Results 261 to 270 of about 216,288 (309)
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Regret-sensitive equity premium
International Review of Economics & Finance, 2021Abstract In a static Lucas tree economy, we propose a model that the representative agent is sensitive to regret, that is, the agent is affected by not only the actual outcome but also value-differences between actual and foregone consequences. Our model generalizes the classical simple regret model pioneered by Bell (1982) and Loomes and Sugden ...
Yoichiro Fujii, Yutaka Nakamura
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EXPLAINING THE EQUITY RISK PREMIUM*
The Manchester School, 2006We develop a simple overlapping generations model in which the young have a choice in investing in equities or index‐linked bonds. Projections of share price uncertainty over a 30‐year period show that the risk associated with such long‐term investments predicts an equity premium that matches historical values. Moreover, we calibrate the model and show
Lungu, Laurian, Minford, Patrick
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Journal of Political Economy, 2022
We use option prices and realized returns to decompose risk premia into different parts of the return state space. In the data, 8/10 of the average equity premium is attributable to monthly returns below -10%, but returns below -30% matter very little.
Beason, Tyler, Schreindorfer, David
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We use option prices and realized returns to decompose risk premia into different parts of the return state space. In the data, 8/10 of the average equity premium is attributable to monthly returns below -10%, but returns below -30% matter very little.
Beason, Tyler, Schreindorfer, David
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Combining Equity Premium Forecasts
SSRN Electronic Journal, 2010In this paper, we provide techniques for combining different experts' opinions of the forward looking equity premium to resolve questions about the future value of an equity index tracker fund. By exploiting the fact that the survey data is approximately gamma distributed, we either use numerical methods or derive closed form solutions depending on the
Mark C. Freeman, Ben Groom
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Journal of Financial and Quantitative Analysis, 2010
AbstractExisting empirical research investigating the size of the equity premium has largely consisted of a series of innovations around a common theme: producing a better estimate of the equity premium by using better data or a better estimation technique.
R. Glen Donaldson +2 more
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AbstractExisting empirical research investigating the size of the equity premium has largely consisted of a series of innovations around a common theme: producing a better estimate of the equity premium by using better data or a better estimation technique.
R. Glen Donaldson +2 more
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2002
Equity risk premiums are a central component of every risk and return model in finance. Given their importance, it is surprising how haphazard the estimation of equity risk premiums remains in practice. In the standard approach to estimating equity risk premiums we use historical returns, with the difference in annual returns on stocks and bonds over a
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Equity risk premiums are a central component of every risk and return model in finance. Given their importance, it is surprising how haphazard the estimation of equity risk premiums remains in practice. In the standard approach to estimating equity risk premiums we use historical returns, with the difference in annual returns on stocks and bonds over a
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Intertemporal Substitution and Equity Premium
Review of Finance, 2015Abstract This article presents a model that incorporates habit formation and long-run risks into the Epstein–Zin preferences, and reveals intertemporal substitution as a distinctive channel, separate from risk aversion, in generating key asset market phenomena.
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SSRN Electronic Journal, 2009
The recent collapse of the stock market has refocused attention on the question of the equity risk premium. One of the most comprehensive studies of the equity premium, completed by Fama and French in 2000, is now significantly out of date and requires refreshing. This article provides that update.
Bradford Cornell +2 more
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The recent collapse of the stock market has refocused attention on the question of the equity risk premium. One of the most comprehensive studies of the equity premium, completed by Fama and French in 2000, is now significantly out of date and requires refreshing. This article provides that update.
Bradford Cornell +2 more
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The Equity Risk Premium and the Equity Premium Puzzle
2016All of finance rests on the proposition that investors dislike risk and demand higher returns as compensation for bearing risk. In behavioral terms, the equity risk premium may be regarded as the additional rate of return that risk-averse investors, as a class, demand in exchange for the burden of bearing volatility and the attendant risk of downside ...
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Mortgage payments and equity premium puzzle
The Quarterly Review of Economics and Finance, 2020The equity premium puzzle argues that equity risk alone is insufficient to justify observed equity premiums with a reasonable value of risk aversion. Mortgages account for a substantial part of household debt, it is thus necessary to take the mortgage payment obligations into consideration when addressing the puzzle.
Tien Foo Sing, Yiheng Zou
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