Results 1 to 10 of about 293 (163)
Examining the Equity Premium Puzzle in Iran: A Practical Approach Using a Dynamic Stochastic General Equilibrium Model [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2023 The equity premium is obtained from the difference between the return on the risky stock asset and the return on the risk-free asset; the failure of financial theory to explain high equity premium is known as the equity premium puzzle.
Sahar Zare Joneghani +3 more
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The Equity Risk Premium Puzzle in Pakistan
Market Forces, 2021 Our study uses the consumption-based asset-pricing power utility model to test the Equity Risk Premium (ERP) puzzle in Pakistan. The study has collected monthly stock price data from July 1997 to December 2017 from the PSX data portal.
Ali Sajid +3 more
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Risk Premium for Loss of Employment in Polish Regions
Zeszyty Naukowe Wyższej Szkoły Finansów i Prawa w Bielsku-Białej, 2016 On the basis of the income-based valuation method of intellectual capital of the region in the previous papers, the author discovers a need for a valuation of the risk premium which should be included in the rate that discounts income from work ...
Jan Ostoj
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The equity premium: A puzzle [PDF]
Journal of Monetary Economics, 1985 Abstract Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 1889–1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equilibrium model which is not an Arrow-Debreu
R. Mehra, E. Prescott
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Equity Premium Puzzle and Bubble Risk and Epstein- Zin Recursive Preferences Function in Iran’s Securities Market [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2017 The present study aims to interpret equity premium puzzle based on the bubble risk approach in Iran’s securities market for the period 1996:09-2016:10.
Madjid Hatefi Madjumerd +2 more
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Analysis the effect of market anomalies and growth options on stock return [PDF]
Journal of Asset Management and Financing, 2021 In financial markets, the effect of profitability anomaly, distress anomaly, lotterynees anomaly and idiosyncratic volatility have been investigated individually.
Alireza Jafari +2 more
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Equity-premium puzzle: evidence from Brazilian data
Economia Aplicada, 2006 Este trabalho usa dados brasileiros do período 1992:1-2004:2 e dois diferentes métodos (aproximação sob a hipótese de lognormalidade e calibração) para avaliar a existência de um "equity-premium puzzle" no Brasil.
Rubens Penha Cysne
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On the descriptive value of loss aversion in decisions under risk: Six clarifications [PDF]
Judgment and Decision Making, 2013 Previous studies of loss aversion in decisions under risk have led to mixed results. Losses appear to loom larger than gains in some settings, but not in others.
Eyal Ert, Ido Erev
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Solution to the Equity Premium Puzzle [PDF]
SSRN Electronic Journal, 2020 This study provides the solution to the equity premium puzzle. The new model was developed by including the behavior of investors toward risk in financial markets in prior studies. The calculations of this newly tested model show that the value of the coefficient of relative risk aversion is 1.033526 by assuming the value of the subjective time ...
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Equity Premium Puzzle or Faulty Economic Modelling? [PDF]
SSRN Electronic Journal, 2020 In this paper, we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a more appropriate distribution for the return data. We demonstrate that the high-risk aversion value observed by Mehra and Prescott may be attributable to the problem of fitting
Shirvani, Abootaleb +3 more
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