The Equity Premium Puzzle
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The Equity Premium Puzzle
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Author : Rajnish Mehra
language : en
Publisher: Now Publishers Inc
Release Date : 2007-09-27
The Equity Premium Puzzle written by Rajnish Mehra and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-09-27 with Business & Economics categories.
Over two decades ago, Mehra and Prescott (1985) challenged the finance profession with a poser: the historical US equity premium is an order of magnitude greater than can be rationalized in the context of the standard neoclassical paradigm of financial economics. This regularity, dubbed "the equity premium puzzle," has spawned a plethora of research efforts to explain it away. In this review, the author takes a retrospective look at the original paper and explains the conclusion that the equity premium is not a premium for bearing non-diversifiable risk
Handbook Of The Equity Risk Premium
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Author : Rajnish Mehra
language : en
Publisher: Elsevier
Release Date : 2011-08-11
Handbook Of The Equity Risk Premium written by Rajnish Mehra and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-11 with Business & Economics categories.
Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.
The Equity Premium Puzzle Intrinsic Growth Monetary Policy An Unexpected Solution Theory Strategy For The Coming Jobless Age
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Author : Robert Shuler
language : en
Publisher: Lulu.com
Release Date : 2013-11-25
The Equity Premium Puzzle Intrinsic Growth Monetary Policy An Unexpected Solution Theory Strategy For The Coming Jobless Age written by Robert Shuler and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-25 with Business & Economics categories.
This book shows we must adjust money supply to account for productivity if deflation is to be avoided. The central banker is not profit oriented and can create money at will, not subject to rational investor constraints. Businesses leverage low interest rates enforced by the central bank to grow and increase employment, compensating for the reduced labor necessary for the former level of goods and services. This leveraged difference in returns is the equity premium. Even a one time productivity increase requires a corresponding permanent increase not in the money supply itself, but in the "rate of increase" of the money supply. Given the steady growth in productivity of the last 100 years, the world economy is now grossly under-stimulated and in danger of precipitous deflation. Both academic models and arguments based on historical events are presented, along with analysis of the meaning of money, investor behavior, and practical techniques for obtaining the equity premium in one's portfolio.
The Equity Premium
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Author : Rajnish Mehra
language : en
Publisher:
Release Date : 1985
The Equity Premium written by Rajnish Mehra and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with categories.
Behavioral Explanation Of The Equity Premium Puzzle
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Author : Kevin Rink
language : en
Publisher: GRIN Verlag
Release Date : 2010-04
Behavioral Explanation Of The Equity Premium Puzzle written by Kevin Rink and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-04 with Business & Economics categories.
Bachelor Thesis from the year 2010 in the subject Business economics - Business Management, Corporate Governance, grade: 1,0, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, language: English, abstract: Ever since the equity premium puzzle (EEP) was published by Mehra and Prescott (1985), it has become one of the most investigated problems in economics (Mehra, 2003, p. 54). The EEP describes the fact that we cannot link historic stock returns with the volatility of consumption growth (in a sense to be made precise below). Mehra and Prescott call this a puzzle as their consumption-based asset pricing model can not plausibly explain the S&P 500's annual risk premium of 6.2% over relatively risk-free governmental treasury bills between 1889 and 1978. This model reproduces an equity premium of 6.2% solely by adapting unreasonable estimates of agents' risk aversion (Mehra & Prescott, 1985, pp. 155-156). In this way, the model also predicts an extreme size of the risk-free rate (Cochrane, 2000, p. 416). Thus, the equity premium is not able to be explained exclusively by the risk of stock price fluctuations. (...) This thesis will examine the EPP from a behavioral perspective. The major research question to be pursued is this: How do behavioral approaches explain the equity premium puzzle? In order to answer this question, a variety of subtasks must be addressed. This includes the investigation of the initial model of Mehra and Prescott (1985) as well as its underlying assumptions. That is, in particular, needed because several well-established classical assumptions must be dropped to set up descriptive behavioral models. In addition, implications from psychology and behavioral economics must be introduced to answer the overall question of this thesis. Hence, the thesis will focus on the notions of loss aversion, narrow framing, and regret theory in an effort to explain the EPP. (...) The remainder of this thesis is or
The Equity Premium Puzzle Ambiguity Aversion And Institutional Quality
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Author : S. Nuri Erbas
language : en
Publisher: International Monetary Fund
Release Date : 2007-09
The Equity Premium Puzzle Ambiguity Aversion And Institutional Quality written by S. Nuri Erbas and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-09 with Business & Economics categories.
With cross-section data from 53 emerging and mature markets, we provide evidence that equity premium puzzle is a global phenomenon. In addition to risk aversion, equity premium may reflect ambiguity aversion. We explore the sources of equity premium using some pertinent fundamental independent variables, as well as the World Bank institutional quality indexes and other proxies for the degree of ambiguity in the sample countries. Some World Bank and other indexes are statistically significant, which indicates that a large part of equity premium may reflect investor aversion to ambiguities resulting from institutional weaknesses.
The Equity Premium Puzzle And The Riskfree Rate Puzzle
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Author : Philippe Weil
language : es
Publisher:
Release Date : 1989
The Equity Premium Puzzle And The Riskfree Rate Puzzle written by Philippe Weil and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.
The Equity Premium Puzzle
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Author : Isabel Gruber
language : en
Publisher:
Release Date : 2016
The Equity Premium Puzzle written by Isabel Gruber and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The Equity Premium Puzzle
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Author : Robert Shuler
language : en
Publisher:
Release Date : 2015-08-11
The Equity Premium Puzzle written by Robert Shuler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-11 with Business & Economics categories.
The book presents a theory of a necessity to adjust money supply to account for productivity if deflation is to be avoided. The monetary agent (central banker) is a market participant who is not profit oriented and can create money at will, and thus not be subject to rational investor constraints. The monetary agent's power is similar to or greater than investor power in the market. Businesses leverage low interest rates enforced by the monetary agent to increase their activity, and growth rates, increasing employment to compensate for the reduced labor necessary to create the former level of goods and services. This leveraged difference in returns is the equity premium. Since productivity is a "rate" of production, even a one-time increase requires a corresponding permanent increase not in the money supply itself, but in the "rate of increase" of the money supply. Given the steady growth in productivity of the last 100 years, the world economy is now grossly under-stimulated and in danger of precipitous deflation. Both academic models and arguments based on historical events are presented, along with analysis of the meaning of money, investor behavior, and practical techniques for obtaining the equity premium in one's portfolio.
The Equity Premium Puzzle And Decreasing Relative Risk Aversion
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Author : Maurice J. Roche
language : en
Publisher:
Release Date : 2005
The Equity Premium Puzzle And Decreasing Relative Risk Aversion written by Maurice J. Roche and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Risk categories.
