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Journal articles on the topic 'Equity Premium Puzzle'

Author: Grafiati

Published: 4 June 2021

Last updated: 11 March 2023

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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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3

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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4

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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6

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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7

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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9

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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10

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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11

Łukowski, Michał, Kamil Gemra, Janusz Maruszewski, Paweł Śliwiński, and Piotr Zygmanowski. "Equity premium puzzle — Evidence from Poland." Journal of Behavioral and Experimental Finance 28 (December 2020): 100398. http://dx.doi.org/10.1016/j.jbef.2020.100398.

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12

Wilson, Matthew S. "Disaggregation and the equity premium puzzle." Journal of Empirical Finance 58 (September 2020): 1–18. http://dx.doi.org/10.1016/j.jempfin.2020.05.002.

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13

Eom, Cheoljun. "Prospective utility and equity premium puzzle." Asia-Pacific Journal of Business & Commerce 14, no. 3 (November 30, 2022): 191–201. http://dx.doi.org/10.35183/ajbc.2022.11.14.3.191.

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14

DeLong, J. Bradford, and Konstantin Magin. "The U.S. Equity Return Premium: Past, Present, and Future." Journal of Economic Perspectives 23, no. 1 (January 1, 2009): 193–208. http://dx.doi.org/10.1257/jep.23.1.193.

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For more than a century, diversified long-horizon investments in America's stock market have consistently received much higher returns than investors in bonds: a return gap averaging 6 percent per year. An enormous amount of creative and ingenious work by a great many economists has gone into seeking explanations for the so-called “equity premium return puzzle,” but so far without a fully satisfactory answer. We first review the facts about the equity premium and then discuss a range of explanations that have been proposed. We conclude that the equity premium puzzle has not been solved: it remains a puzzle. And we anticipate that the equity return premium will continue, albeit at a smaller level than in the past—perhaps four percent per year. (The final draft of this paper was written before the recent stock market crash. As of October 2008, we can say that the crash does not fundamentally alter our conclusions and actually strengthens the case for a substantial future equity premium.)

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15

OYEFESO, OLUWATOBI. "WOULD THERE EVER BE CONSENSUS VALUE AND SOURCE OF THE EQUITY RISK PREMIUM? A REVIEW OF THE EXTANT LITERATURE." International Journal of Theoretical and Applied Finance 09, no. 02 (March 2006): 199–215. http://dx.doi.org/10.1142/s021902490600355x.

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This paper reviews the extant studies on the equity premium. While paper attempts to make the review comprehensive, describing all of the work in this area is difficult considering the numerous researches that have been done in this area. Essentially, the paper assesses the relationship between the excess return and the equity risk premium and draws attention to their interchangeable use in the finance literature. Existing literature is reviewed around possible theories explaining the equity premium puzzle and followed by the empirical evidence on the theories. Finally, this paper focuses on the problems of attaining consensus value and source of the market risk premium, which makes equity premium puzzle an unresolved issue among the academics and finance practitioners.

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16

Alexander, Jeremy, Thomas Kochanek, and Don Johnson. "New Look at the Equity Premium Puzzle." Journal of Finance Issues 5, no. 1 (June 30, 2007): 61–71. http://dx.doi.org/10.58886/jfi.v5i1.2586.

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The equity premium puzzle is based on the common observation that in order for stock returns to be much higher than those offered by government bonds in the United States, investors must ultimately have incredibly high risk aversion. This situation is not unique to the United States, as it can be found elsewhere in other industrialized nations. The equity premium puzzle has intrigued many modern finance researchers and much effort has been expended in the pursuit of its root cause. Several theories have been developed exploring possible explanations, but a definitive solution remains undiscovered. In order to evaluate possible sources of further research, we have surveyed financial professionals and find they offer unique insights into possibly solving the equity premium puzzle.

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17

Bamberg, Günter, and Sebastian Heiden. "Another Look at the Equity Risk Premium Puzzle." German Economic Review 16, no. 4 (December 1, 2015): 490–501. http://dx.doi.org/10.1111/geer.12078.

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AbstractThe model of Mehra and Prescott (1985, J. Econometrics, 22, 145-161) implies that reasonable coefficients of risk-aversion of economic agents cannot explain the equity risk premium generated by financial markets. This discrepancy is hitherto regarded as a major financial puzzle. We propose an alternative model to explain the equity premium. For normally distributed returns and for returns far away from normality (but still light tailed), realistic equity risk premia do not imply puzzlingly high risk aversions. Following our approach, the ‘equity premium puzzle’ does not exist. We also consider fat-tailed return distributions and show that Pareto tails are incompatible with constant relative risk aversion.

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18

Hong, Sanghyun. "Transactions costs and the equity premium puzzle." Finance Research Letters 49 (October 2022): 103145. http://dx.doi.org/10.1016/j.frl.2022.103145.

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19

Li, Haitao, and Yuewu Xu. "Survival Bias and the Equity Premium Puzzle." Journal of Finance 57, no. 5 (October 2002): 1981–95. http://dx.doi.org/10.1111/0022-1082.00486.

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20

Madsen, Jakob B., and Ratbek Dzhumashev. "The equity premium puzzle and theex postbias." Applied Financial Economics 19, no. 2 (January 2009): 157–74. http://dx.doi.org/10.1080/09603100701765174.

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21

Cysne, Rubens Penha. "Equity-premium puzzle: evidence from Brazilian data." Economia Aplicada 10, no. 2 (June 2006): 161–80. http://dx.doi.org/10.1590/s1413-80502006000200001.

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22

Hlawitschka, Walter, and Michael Tucker. "ASSET ALLOCATION AND THE EQUITY PREMIUM PUZZLE." Journal of Business Finance & Accounting 22, no. 3 (April 1995): 397–413. http://dx.doi.org/10.1111/j.1468-5957.1995.tb00881.x.

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23

Hibbard, Robert. "The Equity Premium Puzzle: New Zealand Evidence." Pacific Accounting Review 12, no. 2 (February 2000): 65–99. http://dx.doi.org/10.1108/eb037953.

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24

Misina, Miroslav. "Equity premium with distorted beliefs: A puzzle." Journal of Economic Dynamics and Control 30, no. 8 (August 2006): 1431–40. http://dx.doi.org/10.1016/j.jedc.2005.06.013.

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25

Chang, Mo Ahn. "A resolution of the equity premium puzzle." Economics Letters 32, no. 2 (February 1990): 153–56. http://dx.doi.org/10.1016/0165-1765(90)90069-d.

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26

Weil, Philippe. "The equity premium puzzle and the risk-free rate puzzle." Journal of Monetary Economics 24, no. 3 (November 1989): 401–21. http://dx.doi.org/10.1016/0304-3932(89)90028-7.

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27

Villalobos, Katherine M. "Equity Risk Premium in ASEAN: Empirical Analysis on Its Puzzle and Impact of 2008 Financial Crisis." Asian Business Research 2, no. 1 (March 14, 2017): 4. http://dx.doi.org/10.20849/abr.v2i1.124.

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This paper aims to mainly investigate equity risk premium of the six major members of ASEAN countries such as Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam which have been chosen based on their stock market development and data availability. It has focused on the two main issues of the equity risk premium such as the intriguing issue on the existence of equity premium puzzle and the analysis on the impact of the 2008 financial crisis on the trend of the equity risk premium and their potential contribution on the risk aversion's attitude of the ASEAN investors. Three methods are utilized to test this phenomenon (1) basic model consumption of Mehra and Prescott (1985) and simplified model by Ni (2006); (2) calibration (Campbell, 2003) and (3) GMM estimation (Hansen, 1982). The calibration method results suggest that the puzzle exists in Indonesia.It has determined that the puzzle seems lying on the negative covariance between the consumption growth rate and the average real stock return. After applying GMM as method of the three sub-sample analyses for before, after and excluding 2008, it shows that financial crisis didn't affect much the value of risk aversion, but it cannot deny the fact that it has profound effect on the behavior of the equity risk premium. It can also be inferred that after crisis, ASEAN investors are likely tend to become more decreasing relative risk averse and prefer to have happiness tomorrow than today.

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28

Benartzi, S., and R. H. Thaler. "Myopic Loss Aversion and the Equity Premium Puzzle." Quarterly Journal of Economics 110, no. 1 (February 1, 1995): 73–92. http://dx.doi.org/10.2307/2118511.

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29

Davis, Morris A., and Robert F. Martin. "Housing, House Prices, and the Equity Premium Puzzle." Finance and Economics Discussion Series 2005, no. 13 (March 2005): 1–19. http://dx.doi.org/10.17016/feds.2005.13.

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30

Julliard, Christian, and Anisha Ghosh. "Can Rare Events Explain the Equity Premium Puzzle?" Review of Financial Studies 25, no. 10 (September 1, 2012): 3037–76. http://dx.doi.org/10.1093/rfs/hhs078.

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31

Gabaix, Xavier, and David Laibson. "The 6D Bias and the Equity-Premium Puzzle." NBER Macroeconomics Annual 16 (January 2001): 257–312. http://dx.doi.org/10.1086/654447.

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32

Hintermaier, Thomas, and Thomas Steinberger. "Occupational choice and the private equity premium puzzle." Journal of Economic Dynamics and Control 29, no. 10 (October 2005): 1765–83. http://dx.doi.org/10.1016/j.jedc.2004.11.001.

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33

Dunbar, Geoffrey. "Returns-to-scale and the equity premium puzzle." Journal of Economic Dynamics and Control 37, no. 9 (September 2013): 1736–54. http://dx.doi.org/10.1016/j.jedc.2013.04.007.

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34

Benninga, Simon, and Aris Protopapadakis. "Leverage, time preference and the ‘equity premium puzzle’." Journal of Monetary Economics 25, no. 1 (January 1990): 49–58. http://dx.doi.org/10.1016/0304-3932(90)90044-5.

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35

Moskowitz, Tobias J., and Annette Vissing-Jørgensen. "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?" American Economic Review 92, no. 4 (August 1, 2002): 745–78. http://dx.doi.org/10.1257/00028280260344452.

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We document the return to investing in U.S. nonpublicly traded equity. Entrepreneurial investment is extremely concentrated, yet despite its poor diversification, we find that the returns to private equity are no higher than the returns to public equity. Given the large public equity premium, it is puzzling why households willingly invest substantial amounts in a single privately held firm with a seemingly far worse risk-return trade-off. We briefly discuss how large nonpecuniary benefits, a preference for skewness, or overestimates of the probability of survival could potentially explain investment in private equity despite these findings.

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36

Peijnenburg, Kim. "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning." Journal of Financial and Quantitative Analysis 53, no. 5 (October 2018): 1963–94. http://dx.doi.org/10.1017/s0022109017001144.

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Ambiguity and learning about the equity premium can simultaneously explain the low fraction of financial wealth allocated to stocks over the life cycle and the stock market participation puzzle. Individuals are ambiguous about the size of the equity premium and are averse to this ambiguity, resulting in lower stock allocations over the life cycle, consistent with the data. As agents get older, they learn about the equity premium and increase their allocation to stocks. Furthermore, I find that ambiguity leads to underdiversification, home bias, lower Sharpe ratios, and higher savings. Similar results cannot be obtained by assuming higher risk aversion.

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37

Douch, Mohamed, and Mohammed Bouaddi. "Revisiting Equity Premium Puzzles in a Data-Rich Environment." Applied Economics Quarterly: Volume 65, Issue 4 65, no. 4 (October 1, 2019): 257–75. http://dx.doi.org/10.3790/aeq.65.4.257.

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Abstract This paper modifies the conventional representative-agent consumption-based equilibrium models by making the habit-formation part depend on additional factors related to economic conditions. This paper assumes that innovations in the consumption surplus ratio are determined not only by consumption growth but also by other macroeconomic and financial factors. The resulting model allowed for a separation between the intertemporal elasticity of substitution and risk aversion. The model also generates highly volatile Intertemporal marginal rate of substitution which translates into fluctuating volatility capturing time varying economic uncertainty. The long-standing equity premium puzzle seems to have been resolved. The resulting pricing model accounts for a number of interesting properties, such as time-varying risk aversion, small relative risk aversion and an equity premium that is compatible with the observed equity premium. These results are obtained with admissible range of local relative risk aversion. In addition, the model generated small risk-free rate resolving the interest rate puzzle.

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38

Robson, Arthur J., and H. Allen Orr. "Evolved attitudes to risk and the demand for equity." Proceedings of the National Academy of Sciences 118, no. 26 (June 25, 2021): e2015569118. http://dx.doi.org/10.1073/pnas.2015569118.

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The equity premium puzzle refers to the observation that people invest far less in the stock market than is implied by measures of their risk aversion in other contexts. Here, we argue that light on this puzzle can be shed by the hypothesis that human risk attitudes were at least partly shaped by our evolutionary history. In particular, a simple evolutionary model shows that natural selection will, over the long haul, favor a greater aversion to aggregate than to idiosyncratic risk. We apply this model—via both a static model of portfolio choice and a dynamic model that allows for intertemporal tradeoffs—to show that an aversion to aggregate risk that is derived from biology may help explain the equity premium puzzle. The type of investor favored in our model would indeed invest less in equities than other common observations of risk-taking behavior from outside the stock market would imply, while engaging in reasonable tradeoffs over time.

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39

Mehra, Rajnish. "The Equity Premium: Why Is It a Puzzle? (corrected)." Financial Analysts Journal 59, no. 1 (January 2003): 54–69. http://dx.doi.org/10.2469/faj.v59.n1.2503.

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40

Mirakhor, Abbas, and S. Nuri Erbas. "The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality." IMF Working Papers 07, no. 230 (2007): 1. http://dx.doi.org/10.5089/9781451867947.001.

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41

Hamelin, Anaïs, and Marie Pfiffelmann. "The private equity premium puzzle: a behavioural finance approach." International Journal of Entrepreneurship and Small Business 24, no. 3 (2015): 335. http://dx.doi.org/10.1504/ijesb.2015.067462.

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42

Shrikhande, Milind M. "Non-addictive Habit Formation and the Equity Premium Puzzle." European Financial Management 3, no. 3 (November 1997): 293–319. http://dx.doi.org/10.1111/1468-036x.00045.

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43

Otrok, Christopher, B. Ravikumar, and Charles H. Whiteman. "Habit formation: a resolution of the equity premium puzzle?" Journal of Monetary Economics 49, no. 6 (September 2002): 1261–88. http://dx.doi.org/10.1016/s0304-3932(02)00147-2.

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44

Melino, Angelo, and Alan X. Yang. "State-dependent preferences can explain the equity premium puzzle." Review of Economic Dynamics 6, no. 4 (October 2003): 806–30. http://dx.doi.org/10.1016/s1094-2025(03)00046-2.

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45

Wong, Shee Q., Nik R. Hassan, and Ehsan Feroz. "The equity premium puzzle: an artificial neural network approach." Review of Accounting and Finance 6, no. 2 (May 22, 2007): 150–61. http://dx.doi.org/10.1108/14757700710750829.

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46

Constantinides, George M. "Habit Formation: A Resolution of the Equity Premium Puzzle." Journal of Political Economy 98, no. 3 (June 1990): 519–43. http://dx.doi.org/10.1086/261693.

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47

Lynch, Anthony W. "[The 6D Bias and the Equity-Premium Puzzle]: Comment." NBER Macroeconomics Annual 16 (January 2001): 312–17. http://dx.doi.org/10.1086/654448.

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48

Piazzesi, Monika. "[The 6D Bias and the Equity-Premium Puzzle]: Comment." NBER Macroeconomics Annual 16 (January 2001): 317–29. http://dx.doi.org/10.1086/654449.

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49

Roche, Maurice J. "The equity premium puzzle and decreasing relative risk aversion." Applied Financial Economics Letters 2, no. 3 (May 2006): 179–82. http://dx.doi.org/10.1080/17446540500447611.

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50

Durand, Robert B., Paul Lloyd, and Hong Wee Tee. "Myopic loss aversion and the equity premium puzzle reconsidered." Finance Research Letters 1, no. 3 (September 2004): 171–77. http://dx.doi.org/10.1016/j.frl.2004.05.001.

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