Sökning: "equity risk premium puzzle"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden equity risk premium puzzle.

1. 1. Risk Attitudes and the Equity Premium Puzzle: empirical tests in a cross-country setting

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Max Rylander; [2015]
   Nyckelord :Equity Premium Puzzle; Myopic Loss Aversion; Ambiguity Aversion; Cultural dimensions; Cultural stationarity;

   Sammanfattning : This study utilises panel data, Equity Home Bias measurements and a two-stage estimation process incorporating one version of the international CAPM to extract comparable input data and test country-scores for risk preferences, risk aversion and time discounting as well as country scores on broader cultural dimensions, on country-estimates of the Equity Risk Premia. The risk attitude scores, which just recently have been made available, are such that they may proxy for irrational behaviours which have been theorized to explain the Equity Premium Puzzle, and enable a rigorous way to empirically test such an effect. LÄS MER

3. 2. The effect of Optimism on teh Equity Premium

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Alexander Boukaras; Helena Winje; [2013-03-14]
   Nyckelord :Behavioral Finance; Equity Risk Premium; Equity Premium Puzzle; Optimism;

   Sammanfattning : The Equity Premium Puzzle highlights the occurrence of historical equity premium being an order of magnitude greater than can be rationalized in the context of the standard paradigm of financial economics. Studies have shown that pessimism may explain this puzzle. LÄS MER

4. 3. Idiosyncratic Risk and Expected Stock Returns: An Empirical Investigation on the GIPS Countries

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Nadir Luvisotti; [2013]
   Nyckelord :Idiosyncratic Risk; CAPM; Fama-French three factor model; GIPS equity markets;

   Sammanfattning : The thesis aims to provide a framework for understanding how the idiosyncratic risk (IVOL) may affect the returns of individual stocks in the context of the Capital Asset Pricing Model and the Fama-French three factor model. We examine the Greek, Italian, Portuguese and Spanish (GIPS) Equity Markets. LÄS MER

5. 4. The Dynamics of Equity Risk Premium : The case of France, Germany, Sweden, United Kingdom and USA

   Magister-uppsats, IHH, Economics, Finance and Statistics

   Författare :Atis Praudins; [2012]
   Nyckelord :Equity risk premium; equity risk premium puzzle; historical equity premium; implied equity premium; time series analysis; Granger causality;

   Sammanfattning : Equity risk premium is a financial variable that is surrounded by mystery. Starting from the almost 30 year old equity premium puzzle caused by considerations that equity premium values which are observable in past data imply an implausibly high risk aversion to more recent statements that equity premium does not exist anymore. LÄS MER

7. 5. The Equity Premium Puzzle post the Financial Crisis

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Bergsveinn Snorrason; Ívar Alfreð Grétarsson; [2011]
   Nyckelord :Equity Premium Puzzle; Survivorship Bias; Non-linear interpolation; Risk aversion; Bond; Equity; Business and Economics;

   Sammanfattning : The purpose of this paper is to take a closer look at the equity premium puzzle which is one of the most intriguing puzzles in economics and has been challenging researchers for the last 25 years since Mehra and Prescott first introduced the puzzle. It refers to the empirical fact that risky equity has been outperforming default free debt with about 6 percentage points for the U. LÄS MER