Estimating the Equity Risk Premium for Economies in the Asian Region
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 کاملMeasuring the equity risk premium
We use surveys of economic forecasts to derive a forward-looking estimate of the US equity risk premium (ERP) relative to government bonds. Our ERP measure helps predict short-term relative returns between stocks and bonds. Over the period we studied, low readings of the ERP tended to adjust back to the mean via a rally in the bond market rather than a fall in stock prices. We do not generalise...
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ژورنال
عنوان ژورنال: Asian Journal of Finance & Accounting
سال: 2009
ISSN: 1946-052X
DOI: 10.5296/ajfa.v1i1.86