Results 261 to 270 of about 273,667 (338)
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Habits, Wealth and Equity Risk Premium
Finance Research Letters, 2021Abstract We investigate how external habits affect the equity risk premium in an exchange economy with identical agents, except for their initial endowment. Wealth inequality is introduced with a mean-preserving transfer of endowment. We show that, when external habits are present and the absolute risk tolerance of agents is convex (concave), wealth ...
Christos I. Giannikos, Georgios Koimisis
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Unconstrained estimates of the equity risk premium
Review of Accounting Studies, 2011Estimates of the equity risk premium implied by analyst forecasts—generally 2–4 %—are often significantly below realized equity returns of 6 %. Measurement error could result from conservative assumptions, reliance upon consensus rather than detailed forecasts, the use of market rather than target prices, and regression analysis, which can be ...
Fitzgerald, Tristan +3 more
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Variance risk premium and equity returns
Research in International Business and Finance, 2018Abstract This study contributes to the age-old question of whether stock market returns are predictable by investigating the relationship of variance risk premium and equity returns. The volatilities derived from options prices typically exceed the corresponding subsequent realized volatilities of the underlying asset, suggesting that investors ...
Athanasios P. Fassas +1 more
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Patented knowledge capital and implied equity risk premium
Journal of Banking & Finance, 2023Patented knowledge capital improves transparency of research and development expenditures, converts intangible intellectual property into collateralizable and salable assets, enhances sustained competitive advantage, and lowers future financing risk and ...
Shantaram P. Hegde, Dev R. Mishra
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Does it pay to invest? The personal equity risk premium and stock market participation
Journal of Banking & Finance, 2020Individuals’ stock market participation depends on the risk–return trade-off they expect to achieve from investing. We argue that the expected economic benefits from investing are highly heterogeneous.
Yulia Merkoulova, C. Veld
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North American Actuarial Journal, 2004
Abstract The equity risk premium (ERP) is an essential building block of the market value of risk. In theory, the collective action of all investors results in an equilibrium expectation for the return on the market portfolio excess of the risk-free return, the ERP. The ability of the valuation actuary to choose a sensible value for the ERP, whether as
Richard A. Derrig, Elisha D. Orr
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Abstract The equity risk premium (ERP) is an essential building block of the market value of risk. In theory, the collective action of all investors results in an equilibrium expectation for the return on the market portfolio excess of the risk-free return, the ERP. The ability of the valuation actuary to choose a sensible value for the ERP, whether as
Richard A. Derrig, Elisha D. Orr
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EXPLAINING THE EQUITY RISK PREMIUM*
The Manchester School, 2006We develop a simple overlapping generations model in which the young have a choice in investing in equities or index‐linked bonds. Projections of share price uncertainty over a 30‐year period show that the risk associated with such long‐term investments predicts an equity premium that matches historical values. Moreover, we calibrate the model and show
Lungu, Laurian, Minford, Patrick
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The Real Response to Uncertainty Shocks: The Risk Premium Channel
Management Sciences, 2022Uncertainty shocks are also risk premium shocks. With countercyclical risk aversion (RA), a positive shock to uncertainty increases risk and elevates RA as consumption growth falls.
Lorenzo Bretscher, Alex Hsu, A. Tamoni
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