03020ntm a22005177i 4500 000534589 CZ-PrVSE 20170916122215.0 m d cr n|||||||||| 170916s2017 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Blaščík, Adam ISIS:79528 dis Is Equity Premium a Puzzle in the Czech Republic? : eng Is Equity Premium a Puzzle in the Czech Republic / Adam Blaščík 2017 ?? stran : digital, PDF soubor Vedoucí práce: Pavel Potužák Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Národohospodářská fakulta, 2017 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2017 In this thesis I address the equity premium puzzle in the Czech Republic on both, the- oretical and empirical grounds. The equity premium puzzle states that the di erence between returns on risky and risk free asset is too high to be explained by meaningful coe cient of risk aversion. Risk aversion needed to justify the data would be too high and therefore incompatible with the microeconomic evidence. I review the literature on this phenomenon, especially regarding di erent e orts to explain the puzzle. I use Czech data from period between 1996 to 2016 on stock index returns, government bonds and per capita consumption and two di erent modeling approaches to estimate the coe cient of relative risk aversion. I follow the modeling strategy of Mehra & Prescott (1985) and use adjusted model as a robustness check. The main nding is that in the observed period the risk aversion coe cient is less extreme than suggested by Mehra & Prescott, but still too high to justify the observed risk premium. On top of that results for the Czech data are unstable over time. Způsob přístupu: Internet ekonomická analýza [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas asset price Equity premium risk aversion risk premium Czech Republic Potužák, Pavel vse20231203939 ths Chytilová, Helena ntk2018979754 opn Vysoká škola ekonomická v Praze. Národohospodářská fakulta kn20010709401 dgg https://insis.vse.cz/zp/59083/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/59083 Hlavní práce https://insis.vse.cz/zp/59083/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/59083/posudek/oponent/54369 Oponentura https://insis.vse.cz/zp/59083/podrobnosti dc:identifier NEPOSILAT VSKP vse59083 170908 59083