Results 1 to 10 of about 273,667 (338)
The equity risk premium a solution [PDF]
Journal of Monetary Economics, 1988 Abstract In ‘The Equity Risk Premium: A Puzzle’, Mehra and Prescott (1985) developed an Arrow-Debreau asset pricing model. They rejected it because it could not explain high enough equity risk premia. They concluded that only non-Arrow-Debreu models would solve this ‘puzzle’.
Rajnish Mehra, Edward C. Prescott
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Equity Risk Premium and Regional Integration [PDF]
SSRN Electronic Journal, 2013 Abstract This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level.
Mohamed El Hedi Arouri +2 more
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Does debt ceiling and government shutdown help in forecasting the us equity risk premium? [PDF]
Panoeconomicus, 2016 This article evaluates the predictability of the equity risk premium in the United States by comparing the individual and complementary predictive power of macroeconomic variables and technical indicators using a comprehensive set of 16 economic
Aye Goodness C. +2 more
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Equity risk premium and insecure property rights [PDF]
Economic Theory Bulletin, 2014 How much of the equity risk premium puzzle can be attributed to the insecure property rights of shareholders? This paper develops a version of the CCAPM with insecure property rights (stochastic taxes). The model implies that the current expected equity premium can be reconciled with a coefficient of relative risk aversion of 3.76, thus resolving a ...
Konstantin Magin
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The Equity Risk Premium: A Review of Models [PDF]
SSRN Electronic Journal, 2015 We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached heightened levels — of around 12 percent — not seen since the 1970s. We conclude that the high ERP was caused by unusually low Treasury yields.
Duarte, Fernando M., Rosa, Carlo
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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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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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Evaluating the effect of accruals quality, investments anomaly and quality of risk on risk premium (return) of stock of listed companies in Tehran Stock Exchange [PDF]
Problems and Perspectives in Management, 2016 Nowadays, reaching to economic goals in any society requires public participation, which is only the result of people participation. Investment in stock market is one of people participation methods.
Seyed Kazem Ebrahimi +2 more
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Information shocks and the cross section of expected returns
Borsa Istanbul Review, 2023 This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry by focusing on
Tanseli Savaser, Murat Tiniç
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