Housing, home production, and the equity and value premium puzzles
By: Morris A. Davis and Robert F. Martin.
Series: International finance discussion papers -- no. 931; International finance discussion papers (Online) -- no. 931.
Publisher: Federal Reserve Board
Published: 2008
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "We test if a standard representative agent model with a home-production sector can resolve the equity premium or value premium puzzles.  In this model, agents value market consumption and a home consumption good that is produced as an aggregate of the stock of housing, home labor, and a labor-augmenting technology shock.  We construct the unobserved quantity of the home consumption good by combining observed data with restrictions of the model.  We test the first-order conditions of the model using GMM.  The model is rejected by the data; it cannot explain either the historical equity premium or the value premium"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 6/18/2009.

Includes bibliographical references.

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