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Movements in the Equity Premium

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Cited by:

  1. Robert Shiller, 2007. "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models," Yale School of Management Working Papers amz2436, Yale School of Management.
  2. John B. Carlson & Kevin H. Sargent, 1997. "The recent ascent of stock prices: can it be explained by earnings growth or other fundamentals?," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 2-12.
  3. Bengt Holmström & Jean Tirole, 2001. "LAPM: A Liquidity‐Based Asset Pricing Model," Journal of Finance, American Finance Association, vol. 56(5), pages 1837-1867, October.
  4. Owen Lamont, "undated". "Earnings and Expected Returns," CRSP working papers 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  5. John V. Duca, 2005. "Why Have U.S. Households Increasingly Relied On Mutual Funds To Own Equity?," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 51(3), pages 375-396, September.
  6. John V. Duca & Patric H. Hendershott & David C. Ling, 2017. "How Taxes and Required Returns Drove Commercial Real Estate Valuations over the Past Four Decades," National Tax Journal, National Tax Association;National Tax Journal, vol. 70(3), pages 549-584, September.
  7. John Y. Campbell & João F. Cocco & Francisco J. Gomes & Pascal J. Maenhout, 2001. "Investing Retirement Wealth: A Life-Cycle Model," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 439-482, National Bureau of Economic Research, Inc.
  8. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-Run Stock Market Outlook: An Update," NBER Working Papers 8221, National Bureau of Economic Research, Inc.
  9. Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
  10. Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, vol. 87(2), pages 269-280, February.
  11. Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2021. "The Choice Channel of Financial Innovation," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(2), pages 333-372, April.
  12. Shlomo Benartzi & Richard H. Thaler, 1999. "Risk Aversion or Myopia? Choices in Repeated Gambles and Retirement Investments," Management Science, INFORMS, vol. 45(3), pages 364-381, March.
  13. Rae, David, 1996. "NBNZ-DEMONZ: A dynamic equilibrium model of New Zealand," Economic Modelling, Elsevier, vol. 13(1), pages 91-165, January.
  14. Brown, Jeffrey R. & Liang, Nellie & Weisbenner, Scott, 2006. "401(k) matching contributions in company stock: Costs and benefits for firms and workers," Journal of Public Economics, Elsevier, vol. 90(6-7), pages 1315-1346, August.
  15. Atkinson Anthony B., 2000. "The Changing Distribution of Income: Evidence and Explanations," German Economic Review, De Gruyter, vol. 1(1), pages 3-18, February.
  16. Jovanic, Boyan & Ueda, Masako, 1997. "Contracts and Money," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 700-708, August.
  17. Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina, 2000. "The declining U.S. equity premium," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Fall), pages 3-19.
  18. Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 431-459, September.
  19. 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.
  20. Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers 522, University of California, Davis, Department of Economics.
  21. Eugene F. Fama & Kenneth R. French, 2002. "The Equity Premium," Journal of Finance, American Finance Association, vol. 57(2), pages 637-659, April.
  22. Yaw Mensah & Robert Werner, 2008. "The capital market implications of the frequency of interim financial reporting: an international analysis," Review of Quantitative Finance and Accounting, Springer, vol. 31(1), pages 71-104, July.
  23. David Gruen & Geoffrey Shuetrim, 1994. "Internationalisation and the Macroeconomy," RBA Annual Conference Volume (Discontinued), in: Philip Lowe & Jacqueline Dwyer (ed.),International Intergration of the Australian Economy, Reserve Bank of Australia.
  24. Salomons, Roelof, 2004. "Expert something sensible: putting US returns in an international perspective," Research Report 04E02, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  25. Kaplan, Steven N & Ruback, Richard S, 1995. "The Valuation of Cash Flow Forecasts: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 50(4), pages 1059-1093, September.
  26. Agnieszka Markiewicz & Rafal Raciborski, 2022. "Income Inequality and Stock Market Returns," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 43, pages 286-307, January.
  27. Mr. Luis Catão & Mr. George A Mackenzie, 2006. "Perspectiveson Low Global Interest Rates," IMF Working Papers 2006/076, International Monetary Fund.
  28. Smith, Simon C., 2017. "Equity premium estimates from economic fundamentals under structural breaks," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 49-61.
  29. Avdis, Efstathios & Wachter, Jessica A., 2017. "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, Elsevier, vol. 125(3), pages 589-609.
  30. Lori L. Taylor, 1998. "Does the United States still overinvest in housing?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q II, pages 10-18.
  31. Madsen, Jakob B., 2010. "Growth and capital deepening since 1870: Is it all technological progress?," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 641-656, June.
  32. Marco Mazzoli, 2005. "Investments, financial structure and imperfect financial markets: An intertemporal discrete-time framework," The European Journal of Finance, Taylor & Francis Journals, vol. 11(3), pages 247-258.
  33. Anastasios G. Malliaris & Ramaprasad Bhar, 2011. "Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(1), pages 27-53, April.
  34. Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007. "Representative consumer's risk aversion and efficient risk-sharing rules," Journal of Economic Theory, Elsevier, vol. 137(1), pages 652-672, November.
  35. Schröder, David, 2005. "The Implied Equity Risk Premium: An Evaluation of Empirical Methods," Bonn Econ Discussion Papers 13/2005, University of Bonn, Bonn Graduate School of Economics (BGSE).
  36. Mehra, Rajnish & Prescott, Edward C., 2003. "The equity premium in retrospect," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938, Elsevier.
  37. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
  38. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, April.
  39. Murillo Campello & Long Chen & Lu Zhang, 2008. "Expected returns, yield spreads, and asset pricing tests," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1297-1338, May.
  40. Nikolaev, V., 2007. "Financial reporting, debt contracting and valuation," Other publications TiSEM ff664d18-33b1-44ce-a682-7, Tilburg University, School of Economics and Management.
  41. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
  42. Keith Sill, 2006. "Macroeconomic volatility and the equity premium," Working Papers 06-1, Federal Reserve Bank of Philadelphia.
  43. Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers 55, University of California, Davis, Department of Economics.
  44. Salomons, Roelof & Grootveld, Henk, 2002. "The equity risk premium: emerging versus developed markets," Research Report 02E45, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  45. Manju Tripathi & Smita Kashiramka & P. K. Jain, 2018. "Equity Risk Premium in India: Comparative Estimates from Historical Returns, Dividend and Earnings Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1_suppl), pages 136-156, April.
  46. René M. Stulz, 1995. "The cost of capital in internationally integrated markets: The case of Nestlé," European Financial Management, European Financial Management Association, vol. 1(1), pages 11-22, March.
  47. Catherine Bruneau & Ch. Duval-Kieffer & J. P. Nicolai, 2000. "Managing funds in the US market: how to distinguish between transitory distortions and structural changes in the stock prices?," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 146-162.
  48. Kero, Afroditi, 2013. "Banks’ risk taking, financial innovation and macroeconomic risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 112-124.
  49. Buranavityawut, Nonthipoth & Freeman, Mark C. & Freeman, Nisih, 2006. "Has the equity premium been low for 40 years?," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 191-205, August.
  50. Guohui Guan & Zongxia Liang & Yilun Song, 2022. "The continuous-time pre-commitment KMM problem in incomplete markets," Papers 2210.13833, arXiv.org, revised Feb 2023.
  51. Nathan S. Balke & Mark E. Wohar, 2001. "Explaining stock price movements: is there a case for fundamentals?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 22-34.
  52. Salomons, Roelof & Grootveld, Henk, 2003. "The equity risk premium: emerging vs. developed markets," Emerging Markets Review, Elsevier, vol. 4(2), pages 121-144, June.
  53. Pancrazi, Roberto, 2014. "How beneficial was the Great Moderation after all?," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 73-90.
  54. Sandip Mukherji, 2011. "The Capital Asset Pricing Model’S Risk-Free Rate," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(2), pages 75-83.
  55. Christophe Boucher, 2003. "Stock Market Valuation : the Role of the Macroeconomic Risk Premium," Finance 0305011, University Library of Munich, Germany.
  56. Jurdi, Doureige & Kim, Jae, 2019. "Predicting the U.S. Stock Market Return: Evidence from the Improved Augmented Regression Method," MPRA Paper 94028, University Library of Munich, Germany.
  57. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
  58. Peter Blair Henry, 2001. "Is Disinflation Good for the Stock Market?," NBER Working Papers 8289, National Bureau of Economic Research, Inc.
  59. Simon C. Smith, 2020. "Equity premium prediction and structural breaks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 412-429, July.
  60. Olesen, Jan Overgaard & Risager, Ole, 2000. "On The Predictability Of The Danish Equity Premium," Working Papers 05-2001, Copenhagen Business School, Department of Economics.
  61. Nathan S. Balke & Mark E. Wohar, 2002. "Low-Frequency Movements in Stock Prices: A State-Space Decomposition," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 649-667, November.
  62. Oreste Tristani, 2009. "Model Misspecification, the Equilibrium Natural Interest Rate, and the Equity Premium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1453-1479, October.
  63. Horváth, Ferenc, 2017. "Essays on robust asset pricing," Other publications TiSEM e54d7b33-1f27-4b0e-9f84-f, Tilburg University, School of Economics and Management.
  64. Rochon, Mathieu & Desrosiers, Stéphanie & L’Her, Jean-François, 2004. "Révision à la baisse de la prime sur les actions au Canada," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(1), pages 137-170, Mars.
  65. Roelof Salomons, 2008. "A Theoretical And Practical Perspective On The Equity Risk Premium," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 299-329, April.
  66. Bonfiglioli, Alessandra & Favero, Carlo A., 2005. "Explaining co-movements between stock markets: The case of US and Germany," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1299-1316, December.
  67. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2020. "The Expected Return on Risky Assets: International Long-run Evidence," CEPR Discussion Papers 15610, C.E.P.R. Discussion Papers.
  68. Apergis, Nicholas & Eleftheriou, Sophia, 2002. "Interest rates, inflation, and stock prices: the case of the Athens Stock Exchange," Journal of Policy Modeling, Elsevier, vol. 24(3), pages 231-236, June.
  69. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
  70. Michael Donadelli & Lorenzo Prosperi, 2012. "The Equity Risk Premium: Empirical Evidence from Emerging Markets," Working Papers CASMEF 1201, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  71. Ravi Jagannathan & Iwan Meier, 2002. "Do We Need CAPM for Capital Budgeting?," Financial Management, Financial Management Association, vol. 31(4), Winter.
  72. Madsen, Jakob B., 2002. "The share market boom and the recent disinflation in the OECD countries: the tax-effects, the inflation-illusion and the risk-aversion hypotheses reconsidered1," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 115-141.
  73. David Burgess & Joel Fried, 1999. "Canadian Retirement Savings Plans and the Foreign Property Rule," Canadian Public Policy, University of Toronto Press, vol. 25(3), pages 395-416, September.
  74. repec:dgr:rugsom:04e02 is not listed on IDEAS
  75. Anisha Ghosh & George M. Constantinides, 2014. "Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes," NBER Working Papers 20678, National Bureau of Economic Research, Inc.
  76. Eugene N. White, 2004. "Bubbles and Busts: The 1990s in the Mirror of the 1920s," FRU Working Papers 2004/09, University of Copenhagen. Department of Economics. Finance Research Unit.
  77. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2022. "The big bang: Stock market capitalization in the long run," Journal of Financial Economics, Elsevier, vol. 145(2), pages 527-552.
  78. Robert J. Shiller, 2007. "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(2), pages 111-134.
  79. Guan, Guohui & Hu, Jiaqi & Liang, Zongxia, 2022. "Robust equilibrium strategies in a defined benefit pension plan game," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 193-217.
  80. Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
  81. Honohan, Patrick & Conroy, Charles, 1994. "Irish Interest Rate Fluctuations in The European Monetary System," Research Series, Economic and Social Research Institute (ESRI), number GRS165.
  82. Missaka Warusawitharana, 2011. "The expected real return to equity," Finance and Economics Discussion Series 2011-14, Board of Governors of the Federal Reserve System (U.S.).
  83. Massimiliano De Santis, 2005. "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005 62, Money Macro and Finance Research Group.
  84. Peter Blair Henry, 2002. "Is Disinflation Good for the Stock Market?," Journal of Finance, American Finance Association, vol. 57(4), pages 1617-1648, August.
  85. Marco Mazzoli, 2004. "Investments, financial structure and insiders' control of the cash-flow: an intertemporal discrete-time framework and a qualitative analysis," Money Macro and Finance (MMF) Research Group Conference 2003 61, Money Macro and Finance Research Group.
  86. repec:dgr:rugsom:02e45 is not listed on IDEAS
  87. Jakob B. Madsen, 2003. "The Equity Risk Premium and the Required Share Returns in a Tobin’s q Model," EPRU Working Paper Series 03-10, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
  88. Jin (Ginger) Wu & Lu Zhang & X. Frank Zhang, 2010. "The q‐Theory Approach to Understanding the Accrual Anomaly," Journal of Accounting Research, Wiley Blackwell, vol. 48(1), pages 177-223, March.
  89. Paul Scanlon, 2008. "New Goods and Asset Prices," 2008 Meeting Papers 927, Society for Economic Dynamics.
  90. Timothy Cogley, 1999. "Should the Fed take deliberate steps to deflate asset price bubbles?," Economic Review, Federal Reserve Bank of San Francisco, pages 42-52.
  91. John V. Duca, 1997. "Has long-run profitability risen in the 1990s," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 2-14.
  92. Broer, Tobias & Kero, Afroditi, 2011. "Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?," CEPR Discussion Papers 8700, C.E.P.R. Discussion Papers.
  93. Guohui Guan & Jiaqi Hu & Zongxia Liang, 2021. "Robust equilibrium strategies in a defined benefit pension plan game," Papers 2103.09121, arXiv.org.
  94. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
  95. Christopher Kent & Philip Lowe, 1997. "Asset-price Bubbles and Monetary Policy," RBA Research Discussion Papers rdp9709, Reserve Bank of Australia.
  96. Brennan, Michael, 1997. "The Role of Learning in Dynamic Portfolio Decisions”," University of California at Los Angeles, Anderson Graduate School of Management qt8js8x85g, Anderson Graduate School of Management, UCLA.
  97. Kryzanowski, Lawrence & Mohsni, Sana, 2010. "Capital returns, costs and EVA for Canadian firms," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 256-273, December.
  98. Julien Pénasse, 2022. "Understanding Alpha Decay," Management Science, INFORMS, vol. 68(5), pages 3966-3973, May.
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