World Equity Premium Based Risk Aversion Estimates
نویسندگان
چکیده
منابع مشابه
Some Quantitative Limits For Disaster Risk and Equity Premium Estimates
With 87 years of volatile stock return data, disaster-risk models operate in a narrow band between an ability to lower the equity premium from the historical geometric 5.9% per annum to a more model-appealing 4%, and an equity premium that can no longer be distinguished from zero (risk neutrality) at conventional statistical significance levels. Available below-the-money index option prices lim...
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Estimates of the historical equity risk premium in the UK are in the range 7% to 9% per annum. Until recently, portfolio investors and industrialists have been encouraged to use a premium of this order in making investment decisions. The purpose of this paper is to review the risk premium debate and to re-inforce the case for rejecting historical experience in formulating future investment plan...
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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: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1532686