A reexamination of the equity-premium puzzle : A robust non-parametric approach

Abstract

Recent tests of stochastic dominance of several orders, proposed by Linton, Maasoumi and Whang [Linton, O., Maasoumi, E., & Whang, Y. (2005). Consistent testing for stochastic dominance under general sampling schemes.Review of Economic Studies, 72(3), 735–765], are applied to reexamine the equity-premium puzzle. An advantage of this non-parametric approach… (More)

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