LAUSR

Abstract The paper investigates the equity premium puzzle on Warsaw Stock Exchange (WSE). The dataset we use is based on a detailed survey conducted among Polish individual investors, which enabled us to develop an investor’s profile. We find evidence that certain behavioral biases are present on the market. We later compare the results with the risk premium on the WSE to verify whether the premium that exists on the market can be explained using behavioral factors. The study provides empirical solution to the equity premium puzzle starting from the individual investor level up to the aggregated market.