The Equity Risk Premium A Contextual Literature Review
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The Equity Risk Premium
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Author : Laurence B. Siegel
language : en
Publisher:
Release Date : 2017
The Equity Risk Premium written by Laurence B. Siegel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The Equity Risk Premium A Contextual Literature Review
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Author : Laurence B. Siegel
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2017-12-08
The Equity Risk Premium A Contextual Literature Review written by Laurence B. Siegel and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-12-08 with Business & Economics categories.
Research into the equity risk premium, often considered the most important number in finance, falls into three broad groupings. First, researchers have measured the margin by which equity total returns have exceeded fixed-income or cash returns over long historical periods and have projected this measure of the equity risk premium into the future. Second, the dividend discount model—or a variant of it, such as an earnings discount model—is used to estimate the future return on an equity index, and the fixed-income or cash yield is then subtracted to arrive at an equity risk premium expectation or forecast. Third, academics have used macroeconomic techniques to estimate what premium investors might rationally require for taking the risk of equities. Current thinking emphasizes the second, or dividend discount, approach and projects an equity risk premium centered on 3½% to 4%.
The Equity Risk Premium
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Author : William N. Goetzmann
language : en
Publisher: Oxford University Press
Release Date : 2006-11-16
The Equity Risk Premium written by William N. Goetzmann and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-16 with Business & Economics categories.
What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
The Equity Risk Premium
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Author : Bradford Cornell
language : en
Publisher: John Wiley & Sons
Release Date : 1999-05-26
The Equity Risk Premium written by Bradford Cornell and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-05-26 with Business & Economics categories.
Das Thema Risikoprämie für Aktien (Equity Risk Premium) wird hier zum ersten Mal verständlich erklärt. Die Risikoprämie für Aktien stellt einen Renditeausgleich dar für das erhöhte Risiko, das ein Anleger bei der Investition in Aktien eingeht, im Vergleich zu einer Investition in risikofreie Staatsanleihen. Die Risikoprämie ist zwar von der Theorie her einfach, jedoch in der Praxis ein sehr komplexes Phänomen. Für Finanzentscheidungen ist es von größter Bedeutung, daß man das Prinzip der Risikoprämie versteht und es anwenden kann. Cornell erläutert das Thema Schritt für Schritt sehr anschaulich und ohne terminologischen Ballast. Zunächst wird die Risikoprämie im Zusammenhang mit der Geschichte des Aktienmarktes betrachtet. Der Haussemarkt der 90er dient dabei als Fallstudie. Cornell zeigt, welche Rückschlüsse man durch die Analyse der Risikoprämie im historischen Verlauf für den Aktienmarkt ziehen kann, z.B. ob Aktienkurse steigen oder fallen oder ob sich der Aktienmarkt verändert. Vorausschauende Schätzungen der Risikoprämie werden anhand verschiedener konkurrierender Modelle analysiert, wobei die Vorzüge der jeweiligen Methode mitbewertet werden. 'Equity Risk Premium' ist das erste Buch, das dieses wichtige Prinzip der Risiko-Nutzen-Analyse erschöpfend behandelt. Es vermittelt einen tiefen Einblick und deckt alle Grundlagen ab, damit Investoren fundierte Finanzentscheidungen treffen können. Ein absolutes Muß für institutionelle Anleger, Geldmanager und Finanzvorstände, die auf eine fundierte Marktanalyse zurückgreifen müssen. (06/99)
Rethinking The Equity Risk Premium
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Author : P. Brett Hammond
language : en
Publisher:
Release Date : 2011-12
Rethinking The Equity Risk Premium written by P. Brett Hammond and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12 with Investments categories.
The Equity Risk Premium Puzzle Revisited
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Author :
language : en
Publisher:
Release Date : 2007
The Equity Risk Premium Puzzle Revisited written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Stock exchanges categories.
Revisiting The Equity Risk Premium
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Author : Laurence B. Siegel
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2023-06-06
Revisiting The Equity Risk Premium written by Laurence B. Siegel and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06-06 with Business & Economics categories.
In 2001, Martin Leibowitz organized an Equity Risk Premium (ERP) Forum for CFA Institute, in which the participants discussed issues related to the ERP and made estimates for the future. This forum was repeated by Leibowitz, Brett Hammond, and Laurence Siegel in 2011, setting a precedent for a decennial forum. Siegel organized and moderated the discussion in 2021, and the proceedings from that event make up the current book. The participants in 2021 were (in alphabetical order) Robert Arnott, Clifford Asness, Mary Ida Compton, Elroy Dimson, William Goetzmann, Roger Ibbotson, Antti Ilmanen, Martin Leibowitz, Rajnish Mehra, Thomas Philips, and Jeremy Siegel. Each participant made a presentation, which was then discussed by the whole group. Finally, a roundtable discussion involving all of the participants was moderated by Laurence Siegel. Ibbotson and Dimson discussed historical returns in different countries. Ibbotson focused on the United States, while Dimson took a global industrial-country view. The history goes back almost a century (Ibbotson) or more than a century (Dimson), providing a look at how returns have evolved over a wide variety of conditions. Ibbotson also presented his method for making probabilistic forecasts of returns. Dimson, who is British, showed that “American exceptionalism” is one way to understand the results. Asness looked at the effectiveness of Robert Shiller’s CAPE (cyclically adjusted price-earnings ratio) valuation measure for forecasting. Valuations rose over the period he studied, and a lively discussion was had about why this may have occurred. Arnott focused on the growth rate of dividends, which has been very slow in per-share terms, and argued (with much debate from the other participants) that buybacks are only a partial substitute for dividends. Leibowitz, also looking at valuation as the lodestone of return forecasts, set forth a “growth adjustment” that brought his forecast in line with those made by others. Compton, a consultant to pension plans, discussed the challenges of communicating lower expected returns to clients. She also emphasized that expected returns “don’t always come true,” they’re just someone’s best forecast. Ilmanen broke up the expected return into its component parts: dividends, real growth, inflation, and so forth. Doing this, he said, allows one to debate the estimates for each part and ascertain how accurate each of the estimates is. Philips started by presenting a method for forecasting bond returns. He then turned to equities, for which he compared forecasts with subsequent realizations using a variety of forecast methods. Mehra discussed a number of issues related to the existence of premiums (equity risk, value, small cap, and so forth) and concluded that, although some of these are unstable, the ERP is highly stable. Jeremy Siegel advocated a “back to basics” approach using dividend and earnings yields, dividend and earnings growth rates, payout ratios, and price-to-earnings ratios. He emphasized that earnings can be calculated in a number of different way, and said that accounting practices have become more conservative over the years. Goetzmann concluded the session by reporting that one company, a water mill in France, had almost 600 years of historical return data and that an asset pricing model could be tested using those data. According to this model, the stock price is the present value of expected future dividends and is supported by the evidence. In sum, because of high valuations and low interest rates, the participants expect lower total returns in the future than in the past. A forward-looking ERP of 4% to 5% was the consensus of the group.
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
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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
History And The Equity Risk Premium
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Author : Roger G. Ibbotson
language : en
Publisher:
Release Date : 2005
History And The Equity Risk Premium written by Roger G. Ibbotson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
We summarize some of our own past findings and place them in the context of the historical development of the idea of the equity risk premium and its empirical measurement by financial economists. In particular, we focus on how the theory of compensation for investment risk developed in the 20th century in tandem with the empirical analysis of historical investment performance. Finally, we update our study of the historical performance of the New York Stock Exchange over the period 1792 to the present, and include a measure of the U.S. equity risk premium over more than two centuries. This last section is based upon indices constructed from individual stock and dividend data collected over a decade of research at the Yale School of Management, and contributions by other scholars.