01832cas a2200253 a 4500 AALejournalIMF001651 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451854015 1018-5941 BD-DhAAL BD-DhAAL Pommeret, Aude. Agents' Preferences, the Equity Premium, and the Consumption-Saving Trade-Off : An Application to French Data / Aude Pommeret, Anne Epaulard. Washington, D.C. : International Monetary Fund, 2001. 1 online resource (36 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper aims to measure the risk premium on French equities during 1960-92 and to evaluate how well theoretical models based on various representations of agents' preferences can explain it. Aside from the standard, time-additive utility function with constant relative risk aversion, three other utility functions are reviewed: a recursive utility function, a habit formation utility function, and a utility function that accounts for the interdependence of preferences. Both calibration and econometric estimations show that none of the studied marginal changes in the representation of agents' preferences are sufficient to solve both the equity premium puzzle and the risk-free rate puzzle. Mode of access: Internet Epaulard, Anne. IMF Working Papers; Working Paper ; No. 2001/117 Full text available on IMF http://elibrary.imf.org/view/journals/001/2001/117/001.2001.issue-117-en.xml IMF e-Library