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Which one of the following statements about the consumption-CAPM and equity premium is correct? The equity premium puzzle arises because the Hansen-Jagannathan bound, which is
Which one of the following statements about the consumption-CAPM and equity premium is correct? The equity premium puzzle arises because the Hansen-Jagannathan bound, which is expressed as i(Ri,t+1)Ei(Ri,l+1)Rf,Ei(Mi+1)i(Mi+1) OA. is violated for the US stock market risk premium if the stochastic discount factor is derived from a constant relative risk aversion utility function and a reasonable level of risk aversion is assumed. D a In the consumption-CAPM, if an asset's return is negatively correlated with the contemporaneous marginal utility, the equity premium of the asset must be positive. ocreturn is negatively correlated with consumption growth, the equity premium of the asset must be positive. o o. or not sensitive to the volatility of consumption growth
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