Equity Premium Puzzle
Examination of Equity Premium Puzzle by Consumption Capital Asset Pricing Model with Fuzzy Nested Regimes: Evidence from Iran
... The neoclassical growth model and its random types comprise a central structure in modern financial affairs, public finance, and business cycles theory. This model has been widely used by researchers like Lucas (1978). ...
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Futures market approach to understanding equity premium puzzle
... This is because a bond itself does not give any utility. Similarly, fiat money itself intrinsically does not hold any value. The so-called new monetarists have been critical of this fact - the fact that interest rate is ...
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EQUITY Premium Puzzle in a Data Rich Environment
... the equity premium puzzle and the risk-free rate puzzle as well as the risk free rate volatility puzzle with a plausible local relative risk ...
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Stochastic Discount Factor Models and the Equity Premium Puzzle
... the equity premium puzzle is that in the standard asset-pricing model with time-separable preferences, the volatility of the stochastic discount factor, for plausible values of risk aversion, is too ...
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How can states benefit from the equity premium puzzle? Debt as revenue source for Swiss cantons
... default premium does not entirely explain the return ...he equity premium puzzle may not be why was the average equity return so high but rather why was the average risk-free rate so ...
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A Reconsideration of the Equity Premium Puzzle
... Regarding the estimation of utility parameters, Mehra and Prescott (1985) found that in a CBAP framework, the relative risk aversion parameters needed to justify the observed equity risk premium were ...
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The Effect of Financial Self Efficacy on Myopic Loss Aversion in Financial Decision Making
... the equity premium puzzle was discovered, the academic world recognized the magnitude of this phenomenon and focused research efforts towards solving this ...
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Some solutions to the equity premium and volatility puzzles
... the equity premium ...of equity, risk-free security, and risk premium for ...the equity premium and volatility ...the equity premium puzzle was ...
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An analysis of some issues in asset price behaviour
... The failure to find a satisfactory economic explanation of the equity premium puzzle means that these models, and business tools derived from them, are built on shaky theoretical grounds[r] ...
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Estimating the cost of capital for implementation of price controls by UK regulators
... “equity premium puzzle” is in fact explicable mainly by the risk-free rate being too low, relative to a frictionless world ...the equity return being too high, precisely because “junior can’t ...
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ChVIIExamplesofMR.pptx
... Omitted Variables and Fixed Effects – price elasticity regressions.. Model Choice – application to the Equity Premium Puzzle.b[r] ...
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Investor Psychology and Asset Pricing
... II Eviden e of Risk and Mispri ing E e ts I lassify the eviden e bearing on asset mispri ing into ve ategories: 1 return predi tability; 2 the equity premium puzzle; 3 eviden e as to whe[r] ...
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Panel Data Models with Unobserved Multiple Time Varying Effects to Estimate Risk Premium of Corporate Bonds
... Exploiting the aptitude of this new generation of panel models to control for unobserved and complex heterogeneity, we consider in this paper the particular problem of the, so called, credit spread puzzle. Defined ...
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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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ESTIMATING EQUITY RISK PREMIUM: THE CASE OF GREATER CHINA
... Another factor we need to exclude from the historical data is the change in the valuation basis for equity markets due to diminished business and investment risk. The diminished business risk is attributable to ...
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What Explains The Equity Risk Premium In ASEAN Countries?
... There might be a lot of general theories explaining on ERP but only few macroeconomic variables have been empirically tested to determine their direct impact on it. This is because most of the previous studies are ...
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The implied equity risk premium an evaluation of empirical methods
... the equity premium is essentially unobservable, it is also one of the most disputed concepts in ...risk premium by calculating the so-called implied ERP with the help of present value (PV) ...
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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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Index Catalog // Carolina Digital Repository
... The actual test for significant difference between the two premia is given by analyzing confidence intervals of the mean transitory premium. Point estimate goes from -0.5% for one day of forecasting to -0.1% for ...
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Estimating the Equity Risk Premium for Economies in the Asian Region
... The term in the square brackets is the ERP. The CAPM has been widely adopted by the financial sector. It is used in portfolio management as a means of rating portfolio managers (using a reward-to-variability ratio ...
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