Maximum likelihood estimation of the equity premium
نویسندگان
چکیده
منابع مشابه
Maximum likelihood estimation of the equity premium
The equity premium, namely the expected return on the aggregate stock market less the government bill rate, is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the sample average excess return. We propose an alternative estimator, based on maximum likelihood, that...
متن کاملMaximum likelihood estimation of the equity
The equity premium, namely the expected return on the aggregate stock market less the government bill rate, is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the sample average excess return. We propose an alternative estimator, based on maximum likelihood, that...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2017
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2017.06.003