Role of pessimism on the equity premium puzzle : evidence from Singapore and Malaysia

• Main Authors: Kathiravan Arkachamy, Lee, Pei Qi, Tay, Regina Li Min
• Other Authors: Kang Minwook
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2020
• Subjects: Social sciences::Economic development::Southeast Asia; Social sciences::Economic theory::Macroeconomics
• Online Access: https://hdl.handle.net/10356/138630
• Institution: Nanyang Technological University

Abel (2002) demonstrated that uniform pessimism increases the objective expectation of the equity premium, thus providing an alternative solution to the equity premium puzzle presented by Mehra and Prescott (1985). In our paper, we focus on Singapore and Malaysia, where sizable equity premiums were...