Estimating C-CAPM and the equity premium over the frequency domain
نویسندگان
چکیده
منابع مشابه
Estimating the Equity Premium
To estimate the equity premium, it is helpful to use finance theory: not the old-fashioned theory that efficient markets imply a constant equity premium, but theory that restricts the time-series behavior of valuation ratios, and that links the cross-section of stock prices to the level of the equity premium. Under plausible conditions, valuation ratios such as the dividend-price ratio should n...
متن کاملEstimating the Equity Premium
Existing empirical research investigating the size of the equity premium has largely consisted of a series of innovations around a common theme: producing a better estimate of the equity premium by using better data or a better estimation technique. The equity premium estimate that emerges from most of this work matches one moment of the data alone: the mean difference between an estimate of th...
متن کاملEstimating the Equity Premium
To estimate the equity premium, it is helpful to use finance theory: not the old-fashioned theory that efficient markets imply a constant equity premium, but theory that restricts the time-series behavior of valuation ratios, and that links the cross-section of stock prices to the level of the equity premium. Under plausible conditions, valuation ratios such as the dividend-price ratio should n...
متن کاملEstimating the Ex Ante Equity Premium
We find that the true ex ante equity premium very likely lies within 50 basis points of 3.5%. This estimate is similar to values obtained in some recent studies but is considerably more precise. In addition to narrowing the range of plausible ex ante equity premia, we also find that equity premium models that allow for time-variation, breaks, and/or trends are the models that best match the exp...
متن کاملLow - frequency Technology Shocks , Creative Destruction , and the Equity Premium
1 Introduction. Beginning with Rietz [1988], a number of papers study the equity premium puzzle (Mehra and Prescott [1985]) in the context of models with large, but rare of research tends to use Lucas-tree and A-K models and to emphasize disruptions from wars, recessions, and natural disasters. The purpose of the present paper is to attempt to contribute a new modeling formulation to the litera...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics and Econometrics
سال: 2013
ISSN: 1558-3708,1081-1826
DOI: 10.1515/snde-2013-0019