Relevant bibliographies by topics / Equity Premium Puzzle

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  2. Dissertations / Theses
  3. Books
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Academic literature on the topic 'Equity Premium Puzzle'

Author: Grafiati
Published: 4 June 2021
Last updated: 11 March 2023

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Journal articles on the topic "Equity Premium Puzzle"

1

Nguyen, Tristan, and Alexander Schüßler. "Anomalien auf Aktienmärkten." Der Betriebswirt: Volume 54, Issue 2 54, no. 2 (June 30, 2013): 26–30. http://dx.doi.org/10.3790/dbw.54.2.26.

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In diesem Beitrag werden Anomalien (Puzzles) vorgestellt, die sich auf den gesamten Aktienmarkt beziehen. Equity Premium Puzzle steht für die zu hohe empirisch beobachtete Marktrisikoprämie. Sie kann nicht mit den Präferenzen der Erwartungsnutzentheorie erklärt werden. Volatility Puzzle bezeichnet die erhöhte Volatilität von Aktien. Diese schwanken zu stark, als dass sie den von rationalen Investoren diskontierten Wert erwarteter Dividenden widerspiegeln könnten. Predictability Puzzle beschreibt, dass gewisse Indikatoren die Preisentwicklung auf Marktebene vorhersagen. Für diese Anomalien werden verhaltenswissenschaftliche Erklärungen angeführt. This paper presents aggregate market anomalies. Equity Premium Puzzle means that the historical equity premium is too high to be explained by preferences of expected ultility theory. According to Volatility Puzzle, stocks move too much to be justified by dividend movements. Predictibility Puzzle describes that there are several ratios that predict aggregate market performance. We give behavioral explanations for those anomalies. Keywords: volatility puzzle, prospect theory, predictability puzzle, equity premium puzzle
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2

Neupane, Biwesh. "The Equity Premium Puzzle in Nepal." Banking Journal 3, no. 1 (January 27, 2013): 28–42. http://dx.doi.org/10.3126/bj.v3i1.7509.

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The study concentrates on one of the most famous puzzles in asset pricing, the equity premium puzzle, which was first identified by Mehra and Prescott (1985). The paper examines the existence and extent of the equity premium puzzle in Nepalese market. The equity premium puzzle refers to the fact that common stocks have offered a very high real risk premium over that of risk-free bills, which leads to unexplainable high risk-aversion of the investors. The study considers the time period of 1995/96 to 2007/08. The result shows that the equity premium exists in Nepal even though the advent of the premium is low compared to other developed countries. This could be a surprising result given the Nepalese context. It was found that the risk aversion of Nepalese investors is greater than 10 (the upeer boundary set by Mehra and Prescott, 1985) which do not fit the conventional financial theories resulting in unexplainable equity premium puzzle. DOI: http://dx.doi.org/10.3126/bj.v3i1.7509 Banking Journal Vol.3(2) 2013 pp.28-42
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Kartashova, Katya. "Private Equity Premium Puzzle Revisited." American Economic Review 104, no. 10 (October 1, 2014): 3297–334. http://dx.doi.org/10.1257/aer.104.10.3297.

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This paper revisits the results of Moskowitz and Vissing-Jørgensen (2002) on returns to entrepreneurial investments in the United States. Following the authors' methodology and new data from the Survey of Consumer Finances, I find that the “private equity premium puzzle” does not survive the period of high public equity returns in the 1990s. The difference between private and public equity returns is positive and large period-by-period between 1999 and 2007. Whereas in the 2008–2010 period, overlapping with the Great Recession, public and private equities performances are substantially closer. I validate these results in the aggregate data going back to the 1960s. (JEL G11, G12, L26)
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Siegel, Jeremy J., and Richard H. Thaler. "Anomalies: The Equity Premium Puzzle." Journal of Economic Perspectives 11, no. 1 (February 1, 1997): 191–200. http://dx.doi.org/10.1257/jep.11.1.191.

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The equity premium is the difference in returns between equities and fixed income securities, such as Treasury bills. The puzzle refers to the fact that the premium has historically been very large--about 6 percent per year--too large to be easily explained by risk aversion. The authors document the evidence for the puzzle and find that is exists in many countries, over long time periods, and does not seem to be explained by survivorship bias. They also summarize several theoretical explanations. The authors conclude that it is difficult to explain the equity premium without incorporating some kind of irrationality.
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5

Mehra, Rajnish, and Edward C. Prescott. "The equity premium: A puzzle." Journal of Monetary Economics 15, no. 2 (March 1985): 145–61. http://dx.doi.org/10.1016/0304-3932(85)90061-3.

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GÜRTLER, MARC, and NORA HARTMANN. "THE EQUITY PREMIUM PUZZLE AND EMOTIONAL ASSET PRICING." International Journal of Theoretical and Applied Finance 10, no. 06 (September 2007): 939–65. http://dx.doi.org/10.1142/s0219024907004500.

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Since the equity premium as well as the risk-free rate puzzle question the concepts central to financial and economic modeling, we apply behavioral decision theory to asset pricing in view of solving these puzzles. US stock market data for the period 1960–2003 and German stock market data for the period 1977–2003 show that emotional investors who act in accordance to Bell's [6] disappointment theory — a special case of prospect theory — and additionally administer mental accounts demand a high equity premium. Furthermore, these investors reason a low risk-free rate. However, Barberis et al. [5] already showed that limited rational investors demand a high equity premium. But as opposed to them, our approach additionally supports dividend smoothing.
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Rieger, Marc Oliver, Thorsten Hens, and Mei Wang. "International Evidence on the Equity Premium Puzzle and Time Discounting." Multinational Finance Journal 17, no. 3/4 (December 1, 2013): 149–63. http://dx.doi.org/10.17578/17-3/4-2.

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8

Catalão, André Borges, and Joe Akira Yoshino. "Fator de desconto estocástico no mercado acionário brasileiro." Estudos Econômicos (São Paulo) 36, no. 3 (September 2006): 435–63. http://dx.doi.org/10.1590/s0101-41612006000300002.

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Este trabalho implementa as fronteiras de variância mínima para o fator de desconto estocástico, conforme Hansen e Jagannathan (1991) e Cochrane e Hansen (1992), no mercado acionário brasileiro. São consideradas duas abordagens em termos dos retornos das ações e dos prêmios das ações: o Equity Premium Puzzle e o Low Interest Rate Puzzle em face destas metodologias. Adicionalmente, aplicamos o teste econométrico de Burnside (1994) nestes casos. Verificamos que a primeira abordagem produz um fator de desconto estocástico inválido no caso brasileiro. Por outro lado, a formulação com base no prêmio, conforme Cochrane e Hansen (1992), não invalida o fator de desconto estocástico. Assim, não identificamos estes dois puzzles no mercado acionário brasileiro. De fato, o chamado "equity premium puzzle" tem que satisfazer estes dois critérios. Neste sentido, este puzzle não se verifica no mercado acionário brasileiro.
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Mehra, Rajnish. "The Equity Premium Puzzle: A Review." Foundations and Trends® in Finance 2, no. 1 (2006): 1–81. http://dx.doi.org/10.1561/0500000006.

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Azeredo, Francisco. "The equity premium: a deeper puzzle." Annals of Finance 10, no. 3 (April 19, 2014): 347–73. http://dx.doi.org/10.1007/s10436-014-0248-7.

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Dissertations / Theses on the topic "Equity Premium Puzzle"

1

Pettersson, Pernilla. "Equity Premium Puzzle : teori och empiri." Thesis, Uppsala University, Department of Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-6401.

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Syftet med uppsatsen är att diskutera det så kallade equity premium puzzle. Jag

analyserar teoretiskt den intertemporala konsumtionsbaserade CAPM (C-CAPM),

sammanställer en del av litteraturdiskussionen som finns på området samt empiriskt

testar C-CAPM på svensk data. Fenomenet equity premium puzzle innebär att

överavkastningen på aktier är så stor att det inte stämmer med den ekonomiska teorin.

Enligt teorin beror C-CAPMs riskpremie på kovariansen mellan konsumtionen och

aktieavkastningen. Litteraturen visar att forskare inte har lyckats förklara equity

premium puzzle genom att ändra antagandena i grundmodellen. Den empiriska

undersökningen visar att equity premium puzzle även uppkommer på svensk data.

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2

Bart-Williams, Claudius Pythias. "On asset pricing and the equity premium puzzle." Thesis, Brunel University, 2000. http://bura.brunel.ac.uk/handle/2438/6371.

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Presented here are consumption and production related asset pricing models which seek to explain stock market behaviour through the stock premium over risk-free bonds and to do so using parameter values consistent with theory. Our results show that there are models capable of explaining stock market behaviour. For the consumption-based model, we avoid many of the suggestions to artificially boost the predicted stock premium such as modelling consumption as leverage claims; instead we use the notion of surplus consumption. We find that with surplus consumption, there are models including the much-maligned power utility model, capable of yielding theory consistent estimates for the discount rate, risk-free rate as well as the coefficient of relative risk aversion, y. Since real business cycle theory assumes a risk aversion coefficient of 1, we conclude that our model which gives a value close to but not equal to 1, provides an indication of the impact of market imperfections. For production, we present many of the existing models which seek to explain stock market behaviour using production data which we find to be generally incapable of explaining stock market behaviour. We conclude by presenting a profit based formulation which uses deviations of actual from expected profits and dividends via stock price reaction parameters to successfully explain stock market behaviour. We also conclude that the use of a profit based formulation allows for a link to investment, output and pricing decisions and hence link consumption and production.
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Hartmann, Nora. "Dividendenpolitik und das Equity-Premium-Puzzle bei beschränkter Kapitalgeberrationalität." [S.l. : s.n.], 2004. http://deposit.ddb.de/cgi-bin/dokserv?idn=97119565X.

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4

Li, Yiran. "Is Rationality Bounded？ An Interpretation on Equity Premium Puzzle." Thesis, Linnéuniversitetet, Ekonomihögskolan, ELNU, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-12215.

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Since equity premium puzzle had long been a problem, many economists tried to give reasonable interpretations to the puzzle. I focus on the type of theories using bounded rationality as the answer to the problem. I am willing to find out that whether the puzzle still exists in recent decades. If it does exist, are the theories of bounded rationality still able to explain the puzzle? In the beginning, I introduce two theories referring to bounded rationality. Afterwards, I empirically analyze the data of the U.S., Japan and Euro-area by using a simpler model based on rationality. Interestingly, circumstances vary a lot from country to country. One theory may be suitable for one country but not for the others. Even so, the “suitable” theory fails to completely explain the whole tendency of variation during the observed period in the country. In the future, we still need to explore in depth of the puzzle.
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5

Chen, Andrew Y. "Essays on Asset Pricing in Production Economies." The Ohio State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=osu1398770166.

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6

Huang, (Alan) Guoming. "Essays on the equity premium puzzle, earnings volatility, and expected stock returns." Diss., Connect to online resource, 2005. http://wwwlib.umi.com/dissertations/fullcit/3186936.

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7

Kira, Guilherme. "The equity premium puzzle: um estudo de viés de seleção dos ativos." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16457.

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As empresas de capital aberto, listadas em bolsa de valores, são naturalmente aquelas que vieram apresentando retornos superiores perante às demais empresas do seu setor. Assim, será que o viés de seleção desses ativos in uencia sigini cativamente no resultado do Equity Premium Puzzle, primordialmente lançado por Mehra and Prescott (1985)? É essa pergunta que este trabalho investiga e conclui que, sim, de fato pode haver uma in uência desse viés em explicar o Puzzle . Para isso, iremos gerar uma economia cujos ativos, por hipótese, sejam preci cados de acordo com o fator estocástico de desconto (SDF) baseado em consumo, ou seja, os modelos conhecidos como CCAPM (Consumption Capital Asset Pricing Model). Assim, essa economia será gerada via simulação de Monte Carlo, de forma que iremos construir um índice benchmark dessa economia, nos quais participariam apenas os ativos que foram historicamente mais rentáveis. Adota-se tal metodologia em paralelo à forma como os reais benchmarks são construidos (S&P 500, Nasdaq, Ibovespa), em que neles participam, basicamente, as empresas de capital aberta mais negociadas em Bolsa de Valores, que são, comumente, as empresas historicamente mais rentáveis da economia. Em sequência, iremos realizar a estimação via GMM (Generalized Method of Moments) de um dos parâmetros de interesse de uma economia CCAPM: o coe ciente de aversão relativa ao risco (CRRA). Finalmente, os resultados obtidos são comparados e analisados quanto ao viés de estimação.
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8

Praudins, Atis. "The Dynamics of Equity Risk Premium : The case of France, Germany, Sweden, United Kingdom and USA." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18270.

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Equity risk premium is a financial variable that is surrounded by mystery. Starting from the almost 30 year old equity premium puzzle caused by considerations that equity premium values which are observable in past data imply an implausibly high risk aversion to more recent statements that equity premium does not exist anymore. The purpose of this paper is to find out more about the traits and characteristics of equity risk premium, its current status and interactions of its values across international markets by conducting data analysis on mature equity markets using optimal methods as suggested in academic literature. This paper attempts to clear some of the confusion regarding equity premiums by analyzing equity excess returns in the mature equity markets of France, Germany, Sweden, United Kingdom and USA from 1970 to 2012. It is concluded that equity premium follows a mean reverting process however in short-term and mid-term its values can be volatile and in March 2000 there might have been a structural break. The obtained current equity premium values are significantly higher than zero. At the same time they are lower than popularly used values that are based on longer periods of past data. The paper also finds out that equity premiums in different countries are highly correlated not only due to shared global influence but also due to some direct causality relationships between them, most of which are positive. A panel data analysis is conducted as well to test the explanatory power of some macroeconomic and financial variables on the equity risk premium values and it is concluded that risk-free rate and unemployment rate have some explanatory power for equity risk premium values. This paper manages to clear a part of the mystery that surrounds the equity risk premium.
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9

Köster, Michael. "Rekursive Präferenzen und das Equity-premium-Puzzle eine empirische Analyse des deutschen Kapitalmarkts." Marburg Metropolis-Verl, 2006. http://d-nb.info/98548604X/04.

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Köster, Michael. "Rekursive Präferenzen und das Equity Premium Puzzle : eine empirische Analyse des deutschen Kapitalmarkts /." Marburg : Metropolis, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016164568&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Books on the topic "Equity Premium Puzzle"

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Kurz, Mordecai. The equity premium is no puzzle. Rome: Banca d'Italia, 1996.

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Mehra, Rajnish. The equity premium puzzle: A review. Boston: Now, 2008.

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Weil, Philippe. The equity premium puzzle and the riskfree rate puzzle. Cambridge, MA: National Bureau of Economic Research, 1989.

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Mehra, Rajnish. The equity premium: Why is it a puzzle? Cambridge, Mass: National Bureau of Economic Research, 2003.

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5

Benartzi, Shlomo. Myopic loss aversion and the equity premium puzzle. Cambridge, MA: National Bureau of Economic Research, 1993.

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Gabaix, Xavier. The 6D bias and the equity premium puzzle. Cambridge, MA: Massachusetts Institute of Technology, Dept. of Economics, 2001.

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Davis, Morris A. Housing, house prices, and the equity premium puzzle. Washington, D.C: Federal Reserve Board, 2005.

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Erbas, S. Nuri. The equity premium puzzle, ambiguity aversion, and institutional quality. [Washington, D.C.]: International Monetary Fund, Office of Executive Director, 2007.

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Epstein, Larry G. First order risk aversion and the equity premium puzzle. Toronto: Dept. of Economics, University of Toronto, 1989.

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Esposito, Marcello. The term structure and the equity premium puzzle: A note. London: LSE Financial Markets Group, 1990.

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Book chapters on the topic "Equity Premium Puzzle"

1

Chen, James Ming. "The Equity Premium Puzzle." In Econophysics and Capital Asset Pricing, 139–73. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-63465-4_8.

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Chen, James Ming. "The Equity Risk Premium and the Equity Premium Puzzle." In Finance and the Behavioral Prospect, 137–79. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-32711-2_7.

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Safronova, Nadezhda. "Equity Premium Puzzle: The Distributional Approach." In Encyclopedia of Finance, 1345–72. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-91231-4_58.

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Safronova, Nadezhda. "Equity Premium Puzzle: The Distributional Approach." In Encyclopedia of Finance, 675–89. Boston, MA: Springer US, 2012. http://dx.doi.org/10.1007/978-1-4614-5360-4_58.

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Golob, John E. "Allais Theory Offers Explanation for Equity Premium Puzzle." In Economic and Environmental Risk and Uncertainty, 89–108. Dordrecht: Springer Netherlands, 1997. http://dx.doi.org/10.1007/978-94-017-1360-3_6.

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"The Equity Premium Puzzle." In Behavioral Finance, 185–94. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119203605.ch18.

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Rangvid, Jesper. "The equity premium." In From Main Street to Wall Street, 88–102. Oxford University Press, 2021. http://dx.doi.org/10.1093/oso/9780198866404.003.0007.

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This chapter explains ‘the equity premium puzzle’ and ‘the risk-free rate puzzle’. The chapter starts out comparing historical returns on stocks to historical returns on bonds, as well as the risks associated with these returns. The standard models economists use to explain the relative sizes of stock and bond returns, and hence the equity risk premium, are based on the exposure of stocks and bonds to economic growth. The chapter explains why these standard theories fail to explain the size of the equity premium. The chapter also explains how economists have changed their workhorse models to reconcile why returns on stocks are so high compared to bond returns. Another key insight in the chapter is that the equity premium does not depend linearly on economic growth in itself, but on the volatility of economic growth and its correlation with stock returns. Two countries can experience the same level of average economic growth, but different volatilities of consumption growth and correlations between consumption growth and stock returns, causing stock returns to differ between countries. This is one more reason why Chapter 6 finds that economic growth does not line up with stock returns across countries.
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McCulloch, J. Huston. "A Further Equity Premium Puzzle." In Advances in Pacific Basin Business, Economics and Finance, 19–26. Emerald Publishing Limited, 2017. http://dx.doi.org/10.1108/s2514-465020170000001002.

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Constantinides, George M. "Understanding the Equity Risk Premium Puzzle." In Handbook of the Equity Risk Premium, 331–59. Elsevier, 2008. http://dx.doi.org/10.1016/b978-044450899-7.50016-6.

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Shefrin, Hersh. "Reflections on the Equity Premium Puzzle." In A Behavioral Approach to Asset Pricing, 505–22. Elsevier, 2008. http://dx.doi.org/10.1016/b978-012374356-5.50033-4.

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Conference papers on the topic "Equity Premium Puzzle"

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Dai, Xianhua, and Hong Li. "Optimal Portfolio and Equity Premium Puzzle." In 2011 International Conference on Management and Service Science (MASS 2011). IEEE, 2011. http://dx.doi.org/10.1109/icmss.2011.5998535.

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Reports on the topic "Equity Premium Puzzle"

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Weil, Philippe. The Equity Premium Puzzle and the Riskfree Rate Puzzle. Cambridge, MA: National Bureau of Economic Research, January 1989. http://dx.doi.org/10.3386/w2829.

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Mehra, Rajnish. The Equity Premium: Why is it a Puzzle? Cambridge, MA: National Bureau of Economic Research, February 2003. http://dx.doi.org/10.3386/w9512.

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Benartzi, Shlomo, and Richard Thaler. Myopic Loss Aversion and the Equity Premium Puzzle. Cambridge, MA: National Bureau of Economic Research, May 1993. http://dx.doi.org/10.3386/w4369.

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Moskowitz, Tobias, and Annette Vissing-Jorgensen. The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? Cambridge, MA: National Bureau of Economic Research, April 2002. http://dx.doi.org/10.3386/w8876.

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Constantinidies, George, John Donaldson, and Rajnish Mehra. Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle. Cambridge, MA: National Bureau of Economic Research, June 1998. http://dx.doi.org/10.3386/w6617.

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Barberis, Nicholas, and Ming Huang. The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle. Cambridge, MA: National Bureau of Economic Research, July 2006. http://dx.doi.org/10.3386/w12378.

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Guidolin, Massimo. Pessimistic Beliefs under Rational Learning: Quantitative Implications for the Equity Premium Puzzle. Federal Reserve Bank of St. Louis, 2005. http://dx.doi.org/10.20955/wp.2005.005.

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Abel, Andrew. Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle. Cambridge, MA: National Bureau of Economic Research, June 1992. http://dx.doi.org/10.3386/w4110.

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Larson, Francis, John List, and Robert Metcalfe. Can Myopic Loss Aversion Explain the Equity Premium Puzzle? Evidence from a Natural Field Experiment with Professional Traders. Cambridge, MA: National Bureau of Economic Research, September 2016. http://dx.doi.org/10.3386/w22605.

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