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The long-run equity risk premium

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Cited by:

  1. Aleksandar Andonov & Roman Kräussl & Joshua Rauh & Stijn Van Nieuwerburgh, 2021. "Institutional Investors and Infrastructure Investing [Pension fund asset allocation and liability discount rates]," The Review of Financial Studies, Society for Financial Studies, vol. 34(8), pages 3880-3934.
  2. Zhang, Yiyang & Perols, Johan & Robinson, Dahlia & Smith, Thomas, 2018. "Earnings management strategies to maintain a string of meeting or beating analyst expectations," Advances in accounting, Elsevier, vol. 43(C), pages 46-55.
  3. Huisman, Ronald & Van der Sar, Nico L. & Zwinkels, Remco C.J., 2021. "Volatility expectations and disagreement," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 379-393.
  4. Huisman, Ronald & van der Sar, Nico L. & Zwinkels, Remco C.J., 2012. "A new measurement method of investor overconfidence," Economics Letters, Elsevier, vol. 114(1), pages 69-71.
  5. Mark Kamstra & Rpbert J. Shiller, 2008. "The Case for Trills: Giving Canadians and their Pension Funds a Stake in the Wealth of the Nation," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 271, August.
  6. Markus Glaser & Martin Weber, 2007. "Overconfidence and trading volume," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 32(1), pages 1-36, June.
  7. repec:vuw:vuwscr:18939 is not listed on IDEAS
  8. Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021. "Another look at calendar anomalies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
  9. Mark J. Kamstra & Robert J. Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Cowles Foundation Discussion Papers 1717, Cowles Foundation for Research in Economics, Yale University.
  10. Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S., 2015. "Expected commodity returns and pricing models," Energy Economics, Elsevier, vol. 49(C), pages 60-71.
  11. Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112.
  12. Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
  13. Syed Jawad Hussain Shahzad, 2015. "Multiscale Systematic Risk: Empirical Evidence from Pakistan," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(12), pages 605-615, December.
  14. Mark J. Kamstra & Robert J. Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Cowles Foundation Discussion Papers 1717, Cowles Foundation for Research in Economics, Yale University.
  15. Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz, 2013. "Commodity and Asset Pricing Models: An Integration," NBER Working Papers 19167, National Bureau of Economic Research, Inc.
  16. Tatiana PÎŞCHINA & Romeo Fortuna, 2017. "Moldova’s Phenomenon: Can Foreign Investments Help Out of the Poverty Circle?," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 3, ejes_v3_i.
  17. Ravi Jagannathan & Iwan Meier & Vefa Tarhan, 2011. "The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data," NBER Working Papers 16770, National Bureau of Economic Research, Inc.
  18. 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.
  19. Lin, Fengyi & Lin, Sheng-Wei & Fang, Wen-Chang, 2020. "How CEO narcissism affects earnings management behaviors," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  20. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed, 2014. "Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame," MPRA Paper 60110, University Library of Munich, Germany.
  21. Boyle, Glenn & Evans, Lewis & Guthrie, Graeme, 2006. "Estimating the WACC in a Regulatory Setting: An Assessment of Dr Martin Lally's paper 'The Weighted Average Cost of Capital for Electricity Lines Businesses' of 8 September 2005," Working Paper Series 18939, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  22. Assia Elgouacem & Riccardo Zago, 2020. "Share Buybacks, Monetary Policy and the Cost of Debt," Working papers 773, Banque de France.
  23. Fabrice Roth, 2012. "Crise et régulation des marchés financiers : Quel impact sur les formes mutuelles dans l'assurance ?," Working Papers halshs-00692342, HAL.
  24. Markku Kaustia & Eeva Alho & Vesa Puttonen, 2008. "How Much Does Expertise Reduce Behavioral Biases? The Case of Anchoring Effects in Stock Return Estimates," Financial Management, Financial Management Association International, vol. 37(3), pages 391-412, September.
  25. Algaba, Andres & Boudt, Kris, 2017. "Generalized financial ratios to predict the equity premium," Economic Modelling, Elsevier, vol. 66(C), pages 244-257.
  26. Ofelia Bonesini & Antoine Jacquier & Aitor Muguruza, 2024. "Risk premium and rough volatility," Papers 2403.11897, arXiv.org.
  27. 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.
  28. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
  29. John Geppert & Stoyu Ivanov & Gordon Karels, 2011. "An analysis of the importance of S&P 500 discretionary constituent changes," Review of Quantitative Finance and Accounting, Springer, vol. 37(1), pages 21-34, July.
  30. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
  31. George Zanjani, 2007. "Regulation, Capital, and the Evolution of Organizational Form in US Life Insurance," American Economic Review, American Economic Association, vol. 97(3), pages 973-983, June.
  32. Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
  33. Gene Amromin & Steven A. Sharpe, 2009. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  34. Alen Nosić & Martin Weber, 2010. "How Riskily Do I Invest? The Role of Risk Attitudes, Risk Perceptions, and Overconfidence," Decision Analysis, INFORMS, vol. 7(3), pages 282-301, September.
  35. Minh Hai Ngo & Marc Oliver Rieger & Shuonan Yuan, 2018. "The Fundamental Equity Premium and Ambiguity Aversion in an International Context," Risks, MDPI, vol. 6(4), pages 1-24, November.
  36. Syed Jawad Hussain Shahzad & Saniya Khalid & Saba Ameer, 2016. "CAPM estimates: Can data frequency and time period lend a hand?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-12, June.
  37. Boyle, Glenn & Evans, Lewis & Guthrie, Graeme, 2006. "Estimating the WACC in a Regulatory Setting: An Assessment of Dr Martin Lally's paper 'The Weighted Average Cost of Capital for Electricity Lines Businesses' of 8 September 2005," Working Paper Series 3844, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
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