Private Equity Premium in a General Equilibrium Model of Uninsurable Investment Risk
نویسندگان
چکیده
منابع مشابه
Public Investment and the Risk Premium for Equity
Analysis of the equity premium puzzle has focused on private-sector capital markets. However, the existence of an anomalous equity premium raises important issues in the evaluation of public-sector investment projects. These issues are explored below. We begin by formalizing the argument that an equity premium may arise from uninsurable systematic risk in labour income, and show that, other thi...
متن کاملExamining and comparing the economic effects of spillovers of investment risk in Iran: Computable General Equilibrium Model Approach
the present paper evaluates the effect of investment risk spillover on key economic indicators using a CGE model and the GTAP.9 database have been used for this purpose. Two scenarios of 10% and 3% increase in investment risk are considered in order to investigate the effect of these changes according to a recent trend analysis of economic indicators in Iran and the trend of the Iranian economy...
متن کاملOn the foreign exchange risk premium in a general equilibrium model
The foreign exchange risk premium in a cash-in-advance model is investigated. Some weaknesses of the detinition of the risk premium generally used are discussed. It is shown that the primary ultimate source of foreign exchange risk is the covariance of monetary shocks with real output shocks. Several studies have assumed this covariance is zero, and hence assumed away the major source of risk i...
متن کاملMeasuring the equity risk premium
We use surveys of economic forecasts to derive a forward-looking estimate of the US equity risk premium (ERP) relative to government bonds. Our ERP measure helps predict short-term relative returns between stocks and bonds. Over the period we studied, low readings of the ERP tended to adjust back to the mean via a rally in the bond market rather than a fall in stock prices. We do not generalise...
متن کاملUninsurable Investment Risks
This paper studies a general equilibrium economy in which agents have the ability to invest in a risky technology. The investment risk cannot be fully insured with optimal contracts because shocks are private information. The consideration of these risks changes two of the main conclusions reached in previous studies. First, a positive tax on capital may not be optimal in the long run. Second, ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1837438