Introduction to PNAS special issue on evolutionary models of financial markets. [PDF]
Proc Natl Acad Sci U S A, 2021 Levin SA, Lo AW.
europepmc +1 more source
World Equity Premium Based Risk Aversion Estimates [PDF]
The equity premium puzzle holds that the coefficient of relative risk aversion estimated from the consumption based CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries.
Casper De Vries +2 more
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Introduction to Special Issue: Topics Related to Real Estate Market Efficiency. [PDF]
J Real Estate Financ Econ (Dordr), 2023 Broxterman D +4 more
europepmc +1 more source
Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth? [PDF]
Introducing heterogeneity of beliefs across different agents builds a link between wealth distribution and the equity premium. We demonstrate that an economy populated only by risk neutral agents may nonetheless display a strictly positive equity premium.
Filippo Taddei
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Myopic loss aversion, disappointment aversion, and the equity premium puzzle [PDF]
This paper takes a close look at the 'behavioural finance' explanations of the equity premium puzzle, namely myopic loss aversion (Benartzi and Thaler, 1995) and disappointment aversion (Ang, Bekaert and Liu, 2000).
Fielding, David, Stracca, Livio
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Multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference [PDF]
, 2011 Copyright @ 2011 University of BirminghamHere a multifactor model of UK stock returns is developed, replac- ingHere a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on
Hunter, J, Wu, F
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The Equity Premium and Risk-Free Rate Puzzles in a Turbulent Economy: Evidence from 105 Years of Data from South Africa [PDF]
This paper presents a detailed empirical examination of the South African equity premium; and a quantitative theoretic exercise to test the canonical inter-temporal consumption-based asset-pricing model under power utility.
Andrew van Biljon, Shakill Hassan
core +1 more source
Information Frictions in Real Estate Markets: Recent Evidence and Issues. [PDF]
J Real Estate Financ Econ (Dordr), 2023 Broxterman D, Zhou T.
europepmc +1 more source
Equity premium: Historical, expected, required and implied [PDF]
Equity premium designates four different concepts: Historical Equity Premium (HEP); Expected Equity Premium (EEP);Required Equity Premium (REP); and Implied Equity Premium (IEP).
Fernandez, Pablo
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Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium [PDF]
The equity premium of interest in theoretical models is the extra return investors anticipate when purchasing risky stock instead of risk-free debt.
Glen Donaldson +2 more
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