Journal articles: 'Equity risk premium'

1

Derrig, Richard A., and Elisha D. Orr. "Equity Risk Premium." North American Actuarial Journal 8, no. 1 (January 2004): 45–69. http://dx.doi.org/10.1080/10920277.2004.10596128.

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2

Bernstein, Peter L. "Determining the Equity Risk Premium." AIMR Conference Proceedings 2002, no. 3 (August 2002): 37–48. http://dx.doi.org/10.2469/cp.v2002.n3.3200.

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3

Grabowski, Roger J. "Equity Risk Premium: 2006 Update." Business Valuation Review 25, no. 2 (July 2006): 64–68. http://dx.doi.org/10.5791/0882-2875-25.2.64.

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4

Jones, Charles P., and Jack W. Wilson. "The Equity Risk Premium Controversy." Journal of Investing 14, no. 2 (May 31, 2005): 37–43. http://dx.doi.org/10.3905/joi.2005.517173.

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5

LUNGU, LAURIAN, and PATRICK MINFORD. "EXPLAINING THE EQUITY RISK PREMIUM." Manchester School 74, no. 6 (December 2006): 670–700. http://dx.doi.org/10.1111/j.1467-9957.2006.00522.x.

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6

Best, P., and A. Byrne. "Measuring the equity risk premium." Journal of Asset Management 1, no. 3 (January 2001): 245–56. http://dx.doi.org/10.1057/palgrave.jam.2240019.

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7

Harjito, Yunus, and Dian Indriana Hapsari. "EQUITY RISK PREMIUM PADA INDUSTRI PERBANKAN." BISNIS : Jurnal Bisnis dan Manajemen Islam 4, no. 2 (December 9, 2016): 59. http://dx.doi.org/10.21043/bisnis.v4i2.2690.

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This study aims to examine the factors that influence the equity<br />risk premium in the banking industry are listed on the Indonesia Stock Exchange. The samples used were 23 banking industry for 2010-2014. Five variables proposed that auditor tenure, earnings quality, leverage, beta, and earnings per share to detect whether there is an influence on the equity risk premium. Equity risk premium is desired reward investors to generate income is not fixed in relation to the equity share hers. So far the equity risk premium is often described as the most important value in finance and investment. Analysis of the data used in this research is multiple linear regression with the hope<br />to obtain a comprehensive picture of the influence of variables auditor tenure, earnings quality, leverage, beta, and earning per share of the equity risk premium by using SPSS version 21 for Windows. The results showed that the auditor tenure, earnings quality, and earnings per share significantly affect the equity risk premium. But two other variables (leverage and beta) proved no effect on the equity risk premium.

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8

Magiera, Frank T. "Will Future Equity Risk Premium Decline?" CFA Digest 38, no. 4 (November 2008): 85. http://dx.doi.org/10.2469/dig.v38.n4.27.

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9

Siegel, Jeremy J. "Perspectives on the Equity Risk Premium." Financial Analysts Journal 61, no. 6 (November 2005): 61–73. http://dx.doi.org/10.2469/faj.v61.n6.2772.

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10

Siegel, Jeremy J. "The Long-Run Equity Risk Premium." CFA Institute Conference Proceedings 2004, no. 1 (July 14, 2004): 53–62. http://dx.doi.org/10.2469/cp.v2004.n4.3411.

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11

Fassas, Athanasios P., and Stephanos Papadamou. "Variance risk premium and equity returns." Research in International Business and Finance 46 (December 2018): 462–70. http://dx.doi.org/10.1016/j.ribaf.2018.06.003.

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12

Graham, John R., and Campbell R. Harvey. "The long-run equity risk premium." Finance Research Letters 2, no. 4 (December 2005): 185–94. http://dx.doi.org/10.1016/j.frl.2005.08.003.

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13

Rietz, Thomas A. "The equity risk premium a solution." Journal of Monetary Economics 22, no. 1 (July 1988): 117–31. http://dx.doi.org/10.1016/0304-3932(88)90172-9.

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14

Mehra, Rajnish, and Edward C. Prescott. "The equity risk premium: A solution?" Journal of Monetary Economics 22, no. 1 (July 1988): 133–36. http://dx.doi.org/10.1016/0304-3932(88)90173-0.

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15

Arouri, Mohamed, Frédéric Teulon, and Christophe Rault. "Equity risk premium and regional integration." International Review of Financial Analysis 28 (June 2013): 79–85. http://dx.doi.org/10.1016/j.irfa.2013.02.009.

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16

Digby, P., C. Firer, and E. Gilbert. "The South African Equity Risk Premium." Studies in Economics and Econometrics 30, no. 3 (December 1, 2006): 1–17. http://dx.doi.org/10.1080/10800379.2006.12106413.

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17

Londono, Juan M., and Nancy R. Xu. "The Global Determinants of International Equity Risk Premiums." International Finance Discussion Paper 2021, no. 1318 (May 18, 2021): 1–67. http://dx.doi.org/10.17016/ifdp.2021.1318.

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We examine the commonality in international equity risk premiums by linking empirical evidence for the international stock return predictability of US downside and upside variance risk premiums (DVP and UVP, respectively) with implications from an international asset pricing framework, which takes the perspective of a US/global investor and features asymmetric global macroeconomic, financial market, and risk aversion shocks. We find that DVP and UVP predict international stock returns through different global equity risk premium determinants: bad and good macroeconomic uncertainties, respectively. Across countries, US investors demand lower macroeconomic risk compensation but higher financial market risk compensation for more-integrated countries.

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18

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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19

Moon, Sungjeh, and Joonhyuk Song. "Cross Section of KOSPI Returns Based on Cash Flow Risk Factors." Journal of Derivatives and Quantitative Studies 26, no. 3 (August 31, 2018): 311–43. http://dx.doi.org/10.1108/jdqs-03-2018-b0002.

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This paper introduces two risk factors which are the covariance between long-run consumption growth and cash flows and the duration of cash flow, and investigates how these factors serve to explain the KOSPI return risk premiums. Based on our empirical results comparing the proposed two-factor cash flow model with the standard benchmark models such as CAPM and Fama-French 3-factor model (FF-3F), using KOSPI equity including de-listed stocks, the cash flow model explains 74.7% of the cross-section of equity risk premium while CAPM and FF-3F model explains 41.9% and 64.1% to the maximum, respectively, showing that the cash-flow model is superior in explaining the risk premium factor structure compared with the benchmark models. Also, the pricing error is only 4% in the two-factor cash flow model, while CAPM and FF-3F are 7.7% and 4.7%, respectively, indicating the cash flow model outperforms the standard benchmark models in pricing error as well. These results can be interpreted that the cross section of the equity risk premium is related to a firm’s cash flow and long-run consumption, and therefore the growth rate of consumption in the long run rather than contemporaneous consumption growth rate has a greater influence on the determination of the risk premium.

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20

Hubbard, Jonathan. "Global Evidence on the Equity Risk Premium." CFA Digest 34, no. 2 (May 2004): 42–43. http://dx.doi.org/10.2469/dig.v34.n2.1419.

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21

Bielinski, Daniel W. "THE ERJ EQUITY RISK PREMIUM SELECTION METHOD." Business Valuation Review 6, no. 3 (September 1987): 124–27. http://dx.doi.org/10.5791/0882-2875-6.3.124.

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22

Bali, Rakesh, and Hany Guirguis. "An analysis of the equity risk premium." Journal of Asset Management 4, no. 5 (October 2003): 348–60. http://dx.doi.org/10.1057/palgrave.jam.2240115.

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23

Johnson, Robert, and Luc Soenen. "Equity Market Risk Premium and Global Integration." Journal of CENTRUM Cathedra: The Business and Economics Research Journal 2, no. 1 (March 10, 2009): 12–23. http://dx.doi.org/10.7835/jcc-berj-2009-0019.

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24

Dimson, Elroy, Paul Marsh, and Mike Staunton. "GLOBAL EVIDENCE ON THE EQUITY RISK PREMIUM." Journal of Applied Corporate Finance 15, no. 4 (September 2003): 27–38. http://dx.doi.org/10.1111/j.1745-6622.2003.tb00524.x.

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25

Fitzgerald, Tristan, Stephen Gray, Jason Hall, and Ravi Jeyaraj. "Unconstrained estimates of the equity risk premium." Review of Accounting Studies 18, no. 2 (May 8, 2013): 560–639. http://dx.doi.org/10.1007/s11142-013-9225-z.

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26

Magin, Konstantin. "Equity risk premium and insecure property rights." Economic Theory Bulletin 3, no. 2 (May 20, 2014): 213–22. http://dx.doi.org/10.1007/s40505-014-0043-7.

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27

Kang, Zhuang, and Srdjan D. Stojanovic. "Interest rate risk premium and equity valuation." Journal of Systems Science and Complexity 23, no. 3 (June 2010): 484–98. http://dx.doi.org/10.1007/s11424-010-0142-y.

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28

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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29

Adalat, Sadaf. "DEFAULT RISK PREMIUM AND EQUITY RETURN OF NON-FINANCIAL COMPANIES OF PAKISTAN." Jinnah Business Review 5, no. 1 (January 1, 2017): 64–76. http://dx.doi.org/10.53369/zvoj9432.

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The current study was aimed to examine the relationship between default risk premium and equity return by using sample of hundred companies from period between 2000 and 2015, listed at Karachi Stock Exchange. The firms are chosen on the basis of market capitalization. To examine the role of market premium, size premium, value premium and default premium in estimating the equity returns, the two pass regression was used. It was found that CAPM is valid model as market premium is priced but explanatory power is low. Similarly, the findings suggested that the CAPM model is not better than Fama and French model. Default risk premium is also significantly influencing equity returns. The study findings provided evidence about premium of default risk anomaly in Pakistani markets during the sample period. In default sorted portfolio the low default stocks earn lower than the high default stocks. This study has implications for decision markers in estimating cost of equity as well as weighted average cost of capital as it provides more information in comparison to CAPM. Moreover, information about premium of size, value and default anomaly may facilitate under developing investment strategies.

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30

Zhu, Jie. "ESTIMATING EQUITY RISK PREMIUM: THE CASE OF GREATER CHINA." Buletin Ekonomi Moneter dan Perbankan 22, no. 2 (July 31, 2019): 195–212. http://dx.doi.org/10.21098/bemp.v22i2.1088.

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The expected equity risk premium is a key input of many asset prcing models in nance. There exist a number of methods to estimate the risk premium. It is alsowell documented that the risk premium is time-varying. This paper briey reviews twodi¤erent approaches. More speci cally, the historical average and relative estimationare taken into closer examination. The rst approach is applied to estimate equity riskpremium for stock markets in Greater China when the stock markets were recoveringfrom the bottom. Then the relative estimation approach is also adopted to empiricaldata to justify the ndings in the rst one, which takes into consideration the lowerrequired rate of return for Chinese investors due to lack of investment opportunities.After making these adjustments, we nd that risk premium in mainland China is close torisk premium for Hong Kong and Taiwan markets. All of those markets have higher riskpremium compared to US market. The risk premium for Shanghai and Shenzhen marketare about 8% and 10% respectively. For Hong Kong and Taiwan these numbers become8% and 9%, where the long-term forward-looking risk premium for US market is about4%.

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31

Berkman, Henk, Ben Jacobsen, and John B. Lee. "Rare disaster risk and the expected equity risk premium." Accounting & Finance 57, no. 2 (August 13, 2015): 351–72. http://dx.doi.org/10.1111/acfi.12158.

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32

Semenov, Andrei. "Background risk in consumption and the equity risk premium." Review of Quantitative Finance and Accounting 48, no. 2 (March 14, 2016): 407–39. http://dx.doi.org/10.1007/s11156-016-0556-2.

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33

Donaldson, R. Glen, Mark J. Kamstra, and Lisa A. Kramer. "Estimating the Equity Premium." Journal of Financial and Quantitative Analysis 45, no. 4 (June 8, 2010): 813–46. http://dx.doi.org/10.1017/s0022109010000347.

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AbstractExisting empirical research investigating the size of the equity premium has largely consisted of a series of innovations around a common theme: producing a better estimate of the equity premium by using better data or a better estimation technique. The equity premium estimate that emerges from most of this work matches one moment of the data alone: the mean difference between an estimate of the return to holding equity and a risk-free rate. We instead match multiple moments of U.S. market data, exploiting the joint distribution of the dividend yield, return volatility, and realized excess returns, and find that the equity premium lies within 50 basis points of 3.5%, a range much narrower than was achieved in previous studies. Additionally, statistical tests based on the joint distribution of these moments reveal that only those models of the conditional equity premium that embed time variation, breaks, and/or trends are supported by the data. In order to develop the joint distribution of the dividend yield, return volatility, and excess returns, we need a model of price and return fundamentals. We document that even recently developed analytically tractable models that permit autocorrelated dividend growth rates and discount rates impose restrictions that are rejected by the data. We therefore turn to a wider range of models, requiring numerical solution methods and parameter estimation by the simulated method of moments.

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34

Backmon, Ida Robinson, and Donn W. Vickrey. "An Empirical Examination of the Relationship between Bond Risk Premiums and Loss Contingency Disclosures." Journal of Accounting, Auditing & Finance 12, no. 2 (April 1997): 179–98. http://dx.doi.org/10.1177/0148558x9701200204.

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Prior research on the relationship between loss contingency disclosures and equity market parameters implies that such disclosures may provide useful information to equity market participants. However, there is no empirical evidence on the relationship between loss contingency data and bond market parameters. Using methods from continuous-finance theory, we model risk premiums on new issues as a function of default risk, issue traits, the risk-free rate, the severity level of loss contingency disclosures, and the frequency of such disclosures. Our results imply that both the severity-level and frequency of reported contingencies are positively related to the magnitude of risk premiums assessed on new bond issues. In economic terms, a one-unit increase in the severity level of a contingency disclosure increases the yield premium by 0.034 percentage points. Similarly, each additional contingency reported by the firm during our sample period increased the yield premium by 0.305 percentage points.

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35

Kazem Ebrahimi, Seyed, Ali Bahrami Nasab, and Mehdi Karim. "Evaluating the effect of accruals quality, investments anomaly and quality of risk on risk premium (return) of stock of listed companies in Tehran Stock Exchange." Problems and Perspectives in Management 14, no. 3 (September 15, 2016): 296–306. http://dx.doi.org/10.21511/ppm.14(3-si).2016.01.

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Nowadays, reaching to economic goals in any society requires public participation, which is only the result of people participation. Investment in stock market is one of people participation methods. So, awareness from stock return and its affecting factors is one of anxieties of investors and owners of shares. In this research, authors evaluate the effective factors on stock return using Fama and French models. So, authors study the effect of some factors including accruals quality, anomalies of investments, size factor, market’s risk premium factor, and book equity to market equity factor, on stock’s risk premium which is representative of stock returns, in 70 listed companies in Tehran stock exchange from 20 March 2003 to 20 March 2014. Results showed that accruals quality and quality of risk have meaningful effect on risk premium, which is representative of stock returns. Results also show that investment anomaly has no meaningful effect on risk premium and, consequently, on stock returns. Keywords: accruals quality, investments anomaly, risk premium, return diversity, stock returns, quality of earnings, discretionary accruals, systematic risk. JEL Classification: M41, G12, G14

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36

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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37

Bali, Turan G., and Hao Zhou. "Risk, Uncertainty, and Expected Returns." Journal of Financial and Quantitative Analysis 51, no. 3 (June 2016): 707–35. http://dx.doi.org/10.1017/s0022109016000417.

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AbstractA conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premia. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the conditional covariances of equity portfolios with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant annualized 8% premium relative to portfolios that are minimally correlated with VRP.

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38

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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39

Mukupa, George M., and Elias R. Offen. "The semi-martingale equilibrium equity premium for risk-neutral investors." International Journal of Financial Engineering 05, no. 04 (December 2018): 1850035. http://dx.doi.org/10.1142/s2424786318500354.

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In this paper, we study the risk-neutral investor’s equilibrium equity premium in a semi-martingale market with arbitrary, normal, binomial and gamma jumps. We simulate graphs for discrete distribution of jump amplitudes in order to study the parameter effect. The equity premium for this investor remains the same regardless of [Formula: see text] and [Formula: see text] variations in the linear utility function. In fact, there is no optimal consumption for [Formula: see text]. For normal jumps, our results are consistent with the risk-averse investor’s power utility effect on the equity premium. However, the binomial and gamma amplitudes show significant variations between risk neutrality and risk aversion.

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40

Yamaguchi, Katsunari. "Estimating the Equity Risk Premium from Downside Probability." Journal of Portfolio Management 20, no. 4 (July 31, 1994): 17–27. http://dx.doi.org/10.3905/jpm.1994.409483.

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41

Asness, Clifford S. "Stocks versus Bonds: Explaining the Equity Risk Premium." Financial Analysts Journal 56, no. 2 (March 2000): 96–113. http://dx.doi.org/10.2469/faj.v56.n2.2347.

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42

Leibowitz, Martin L. "The Higher Equity Risk Premium Created by Taxation." Financial Analysts Journal 59, no. 5 (September 2003): 28–31. http://dx.doi.org/10.2469/faj.v59.n5.2561.

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43

Sackley, William H. "Stocks versus Bonds: Explaining the Equity Risk Premium." CFA Digest 30, no. 4 (November 2000): 103. http://dx.doi.org/10.2469/dig.v30.n4.341.

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44

Grabowski, Roger J. "Equity Risk Premium: What Is the Current Evidence?" Business Valuation Review 24, no. 3 (October 2005): 108–14. http://dx.doi.org/10.5791/0882-2875-24.3.108.

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45

Salomons, Roelof, and Henk Grootveld. "The equity risk premium: emerging vs. developed markets." Emerging Markets Review 4, no. 2 (June 2003): 121–44. http://dx.doi.org/10.1016/s1566-0141(03)00024-4.

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46

Clinebell, John M., Douglas R. Kahl, and Jerry L. Stevens. "TIME-SERIES PROPERTIES OF THE EQUITY RISK PREMIUM." Journal of Financial Research 17, no. 1 (March 1994): 105–16. http://dx.doi.org/10.1111/j.1475-6803.1994.tb00177.x.

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47

Daly, Kevin. "A Secular Increase in the Equity Risk Premium." International Finance 19, no. 2 (June 2016): 179–200. http://dx.doi.org/10.1111/infi.12085.

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48

Boone, Jeff P., Inder K. Khurana, and K. K. Raman. "Audit Firm Tenure and the Equity Risk Premium." Journal of Accounting, Auditing & Finance 23, no. 1 (January 2008): 115–40. http://dx.doi.org/10.1177/0148558x0802300107.

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49

O'Hanlon, John, and Anthony Steele. "Estimating the Equity Risk Premium Using Accounting Fundamentals." Journal of Business Finance & Accounting 27, no. 9‐10 (November 2000): 1051–83. http://dx.doi.org/10.1111/1468-5957.00346.

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50

Grant, Simon, and John Quiggin. "Public Investment and the Risk Premium for Equity." Economica 70, no. 277 (February 2003): 1–18. http://dx.doi.org/10.1111/1468-0335.d01-44.

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Journal articles on the topic 'Equity risk premium'

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