Results 11 to 20 of about 273,667 (338)
Equity Market Volatility and Expected Risk Premium [PDF]
SSRN Electronic Journal, 2006 This paper revisits the time-series relation between the conditional risk premium and variance of the equity market portfolio. The main innovation is that we construct a measure of the ex ante equity market risk premium using corporate bond yield spread data. This measure is forward-looking and does not rely critically on either realized equity returns
Long Chen, Hui Guo, Lu Zhang
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The Risk Premium for Equity [PDF]
, 2001 The equity premium puzzle shows that using standard parameters and setup, the Consumption-based Capital Asset Pricing Model's (CCAPM's) prediction of the premium associated with systematic risk is out by an order of magnitude.The object of this paper is to consider the implications of each of the broad classes of explanations of the equity premium ...
Grant, S., Quiggin, J.
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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
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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
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Determinants of the implied equity risk premium in Brazil
, 2020 This paper proposes and tests market determinants of the equity risk premium (ERP) in Brazil. We use implied ERP, based on the Elton (1999) critique.
A. Sanvicente, Mauricio Rocha Carvalho
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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
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Forecasting the Equity Risk Premium: The Role of Technical Indicators
Management Sciences, 2014 Academic research relies extensively on macroeconomic variables to forecast the U.S. equity risk premium, with relatively little attention paid to the technical indicators widely employed by practitioners.
Christopher J. Neely +3 more
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The Fundamental Equity Premium and Ambiguity Aversion in an International Context
Risks, 2018 Stocks are riskier than bonds. This causes a risk premium for stocks. That the size of this premium, however, seems to be larger than risk aversion alone can explain the so-called “equity premium puzzle”.
Minh Hai Ngo +2 more
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ESTIMATING EQUITY RISK PREMIUM: THE CASE OF GREATER CHINA
Buletin Ekonomi Moneter dan Perbankan, 2019 The expected equity risk premium is a key input of many asset prcing models in nance. There exist a number of methods to estimate the risk premium. It is also well documented that the risk premium is time-varying.
Jie Zhu
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Are Country and Size Risks Priced in the Brazilian Stock Market? [PDF]
BAR: Brazilian Administration Review, 2017 When estimating a firm’s cost of equity for valuation and other purposes in emerging markets without (or with only partial) capital market integration, many practitioners include a premium for country risk.
Antonio Zoratto Sanvicente +2 more
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