Add to ORKGHow much of the equity risk premium puzzle can be attributed to the insecure property rights of shareholders? This paper develops a version of the CCAPM with insecure property rights (stochastic taxes). The model implies that the current expected equity premium can be reconciled with a coefficient of relative risk aversion of3:76, thus resolving the equity premium puzzle
This paper evaluates the equity premium using novel data on the consumption of luxury goods. Specify...
This article investigates the impact of cash flow risk and discounting risk on the aggregate equity ...
Recent research on the equity risk premium has questioned the ability of historical estimates of the...
How much of the equity risk premium puzzle can be attributed to the insecure property rights of shar...
This paper examines and estimates the equity risk premium for securitized real estate (U.S. Real Est...
The equity premium puzzle shows that using standard parameters and setup, the Consumption-based Capi...
We study the implications of producers ’ first-order conditions for the link between investment and ...
Analysis of the equity premium puzzle has focused on private-sector capital markets. However, the ex...
This paper examines the extent to which the equity premium puzzle can be resolved by taking account ...
The value premium remains a puzzle despite considerable research effort in accounting for the higher...
This paper investigates the implications of model uncertainty for the equity premium in a stochastic...
The main objective of the study is to determine the level of implied equity risk premiums from two m...
This paper considers the relationship between the regulator’s pricing decision and the allocation of...
Abstract. Risk premium is an important factor for different models that estimate the shareholders eq...
Risk premium measures in general equilibrium asset pricing models do not absorb all the risk attribu...
This paper evaluates the equity premium using novel data on the consumption of luxury goods. Specify...
This article investigates the impact of cash flow risk and discounting risk on the aggregate equity ...
Recent research on the equity risk premium has questioned the ability of historical estimates of the...
How much of the equity risk premium puzzle can be attributed to the insecure property rights of shar...
This paper examines and estimates the equity risk premium for securitized real estate (U.S. Real Est...
The equity premium puzzle shows that using standard parameters and setup, the Consumption-based Capi...
We study the implications of producers ’ first-order conditions for the link between investment and ...
Analysis of the equity premium puzzle has focused on private-sector capital markets. However, the ex...
This paper examines the extent to which the equity premium puzzle can be resolved by taking account ...
The value premium remains a puzzle despite considerable research effort in accounting for the higher...
This paper investigates the implications of model uncertainty for the equity premium in a stochastic...
The main objective of the study is to determine the level of implied equity risk premiums from two m...
This paper considers the relationship between the regulator’s pricing decision and the allocation of...
Abstract. Risk premium is an important factor for different models that estimate the shareholders eq...
Risk premium measures in general equilibrium asset pricing models do not absorb all the risk attribu...
This paper evaluates the equity premium using novel data on the consumption of luxury goods. Specify...
This article investigates the impact of cash flow risk and discounting risk on the aggregate equity ...
Recent research on the equity risk premium has questioned the ability of historical estimates of the...