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Equity premium

The Equity Premium and the One Percent

The Equity Premium and the One Percent

... vant for asset pricing because in dynamic models the economy is dominated by the richest agent (the agent with the largest expected wealth growth rate) in the long run (Sandroni, 2000; Blume and Easley, 2006). One ...

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Stochastic Discount Factor Models and the Equity Premium Puzzle

Stochastic Discount Factor Models and the Equity Premium Puzzle

... “explanation” of the data largely meaningless. Still, it might be argued that such calculations are of interest if the parameter values do not vary “too much”. However, to achieve the bound in the 1957-1987 sample ...

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Interplay Between Macroeconomic Factors and Equity Premium: Evidence Pakistan Stock Exchange

Interplay Between Macroeconomic Factors and Equity Premium: Evidence Pakistan Stock Exchange

... in equity premium in US capital market is mainly caused by volatility of macroeconomic ...and equity premiums and found very little or no ...level equity premium. The studies conducted ...

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A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes

A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes

... The equity premium is neither affected by the wealth value nor the time preference function and the diffusive risk premium is always ...zero, equity premium is ...

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Can the information content of share repurchases improve the accuracy of equity premium predictions?

Can the information content of share repurchases improve the accuracy of equity premium predictions?

... In-sample statistical significance may be a first indication of predictive performance but this does not mean that the variables under consideration will also be successful predictors of stock returns out-of-sample. ...

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Can the information content of share repurchases improve the accuracy of equity premium predictions?

Can the information content of share repurchases improve the accuracy of equity premium predictions?

... The dividend-price ratio is found to be the most prominent candidate for predicting the UK equity premium. It produces the lowest RMSE’s across all periods suggesting that the information content of share ...

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Using equity premium survey data to estimate future wealth

Using equity premium survey data to estimate future wealth

... an equity index tracker fund and optimal asset ...equity premium. That we are able to derive a pdf of the true equity premium based on the survey data also enables us to construct a pdf ...

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Futures market approach to understanding equity premium puzzle

Futures market approach to understanding equity premium puzzle

... In this paper, I will assume the infinite-life representative agent framework. The model presented in this paper is partly derived from Mehra/Prescott (1985) [1], which raised equity premium puzzle ...

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Equity premium estimates from economic fundamentals under structural breaks

Equity premium estimates from economic fundamentals under structural breaks

... the equity premium is subject to breaks (see ...the equity premium over such a long ...the premium between breaks thereby giving the path of the premium over the entire ...the ...

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EQUITY Premium Puzzle in a Data Rich Environment

EQUITY Premium Puzzle in a Data Rich Environment

... The point of departure from previous works is that in our framework we do not restrict the reference level to be a function of lagged consumption level (as in Ferson and Constantinides 1990) or as an autoregressive ...

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A Reconsideration of the Equity Premium Puzzle

A Reconsideration of the Equity Premium Puzzle

... In this note, I propose to go back to a complete markets framework with investor aggregation and log-normally distributed aggregate endowment growth. Using slightly relaxed conditions from a typical representative agent ...

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The Precision of Unconditional Estimators of the Equity Premium

The Precision of Unconditional Estimators of the Equity Premium

... the equity risk premium has been the subject of intense ...the equity premium is surely much larger than the short term T-bill ...the equity premium are the unconditional mean ...

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Equilibrium Equity Premium in a Semi Martingale Market When Jump Amplitudes Follow a Binomial Distribution

Equilibrium Equity Premium in a Semi Martingale Market When Jump Amplitudes Follow a Binomial Distribution

... [3] modeled a stock price as a production process in a production economy with jump diffusion and established a general equilibrium model for the equity premium. These authors proposed a pricing kernel and ...

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Some solutions to the equity premium and volatility puzzles

Some solutions to the equity premium and volatility puzzles

... I believe that the general model with n states for growth rate introduced in Mehra and Prescott‘s paper is a very efficient model to fit the purpose to match the sample data from this model in an economy, which includes ...

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The Impact of Utility Functions on The Equilibrium Equity Premium In A Production Economy With Jump Diffusion

The Impact of Utility Functions on The Equilibrium Equity Premium In A Production Economy With Jump Diffusion

... the equity premium which shows the signif- icant judgements one is making as to how much risk he or she sees in this economy (market) and what price one attaches to that ...

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ChVIIExamplesofMR.pptx

ChVIIExamplesofMR.pptx

... Omitted Variables and Fixed Effects – price elasticity regressions.. Model Choice – application to the Equity Premium Puzzle.b[r] ...

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Equity Premiums In Small Open Economy

Equity Premiums In Small Open Economy

... Our purpose here is to introduce a foreign sector to the model studied by Jermann 4 (1998), and to allow in this way the representative household to have a financial access to the foreign economy. Incorporating the ...

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Equity Pricing and Risk Premium under Long Run Risks and Incomplete Information

Equity Pricing and Risk Premium under Long Run Risks and Incomplete Information

... ratio, equity premium, and the risk free ...of equity premium. The largest portion of the premium is predominantly due to the hedging demand induced by the variation in earnings growth, ...

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ChVIIExamplesofMR.pdf

ChVIIExamplesofMR.pdf

... Let’s look at some data from Welch and Goval, “A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,” RFS(2008). The measure premium and factors that could be[r] ...

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The Effect of Financial Self Efficacy on Myopic Loss Aversion in Financial Decision Making

The Effect of Financial Self Efficacy on Myopic Loss Aversion in Financial Decision Making

... Thanks to the large historical background, long-term records were gathered and allow the identification of the average profits for both financial products. Since around the beginning of the 20th century, these records ...

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