Results 271 to 280 of about 273,667 (338)
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The long-run equity risk premium
Finance Research Letters, 2005Abstract Based on a survey of US Chief Financial Officers (CFOs), we present expectations of the equity risk premium measured over a 10-year horizon relative to a 10-year US Treasury bond. This multi-year survey has been conducted each quarter from June 2000 to June 2005.
John R. Graham, Campbell R. Harvey
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The Market Equity Risk Premium
SSRN Electronic Journal, 2005The New Zealand Superannuation Act 2001 requires the Treasury to state each year the required capital contribution of the New Zealand Government to the New Zealand Superannuation Fund. This paper examines a key assumption made in that calculation - the level of expected long-term premium of return on equity market investments over return on long-term ...
Brian W. McCulloch, Dasha Leonova
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Measuring the equity risk premium
Journal of Asset Management, 2001We use surveys of economic forecasts to derive a forward-looking estimate of the US equity risk premium (ERP) relative to government bonds. Our ERP measure helps predict short-term relative returns between stocks and bonds. Over the period we studied, low readings of the ERP tended to adjust back to the mean via a rally in the bond market rather than a
Byrne, Alistair, Best, Peter
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Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options
Journal of Finance, 2016A recent literature suggests that uncertainty about future stock lending fees is an impediment to short-selling and this risk explains part of the returns to shorting. However, an investor can use the option market to establish a synthetic short position
D. Muravyev +2 more
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The Equity Risk Premium Controversy
The Journal of Investing, 2005The equity risk premium controversy is a puzzle with implications for investors and money managers. Whatever the arguments about a high equity risk premium in the past, there has been a substantial premium over time on average, although typically not as great a realized premium to investors.
Charles P. Jones, Jack W. Wilson
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2002
Equity risk premiums are a central component of every risk and return model in finance. Given their importance, it is surprising how haphazard the estimation of equity risk premiums remains in practice. In the standard approach to estimating equity risk premiums we use historical returns, with the difference in annual returns on stocks and bonds over a
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Equity risk premiums are a central component of every risk and return model in finance. Given their importance, it is surprising how haphazard the estimation of equity risk premiums remains in practice. In the standard approach to estimating equity risk premiums we use historical returns, with the difference in annual returns on stocks and bonds over a
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The Portuguese Equity Risk Premium
SSRN Electronic Journal, 2004Estimates of appropriate equity risk premiums are abundant in finance textbooks. Unfortunately, these estimates are ill suited to small and data scarce markets such as the Portuguese. We review the literature to select techniques to overcome this difficulty, and produce estimates of equity risk premiums suited to the Portuguese market.
Rui M. Alpalhão, Paulo F. Pereira Alves
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GLOBAL EVIDENCE ON THE EQUITY RISK PREMIUM
Journal of Applied Corporate Finance, 2003The size of the equity risk premium—the incremental return that shareholders require to hold risky equities rather than risk‐free securities—is a key issue in corporate finance. Financial economists generally measure the equity premium over long periods of time in order to obtain reliable estimates. These estimates are widely used by investors, finance
Elroy Dimson, Paul Marsh, Mike Staunton
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Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium
Social Science Research NetworkThe stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out‐of‐the‐money call options on stocks is −116 basis points per day.
J. Duarte +2 more
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The Equity Risk Premium and the Equity Premium Puzzle
2016All of finance rests on the proposition that investors dislike risk and demand higher returns as compensation for bearing risk. In behavioral terms, the equity risk premium may be regarded as the additional rate of return that risk-averse investors, as a class, demand in exchange for the burden of bearing volatility and the attendant risk of downside ...
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