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Books on the topic 'Equity risk premium'

Author: Grafiati
Published: 4 June 2021
Last updated: 3 February 2022

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1

FitzGerald, Adrian. Re-assessing the equity risk premium. Edinburgh: University of Edinburgh, Centre for Financial Markets Research, Dept. of Business Studies, 1997.

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2

Mehra, Rajnish. The equity risk premium: A solution? Cambridge, Mass: Sloan School of Management, Massachusetts Institute of Technology, 1988.

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3

G, Ibbotson Roger, ed. The equity risk premium: Essays and explorations. New York: Oxford University Press, 2004.

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4

Donaldson, John B. Risk based explanations of the equity premium. Cambridge, Mass: National Bureau of Economic Research, 2007.

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5

Chen, Long. Equity market volatility and expected risk premium. St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2006.

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6

Mehra, Rajnish. The equity premium in retrospect. Cambridge, Mass: National Bureau of Economic Research, 2003.

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7

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

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8

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

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9

Fornari, Fabio. The size of the equity premium. Roma: Banca d'Italia, 2002.

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10

Barberis, Nicholas. Individual preferences, monetary gambles and the equity premium. Cambridge, Mass: National Bureau of Economic Research, 2003.

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11

Aït-Sahalia, Yacine. Luxury goods and the equity premium. Cambridge, MA: National Bureau of Economic Research, 2001.

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12

Polk, Christopher. New forecasts of the equity premium. Cambridge, MA: National Bureau of Economic Research, 2004.

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13

Polk, Christopher. New forecasts of the equity premium. Cambridge, Mass: National Bureau of Economic Research, 2004.

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14

Ian, Davidson. Modelling the equity risk premium in the long term. Coventry: University of Warwick. Warwick Business School Research B ure., 1996.

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15

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

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16

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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17

Lettau, Martin. The declining equity premium: What role does macroeconomic risk play? Cambridge, MA: National Bureau of Economic Research, 2004.

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18

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

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19

Cecchetti, Stephen G. The equity premium and the risk free rate: Matching the moments. Cambridge, MA: National Bureau of Economic Research, 1991.

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20

Barberis, Nicholas. The loss aversion narrow framing approach to the equity premium puzzle. Cambridge, Mass: National Bureau of Economic Research, 2006.

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21

Boudoukh, Jacob. The equity risk premium and the term structure: Two centuries of evidence. New York, NY (44 West, 4th St., Suite 9-160, New York 10012-1126): New York University Salomon Center, 1992.

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22

Kairys, J. P. Predicting sign changes in the equity risk premium using commercial paper rates. London, Canada: Western Business School, University of Western Ontario, 1992.

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23

Lettau, Martin. Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle? [New York, N.Y.]: Federal Reserve Bank of New York, 2001.

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24

Canova, Fabio. The equity premium and the risk free rate: A cross country, cross maturity examination. London: Centre for Economic Policy Research, 1995.

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25

Canova, Fabio. The equity premium and the risk free rate: A cross country, cross maturity examination. London: Centre for Economic Policy Research, 1995.

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26

Lettau, Martin. Why is long-horizon [equity] less risky?: A duration-based explanation of the value premium. Cambridge, Mass: National Bureau of Economic Research, 2005.

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27

Lettau, Martin. Why is long-horizon equity less risky?: A duration-based explanation of the value premium. Cambridge, MA: National Bureau of Economic Research, 2005.

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28

Epaulard, Anne. Agents' preferences, the equity premium, and the consumption-saving trade-off: An application to French data. [Washington, D.C.]: International Monetary Fund, IMF Institute, 2001.

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29

Sarkar, Asani. Time-varying consumption correlation and the dynamics of the equity premium: Evidence from the G-7 Countries. [New York, N.Y.]: Federal Reserve Bank of New York, 2004.

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30

Korajczyk, Robert A. Equity risk premia and the pricing of foreign exchange risk. Fontainbleau: INSEAD, 1990.

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31

Korajczyk, Robert A. "Equity risk premia and the pricing of foreign exchange risk". Fontainbleau: INSEAD, 1986.

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32

Garcia, René. Modelling risk premiums in equity and foreign exchange markets. [Ottawa]: Bank of Canada, 2000.

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33

Schmitz, John J. Are U.S. variables good predictors of foreign equity risk premiums? London, Canada: Western Business School, University of Western Ontario, 1996.

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34

Corhay, Albert. Risk-premia seasonality in U.S. and European equity markets. Brussels: European Institute for Advanced Studies in Management, 1987.

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35

Guidolin, Massimo. High equity premia and crash fears: Rational foundations. [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2005.

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36

Graham, John R. Expectations of equity risk premia, volatility and asymmetry from a corporate finance perspective. Cambridge, MA: National Bureau of Economic Research, 2001.

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37

Wickens, M. R. Non-parametric estimates of the foreign exchange and equity risk premia and tests of market efficiency. Southampton: University of Southampton, Dept.of Economics, 1989.

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38

Handbook of the equity risk premium. Amsterdam: Elsevier, 2008.

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39

Handbook of the Equity Risk Premium. Elsevier, 2008. http://dx.doi.org/10.1016/b978-0-444-50899-7.x5001-5.

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40

Myers, S. C., Rajnish Mehra, Kenneth J. Arrow, G. Constantinides, and R. C. Merton. Handbook of the Equity Risk Premium. Elsevier Science & Technology Books, 2011.

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41

Fitzgerald, A. Re-assessing the equity risk premium. University of Edinburgh, 1997.

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42

Goetzmann, William N., and Roger G. Ibbotson. The Equity Risk Premium: Essays and Explorations. Oxford University Press, USA, 2006.

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43

Handbook of the Equity Risk Premium (Handbooks in Finance). Elsevier Science, 2007.

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44

Cornell, Bradford. Equity Risk Premium: The Long-Run Future of the Stock Market. Wiley & Sons, Incorporated, John, 2008.

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45

The Equity Risk Premium: The Long-Run Future of the Stock Market. Wiley, 1999.

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46

Gsell, Hannes. Estimation of the Expected Market Risk Premium for Corporate Valuations: Methodologies and Empirical Evidence for Equity Markets in Key Countries. Lang GmbH, Internationaler Verlag der Wissenschaften, Peter, 2011.

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47

Back, Kerry E. Representative Investors. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0007.

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There is a representative investor at any Pareto optimal competitive equilibrium. If investors have linear risk tolerance with the same cautiousness parameter, then there is a representative investor with the same utility function. When there is a representative investor, there is a factor model with the representative investor’s marginal utility of consumption as the factor. If the representative investor has constant relative risk aversion, then the risk‐free return and log equity premium can be calculated in terms of moments of aggregate consumption. The equity premium and risk‐free rate puzzles are explained. The coskewness‐cokurtosis pricing model and the Rubinstein option pricing model are derived.
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48

Back, Kerry E. Continuous-Time Topics. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0015.

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The fundamental PDE for valuing cash flows or cash flow streams is explained. In a complete market, an investor’s optimal wealth satisfies the fundamental PDE, and this provides a means of calculating the optimal portfolio. Risk neutral probabilities and Girsanov’s theorem are explained. Jump processes, including Poisson processes, are introduced. The risk premium of an asset with jump risks depends on covariation of its continuous part with the continuous part of an SDF and the covariation of its discontinuous part with the discontinuous part of an SDF. Portfolio choice with internal habits is characterized. The ability of a representative investor model with an internal habit to explain the equity premium puzzle is discussed.
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49

Back, Kerry E. Dynamic Asset Pricing. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0010.

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The distinction between conditional and unconditional factor pricing models is explained. The conditional CAPM implies that unconditional risk premia are linear in the expected beta and the beta of the beta. The CCAPM and ICAPM are derived as approximate relations in discrete time. Testing conditional models is equivalent to unconditional tests of pricing for managed portfolios. The Gordon growth model is derived, assuming that dividend growth and the single‐period SDF are IID over time. The equity premium and risk‐free rate puzzles are derived from the Gordon growth model with a CRRA investor and lognormal consumption growth. The Campbell‐Shiller linearization implies that dividend yields predict either future returns or future dividend growth.
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50

Back, Kerry E. Explaining Puzzles. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0011.

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Various models proposed to explain the equity premium or risk‐free rate puzzle are explained: external habits (Abel’s “catching up with the Joneses” model and the Campbell‐Cochrane model), rare disasters, Epstein‐Zin‐Weil utility, long run risks, and idiosyncratic uninsurable labor income risk. External habits allow the SDF to be variable without requiring high variability of consumption. The SDF for a representative investor with Epstein‐Zin‐Weil utility depends on consumption and the market return. It is most useful when the world is not IID, as in the long‐run risks model. With uninsurable labor income risk, there is no representative investor even if investors all have the same CRRA utility, and there is additional exibility to explain asset returns.
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