZZY SENSITIVE FUNCTIONS: A CASE STUDY OF IRAN

Author(s)

ERFANI ALIREZA | SAFARI SOLMAZ | Issue Writer Certificate

Keywords

BIVARIATE GARCHQ2

FUZZYQ2

EQUITY PREMIUMQ2

HABIT MODELQ2

Abstract

Economy condition and equity market could highly affect on risk aversion and EQUITY PREMIUM. This paper therefore, intends to combine economy regimes and equity market in the framework of Sensitivity functions by using FUZZY variables in order to develop the Consumption Capital Asset Pricing in habit formation model. This model through the producing some extra resources for risk premium will be differently a help to resolve EQUITY PREMIUM puzzle. The results, gathered from using the model in Iran data seasonally in the period 1371-1393, present that the trend in risk aversion and EQUITY PREMIUM is counter-cyclically of economic. Indeed the period of recession will make an increase in risk aversion and EQUITY PREMIUM consequently. This means that investors are intended to take risk only in lieu of high level of compensation and they also intend to allocate their funds into more certain fields such as bank deposits in this situation. While good news in the period of boom in economy will decrease risk aversion and EQUITY PREMIUM consequently. Results also present that the increasing and decreasing regimes of market in combination with economic regimes have effect on the intensity of these phenomena.

Cites

No record.

References

No record.

Cite

APA: Copy

ERFANI, ALIREZA, & SAFARI, SOLMAZ. (2018). EQUITY PREMIUM PUZZLE IN HABIT FORMATION MODEL WITH FUZZY SENSITIVE FUNCTIONS: A CASE STUDY OF IRAN. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(37 ), 73-89. SID. https://sid.ir/paper/200227/en

Vancouver: Copy

ERFANI ALIREZA, SAFARI SOLMAZ. EQUITY PREMIUM PUZZLE IN HABIT FORMATION MODEL WITH FUZZY SENSITIVE FUNCTIONS: A CASE STUDY OF IRAN. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2018;11(37 ):73-89. Available from: https://sid.ir/paper/200227/en

IEEE: Copy

ALIREZA ERFANI, and SOLMAZ SAFARI, “EQUITY PREMIUM PUZZLE IN HABIT FORMATION MODEL WITH FUZZY SENSITIVE FUNCTIONS: A CASE STUDY OF IRAN,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 37 , pp. 73–89, 2018, [Online]. Available: https://sid.ir/paper/200227/en

Related Journal Papers