Corporate control rights and the long-run equity risk premium
نویسندگان
چکیده
منابع مشابه
Durable Consumption, Long-Run Risk and The Equity Premium
This paper develops the CCAPM model to allow for long-run risk in durable consumption. Allowing Epstein-Zin preferences to incorporate non-separability of durable and non-durable consumption in utility provides for an Euler equation which can be shown to provide a much better explanation of equity market features than either the basic CAPM or CCAPM. .The paper incorporates this discount factor ...
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The equity premium puzzle shows that using standard parameters and setup, the Consumption-based Capital Asset Pricing Model’s (CCAPM’s) prediction of the premium associated with systematic risk is out by an order of magnitude. The object of this paper is to consider the implications of each of the broad classes of explanations of the equity premium puzzle for resource allocation, welfare and po...
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ژورنال
عنوان ژورنال: Journal of International Financial Markets, Institutions and Money
سال: 2009
ISSN: 1042-4431
DOI: 10.1016/j.intfin.2007.08.007