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The long-run equity risk premium

Citations

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Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.).
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. Assia Elgouacem & Riccardo Zago, 2020. "Share Buybacks, Monetary Policy and the Cost of Debt," Working papers 773, Banque de France.
  12. Fabrice Roth, 2012. "Crise et régulation des marchés financiers : Quel impact sur les formes mutuelles dans l'assurance ?," Working Papers halshs-00692342, HAL.
  13. 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.
  14. Algaba, Andres & Boudt, Kris, 2017. "Generalized financial ratios to predict the equity premium," Economic Modelling, Elsevier, vol. 66(C), pages 244-257.
  15. Ofelia Bonesini & Antoine Jacquier & Aitor Muguruza, 2024. "Risk premium and rough volatility," Papers 2403.11897, arXiv.org.
  16. 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.
  17. 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.
  18. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
  19. 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.
  20. Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. repec:vuw:vuwscr:18939 is not listed on IDEAS
  28. Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S., 2015. "Expected commodity returns and pricing models," Energy Economics, Elsevier, vol. 49(C), pages 60-71.
  29. 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.
  30. 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.
  31. 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.
  32. 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).
  33. 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.
  34. 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.
  35. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
  36. 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.
  37. 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.
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