Handbook of the equity risk premium
Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.
| Otros Autores: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; Boston :
Elsevier
2008.
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| Edición: | 1st ed |
| Colección: | Handbooks in finance.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009835432706719 |
Tabla de Contenidos:
- Front Cover; Handbook of the Equity Risk Premium; Copyright Page; Contents; List of Contributors; Preface; Introduction to the Series; Chapter 1. The Equity Premium: ABCs; 1. Introduction; 2. Is the Equity Premium Due to a Premium for Bearing Non-Diversifiable Risk?; References; Appendix A; Appendix B; Appendix C; Appendix D; Chapter 2. Risk-Based Explanations of the Equity Premium; Introduction; 1. Alternative Preference Structures; 2. Production Economies; 3. Disaster Events and Survivorship Bias; 4. Market Incompleteness and Trading Frictions; 5. Model Uncertainty; 6. Concluding Comments
- ReferencesChapter 3. Non-Risk-based Explanations of the Equity Premium; Introduction; 1. The Inappropriateness of Using T-Bills as a Proxy for the Intertemporal Marginal Rate of Substitution of Consumption; 2. The Effect of Government Regulations and Rules; 3. Taxes; 4. Borrowing Constraints; 5. The Impact of Agent Heterogeneity and Intermediation Costs; 6. Concluding Comments; References; Chapter 4. Equity Premia with Benchmark Levels of Consumption: Closed-Form Results; 1. Preferences; 2. The Canonical Asset; 3. Risk, Term, and Equity Premia; 4. Log-Normality
- 5. Risk, Term, and Equity Premia Under Log-Normality with Consumption Externalities and Without Habit Formation6. Linear Approximations to Risk, Term, and Equity Premia; 7. Second Moments; 8. Correlation of Dividend-Price Ratio and the Rate of Return on Stock; 9. Special Cases; 10. Accuracy of Approximations; 11. Summary; References; Discussion: Francisco Gomes (LBS); 1. Introduction; 2. Preferences with Benchmark Levels of Consumption; 3. Changing the "Benchmark Level" of the Explanation; 4. Leverage, Correlation between Dividends and Consumption, and distorted Beliefs; 5. Final Remarks
- ReferencesChapter 5. Long-Run Risks and Risk Compensation in Equity Markets; 1. Introduction; 2. Long-Run Risks Model; 3. Cross-Sectional Implications; 4. Conclusion; References; Discussion: John C. Heaton (Chicago); 1. Summary; 2. A Low-Frequency Component in Consumption?; 3. Preferences; 4. Returns and Long-Run Cash Flows; 5. Conclusion; References; Chapter 6. The Loss Aversion/Narrow Framing Approach to the Equity Premium Puzzle; 1. Introduction; 2. Loss Aversion and Narrow Framing; 3. The Equity Premium; 4. Other Applications; 5. Further Extensions; 6. Conclusion and Future Directions
- ReferencesDiscussion: Xavier Gabaix (New York); 1. Work Out More Systematically the Preferences of PT vs. EU Investors-The "Equity Protection Puzzle"; 2. Make Quantitative Predictions, Particularly About Equilibrium Market Phenomena, Rather than Just about Individual Trading Behavior; 3. Do a Version of the Model in Continuous Time; References; Discussion: Ravi Jagannathan (Northwestern); Chapter 7. Financial Markets and the Real Economy; 1. Introduction; 2. Facts: Time Variation and Business Cycle Correlation of Expected Returns; 3. Equity Premium; 4. Consumption Models
- 5. Production, Investment, and General Equilibrium
