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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
exaly +5 more sources
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
doaj +1 more source
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
doaj +3 more sources
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
doaj +1 more source
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
doaj +1 more source
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
openaire +5 more sources
The Equity Risk Premium: Emerging versus Developed Markets [PDF]
SSRN Electronic Journal, 2002 This paper gives an empirical view of the ex-post equity risk premium in a number of international markets with special attention to emerging ones. Our study yields interesting implications for finance. Firstly, we find that the equity risk premium in emerging markets is significantly higher than in developed markets.
Salomons, Roelof, Grootveld, Henk
openaire +3 more sources
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
doaj +1 more source
World Equity Premium Based Risk Aversion Estimates [PDF]
SSRN Electronic Journal, 2010 textabstractThe 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.
L.C.G. Pozzi, C.G. de Vries, J. Zenhorst
openaire +4 more sources
Required Market Risk Premium among countries in 2012
Journal of Finance and Data Science, 2015 This paper contains the statistics of the Equity Premium or Market Risk Premium (MRP) used in 2012 for 82 countries. We got 7192 answers for 93 countries, but we only report the results for 82 countries with more than 5 answers.
Pablo Fernandez +2 more
doaj +1 more source