The equity premium and market integration: Evidence from international data
JD Shackman - Journal of International Financial Markets, Institutions …, 2006 - Elsevier
This paper examines the equity premium puzzle by looking at stock market data from 39
countries. For each of these countries, average total return as well as excess returns was …
countries. For each of these countries, average total return as well as excess returns was …
The role of current account balance in forecasting the US equity premium: Evidence from a quantile predictive regression approach
The purpose of this paper is to investigate whether the current account balance can help in
forecasting the quarterly S&P500-based equity premium out-of-sample. We consider an out …
forecasting the quarterly S&P500-based equity premium out-of-sample. We consider an out …
New estimates of the equity risk premium and why we need them: sharpening estimates of an important financial variable
DJ Lamdin - Business Economics, 2002 - go.gale.com
This article discusses the definition and importance of the equity risk premium (ERP),
describes conventional approaches to measurement and their weaknesses, and presents a …
describes conventional approaches to measurement and their weaknesses, and presents a …
The expected value premium
Fama and French [2002. The equity premium. Journal of Finance 57, 637–659] estimate the
equity premium using dividend growth rates to measure expected rates of capital gain. We …
equity premium using dividend growth rates to measure expected rates of capital gain. We …
Measuring the equity risk premium
P Best, A Byrne - Journal of Asset Management, 2001 - Springer
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 …
risk premium (ERP) relative to government bonds. Our ERP measure helps predict short …
The consensus estimate for the equity premium by academic financial economists in December 2007
I Welch - Available at SSRN 1084918, 2008 - papers.ssrn.com
A sample of about 400 finance professors estimates the 1-year equity premium and the 30-
year geometric equity premium to be about 5%, as of year-end 2007. The sample …
year geometric equity premium to be about 5%, as of year-end 2007. The sample …
The equity premium: It's still a puzzle
NR Kocherlakota - Journal of Economic literature, 1996 - JSTOR
OVER THE LAST one hundred years, the average real return to stocks in the United States
has been about six percent per year higher than that on Treasury bills. At the same time, the …
has been about six percent per year higher than that on Treasury bills. At the same time, the …
A century of equity premium predictability and the consumption–wealth ratio: An international perspective
This paper re-examines the predictive ability of the consumption–wealth ratio (cay) on the
equity premium using hand-collected annual data spanning one century for four major …
equity premium using hand-collected annual data spanning one century for four major …
Equity premia in emerging markets: National characteristics as determinants
R Aggarwal, JW Goodell - Journal of Multinational Financial Management, 2008 - Elsevier
There is little research on international equity premia estimates. Using improved and
consistent methodologies covering a recent 8-year period, this paper estimates annual …
consistent methodologies covering a recent 8-year period, this paper estimates annual …