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This paper revisits the results of Moskowitz and Vissing-Jørgensen (2002) on returns to entrepreneurial investments in the United States. Following the authors' methodology and new data from the Survey of Consumer Finances, I find that the "private equity premium puzzle" does not survive the period of high public equity returns in the 1990s. The difference between private and public equity returns is positive and large period-by-period between 1999 and 2007. Whereas in the 2008–2010 period, overlapping with the Great Recession, public and private equities performances are substantially closer. I validate these results in the aggregate data going back to the 1960s. (JEL G11, G12, L26)

Seit einigen Jahren werden über den bewussten Einbezug von Verhaltensanomalien auf Investorenseite bislang nicht erklärbare Phänomene auf den Kapitalmärkten gerechtfertigt. Diesem Vorgehen schließt sich die vorliegende Dissertation an, indem sie mit Elementen der Prospect-Theorie und der Berücksichtigung von Emotionen versucht, neue Einsichten in zwei beobachtbare finanzwirtschaftliche Phänomene zu gewinnen. Zunächst ist dies die empirisch beobachtbare Dividendenstabilisierung trotz theoretisch vorhandener Irrelevanz der unternehmerischen Dividendenpolitik. Daneben wird auf Kapitalmarktseite das Equity Premium Puzzle und das Risk Free Rate Puzzle analysiert. Letztere beschreiben die empirische Beobachtung, dass die hohe Eigenkapitalprämie unter Zugrundelegung plausibler Risikopräferenzen der Investoren theoretisch nicht erklärt werden kann, und dass extreme Risikopräferenzen zwar die hohe Eigenkapitalprämie, nicht aber zugleich das empirisch niedrige Zinsniveau begründen. Die formaltheoretische Analyse zeigt, dass emotionale Investoren eine stabile Dividende wünschen und zugleich eine hohe Eigenkapitalprämie auch bei niedrigem Zinsniveau fordern. Die anschließende empirische Analyse kann die hergeleiteten Zusammenhänge grundsätzlich bestätigen. ; In recent years a field of research arose which justifies capital market anomalies by integrating inves-tor irrationalities. This dissertation goes along with it by attempting to gain new insights into two financial phenomena by dint of elements of prospect theory and emotions. The first puzzle is the empirically observable dividend smoothing in spite of the theoretical irrelevance of dividend policy. The second is the equity premium puzzle together with the risk free rate puzzle. These describe the empirical findings that plausible risk preferences cannot explain the high equity premium, and an extremely high degree of risk aversion may justify the high equity premium but not the low risk free rate simultaneously. The theoretical analysis shows that emotional investors require stable dividends and demand a high equity premium even if the risk free rate is low. The subsequent empirical investigation can basically confirm the derived results.

Suppose you were born on January 1, 1983. A few months later, your parents, wanting to set aside some money for your 18th birthday, were at a crossroads. They could either invest money in risk-free Dutch government bonds or in the newly created AEX index, investing in companies' shares. After careful consideration they decided to take a risk and invest (the equivalent of) e 100 in shares. On your 18th birthday your parents gave you an envelope and explained what they had done. When you opened the envelope you were flabbergasted to discover that this e 100 had grown to e 1.405,02; a staggering annual nominal return of slightly less than 16%. Inflation averaged at about 2%, so this translates into a real (i.e. corrected for inflation) return of 14%. But what would have happened if your parents had not taken a risk? Then the envelope would have contained e 260,01, a nominal and real return of 5.5% and 3.6%, respectively. This example illustrates that over longer periods, stocks provide an investor with a higher return than bonds. In economics this return difference is called the equity premium: the premium stocks pay over bonds.

Suppose you were born on January 1, 1983. A few months later, your parents, wanting to set aside some money for your 18th birthday, were at a crossroads. They could either invest money in risk-free Dutch government bonds or in the newly created AEX index, investing in companies' shares. After careful consideration they decided to take a risk and invest (the equivalent of) e 100 in shares. On your 18th birthday your parents gave you an envelope and explained what they had done. When you opened the envelope you were flabbergasted to discover that this e 100 had grown to e 1.405,02; a staggering annual nominal return of slightly less than 16%. Inflation averaged at about 2%, so this translates into a real (i.e. corrected for inflation) return of 14%. But what would have happened if your parents had not taken a risk? Then the envelope would have contained e 260,01, a nominal and real return of 5.5% and 3.6%, respectively. This example illustrates that over longer periods, stocks provide an investor with a higher return than bonds. In economics this return difference is called the equity premium: the premium stocks pay over bonds.

Abstract
This paper modifies the conventional representative-agent consumption-based equilibrium models by making the habit-formation part depend on additional factors related to economic conditions. This paper assumes that innovations in the consumption surplus ratio are determined not only by consumption growth but also by other macroeconomic and financial factors. The resulting model allowed for a separation between the intertemporal elasticity of substitution and risk aversion. The model also generates highly volatile Intertemporal marginal rate of substitution which translates into fluctuating volatility capturing time varying economic uncertainty. The long-standing equity premium puzzle seems to have been resolved. The resulting pricing model accounts for a number of interesting properties, such as time-varying risk aversion, small relative risk aversion and an equity premium that is compatible with the observed equity premium. These results are obtained with admissible range of local relative risk aversion. In addition, the model generated small risk-free rate resolving the interest rate puzzle.