Empirical Evidence for the New Definitions in Financial Markets and the Equity Premium Puzzle Finansal Piyasalarda Yeni Tanımlar için Ampirik Kanıtlar ve Hisse Senedi Primi Bulmacası

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Aras A., TÜRKOĞLU A. D.

Sosyoekonomi, vol.34, no.68, pp.407-423, 2026 (ESCI, Scopus, TRDizin) identifier identifier

  • Publication Type: Article / Article
  • Volume: 34 Issue: 68
  • Publication Date: 2026
  • Doi Number: 10.17233/sosyoekonomi.2026.02.17
  • Journal Name: Sosyoekonomi
  • Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus, TR DİZİN (ULAKBİM)
  • Page Numbers: pp.407-423
  • Keywords: Coefficient of Relative Risk Aversion, Equity Investor, Risk-Free Asset Investor
  • Open Archive Collection: AVESIS Open Access Collection
  • Gazi University Affiliated: Yes

Abstract

This study aims to present empirical evidence supporting the validity of new definitions of risk attitudes that may find a place in financial markets. A new method, partly based on the consumption capital asset pricing model, is developed to determine risk behaviour in financial markets. Additionally, the method specifies risk behaviours for unequal wealth values that differ in some respects from those of the standard method. Moreover, the method offers a solution to the equity premium puzzle. The results suggest that the new definitions accurately specify the risk behaviours and can be used in investment strategies.