CAPM-anomalies: quantitative puzzles

  • Sabine ElmigerEmail author
Research Article


The stochastic discount factor is a crucial determinant of the equity premium as well as the cross-sectional distribution of stock returns. This gives rise to the idea that there is a tight link between the equity premium puzzle and cross-sectional asset pricing puzzles. This paper examines similarities between the low-beta premium, the value premium, the small-size premium and the equity premium in a special case of a static consumption-based asset pricing model with constant relative risk aversion and lognormal dividends that can be solved in closed form. The results show that cross-sectional asset pricing puzzles are quantitative puzzles just like the equity premium puzzle: The model generates a premium for stocks with a low beta, a high dividend-price ratio and a small market capitalization but the size of the premium is too small. Furthermore, the size of the premium rises together with the equity premium as the risk aversion coefficient or consumption risk is increased.


CAPM CRRA Beta premium Value premium Size premium 

JEL Classification

G12 G11 D50 


Compliance with ethical standards

Conflict of interest

The author declares that she has no conflict of interest.


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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of Banking and FinanceUniversity of ZurichZurichSwitzerland

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