History and the Equity Risk Premium
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
- Schwert, G William, 1990. "Indexes of U.S. Stock Prices from 1802 to 1987," The Journal of Business, University of Chicago Press, vol. 63(3), pages 399-426, July.
- Goetzmann, William N. & Ibbotson, Roger G. & Peng, Liang, 2001.
"A new historical database for the NYSE 1815 to 1925: Performance and predictability,"
Journal of Financial Markets, Elsevier, vol. 4(1), pages 1-32, January.
- William N. Goetzmann & Roger G. Ibbotson & Liang Peng, 2000. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm154, Yale School of Management.
- William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG, 2004. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm5, Yale School of Management.
- Roger G. Ibbotson & Peng Chen, 2003. "Long-Run Stock Returns: Participating in the Real Economy," Yale School of Management Working Papers ysm354, Yale School of Management.
- Ibbotson, Roger G & Sinquefield, Rex A, 1976. "Stocks, Bonds, Bills, and Inflation: Simulations of the Future (1976-2000)," The Journal of Business, University of Chicago Press, vol. 49(3), pages 313-338, July.
- Ibbotson, Roger G & Sinquefield, Rex A, 1976. "Stocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974)," The Journal of Business, University of Chicago Press, vol. 49(1), pages 11-47, January.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jie Zhu, 2019. "Estimating The Equity Risk Premium: The Case Of Greater China," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(2), pages 195-212, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Anarkulova, Aizhan & Cederburg, Scott & O’Doherty, Michael S., 2022. "Stocks for the long run? Evidence from a broad sample of developed markets," Journal of Financial Economics, Elsevier, vol. 143(1), pages 409-433.
- Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
- Oliver D. Bunn & Robert J. Shiller, "undated".
"Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013,"
Cowles Foundation Discussion Papers
1950, Cowles Foundation for Research in Economics, Yale University.
- Oliver D. Bunn & Robert J. Shiller, 2014. "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," NBER Working Papers 20370, National Bureau of Economic Research, Inc.
- Prat, Georges, 2013.
"Equity risk premium and time horizon: What do the U.S. secular data say?,"
Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
- Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris Nanterre, EconomiX.
- Georges Prat, 2012. "Equity risk premium and time horizon: what do the U.S. secular data say?," Working Papers 12-06, Association Française de Cliométrie (AFC).
- Guo, Hui & Savickas, Robert & Wang, Zijun & Yang, Jian, 2009.
"Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 133-154, February.
- Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis.
- Josefin Meyer & Carmen M Reinhart & Christoph Trebesch, 2022.
"Sovereign Bonds Since Waterloo,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 137(3), pages 1615-1680.
- Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2019. "Sovereign Bonds since Waterloo," Working Papers 12, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
- Meyer, Josefin & Reinhart, Carmen & Trebesch, Christoph, 2022. "Sovereign Bonds since Waterloo," CEPR Discussion Papers 13514, C.E.P.R. Discussion Papers.
- Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2021. "Sovereign bonds since Waterloo," Kiel Working Papers 2206, Kiel Institute for the World Economy (IfW Kiel).
- Josefin Meyer & Carmen M. Reinhart & Christoph Trebesch, 2019. "Sovereign Bonds since Waterloo," NBER Working Papers 25543, National Bureau of Economic Research, Inc.
- Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2019. "Sovereign Bonds since Waterloo," Working Paper Series rwp19-009, Harvard University, John F. Kennedy School of Government.
- Josefin Meyer & Carmen M. Reinhart & Christoph Trebesch, 2019. "Sovereign Bonds since Waterloo," CESifo Working Paper Series 7506, CESifo.
- Meyer,Josefin & Reinhart,Carmen M. & Trebesch,Christoph, 2022. "Sovereign Bonds since Waterloo," Policy Research Working Paper Series 9906, The World Bank.
- Josefin Meyer & Carmen M. Reinhart & Christoph Trebesch, 2022. "Sovereign Bonds since Waterloo," Discussion Papers of DIW Berlin 1993, DIW Berlin, German Institute for Economic Research.
- Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
- Gram, Dennis & Karapanagiotis, Pantelis & Krzyzanowski, Jan & Liebald, Marius & Walz, Uwe, 2021. "An extensible model for historical financial data with an application to German company and stock market data," SAFE Working Paper Series 300, Leibniz Institute for Financial Research SAFE.
- A. Abramov & A. Radygin & M. Chernova, 2015.
"Long-term Portfolio investment: New insight into Return and Risk,"
Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 10.
- Abramov, Alexander & Radygin, Alexander & Chernova, Maria, 2015. "Long-term portfolio investments: New insight into return and risk," Russian Journal of Economics, Elsevier, vol. 1(3), pages 273-293.
- Turner, John D., 2014. "Financial history and financial economics," QUCEH Working Paper Series 14-03, Queen's University Belfast, Queen's University Centre for Economic History.
- David Hirshleifer, 2001.
"Investor Psychology and Asset Pricing,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
- Hirshleifer, David, 2001. "Investor Psychology and Asset Pricing," MPRA Paper 5300, University Library of Munich, Germany.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011.
"Art and Money,"
American Economic Review, American Economic Association, vol. 101(3), pages 222-226, May.
- William Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009. "Art and Money," Yale School of Management Working Papers amz2426, Yale School of Management, revised 01 Jan 2010.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009. "Art and Money," NBER Working Papers 15502, National Bureau of Economic Research, Inc.
- Goetzmann, W. & Renneboog, L.D.R. & Spaenjers, C., 2010. "Art and Money," Discussion Paper 2010-08, Tilburg University, Center for Economic Research.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011. "Art and Money," Post-Print hal-00623450, HAL.
- Goetzmann, W. & Renneboog, L.D.R. & Spaenjers, C., 2010. "Art and Money," Other publications TiSEM 53563a78-8ed3-49fc-83ec-5, Tilburg University, School of Economics and Management.
- Court, Victor & Fizaine, Florian, 2017.
"Long-Term Estimates of the Energy-Return-on-Investment (EROI) of Coal, Oil, and Gas Global Productions,"
Ecological Economics, Elsevier, vol. 138(C), pages 145-159.
- Victor Court & Florian Fizaine, 2017. "Long-Term Estimates of the Energy-Return-on-Investment (EROI) of Coal, Oil, and Gas Global Productions," Post-Print hal-01581713, HAL.
- Victor Court & Florian Fizaine Fizaine, 2017. "Long-term estimates of the energy-return-on-investment (EROI) of coal, oil, and gas global productions," Working Papers hal-03186990, HAL.
- William Goetzmann & Roger Ibbotson, 2005. "History and the Equity Risk Premium," Yale School of Management Working Papers ysm448, Yale School of Management.
- van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos), 2012.
"A meta-analysis of the equity premium,"
Journal of Empirical Finance, Elsevier, vol. 19(5), pages 819-830.
- Casper van Ewijk & Henri de Groot & C. Santing, 2010. "A meta-analysis of the equity premium," CPB Discussion Paper 156, CPB Netherlands Bureau for Economic Policy Analysis.
- Casper van Ewijk & Henri L.F. de Groot & Coos Santing, 2010. "A Meta-Analysis of the Equity Premium," Tinbergen Institute Discussion Papers 10-078/3, Tinbergen Institute.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- Christophe Faugere & Julian Van Erlach, 2003.
"A General Theory of Stock Market Valuation and Return,"
Finance
0311005, University Library of Munich, Germany, revised 17 May 2004.
- Christophe Faugere & Julian Van Erlach, 2004. "A General Theory of Stock Market Valuation and Return," Finance 0403004, University Library of Munich, Germany, revised 17 May 2004.
- Levy, Haim & Levy, Moshe, 2021. "Stocks versus bonds for the long run when a riskless asset is available," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Allan Hodgson & John Okunev, 2022. "Long term equity risk premiums in the UK and US: A cautionary tale of weak mean reversion," The European Journal of Finance, Taylor & Francis Journals, vol. 28(17), pages 1728-1744, November.
- Othieno, Ferdinand & Biekpe, Nicholas, 2019. "Estimating the conditional equity risk premium in African frontier markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 538-551.
More about this item
Keywords
financial history; equity premium;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ysm:wpaper:ysm448. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/smyalus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.