This paper studies the determinants of the equity premium as implied by producers’ first-order conditions. A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology parameters. Calibrated to the US postwar economy, the model can match the historical first and second moments of the market return and the risk-free interest rate. The model also generates a very volatile Sharpe ratio and market price of risk
The main objective of the study is to determine the level of implied equity risk premiums from two m...
Recent research on the equity risk premium has questioned the ability of historical estimates of th...
Recent developments in the asset pricing literature show that a combination of technology and distri...
This paper studies the determinants of the equity premium as implied by producers’ first-order condi...
We study the implications of producers ’ first-order conditions for the link between investment and ...
We study a competitive equilibrium in a production economy, i.e., a system of prices at which firms’...
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Pr...
Cataloged from PDF version of article.In this paper we use a simple model with a single Cobb–Douglas...
In this paper we use a simple model with a single Cobb-Douglas firm and a consumer with a CRRA utili...
This paper exploits producer's first order conditions to link asset prices to data on investment, ou...
In this paper, I adopt an economic equilibrium model utilizing the framework introduced by Mehra and...
This paper investigates how concentrated ownership of capital influences the pricing of risky assets...
The risk premium puzzle is even worse than previously reported if housing is also taken into conside...
In this paper we provide a thorough characterization of the asset returns implied by a simple genera...
Recent research on the equity risk premium has questioned the ability of historical estimates of the...
The main objective of the study is to determine the level of implied equity risk premiums from two m...
Recent research on the equity risk premium has questioned the ability of historical estimates of th...
Recent developments in the asset pricing literature show that a combination of technology and distri...
This paper studies the determinants of the equity premium as implied by producers’ first-order condi...
We study the implications of producers ’ first-order conditions for the link between investment and ...
We study a competitive equilibrium in a production economy, i.e., a system of prices at which firms’...
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Pr...
Cataloged from PDF version of article.In this paper we use a simple model with a single Cobb–Douglas...
In this paper we use a simple model with a single Cobb-Douglas firm and a consumer with a CRRA utili...
This paper exploits producer's first order conditions to link asset prices to data on investment, ou...
In this paper, I adopt an economic equilibrium model utilizing the framework introduced by Mehra and...
This paper investigates how concentrated ownership of capital influences the pricing of risky assets...
The risk premium puzzle is even worse than previously reported if housing is also taken into conside...
In this paper we provide a thorough characterization of the asset returns implied by a simple genera...
Recent research on the equity risk premium has questioned the ability of historical estimates of the...
The main objective of the study is to determine the level of implied equity risk premiums from two m...
Recent research on the equity risk premium has questioned the ability of historical estimates of th...
Recent developments in the asset pricing literature show that a combination of technology and distri...
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