Equity risk premium

The results show that although stock portfolios carried market risk, a market risk premium is not significant. In contrast, size and book to market effects play a role in asset pricing. From that, investors will have a certain basis of evaluation in these factors when making investment decisions in order to get a better chance of receiving an expected return.

12p vijihyo2711 25-09-2021 13 1   Download

This paper aims to develop testing model based on logistic regression with three factors to investigate the equity premium portion of CAPM model. It includes (1) literature review on equity premium of CAPM (Capital Asset Pricing Model) model; (2) Set up logistic regression model; (3) Data collection from Datastream; (4) Use of Matlab in regression; (5) Data input in logistic regression; (6) Create a homemade model to prove the nonexistence of equity premium puzzle. Together with investigating the proper definition of risk-free rate, this paper investigates and tests the basic model of CAPM.

13p trinhthamhodang2 21-01-2020 15 0   Download

This study investigates the impact of change of macroeconomic variables on equity risk premium of Ho Chi Minh stock market and some important sectors for period January 2007- September 2015. The paper applies bounds testing approach to cointegration to find the long run and short run relationships.

19p vixuka2711 12-06-2019 17 1   Download

This paper is to investigate the fitness of the Fama and French three-factor model in the HCMC Stock Exchange (HOSE) over the period 2007-2009. The results have proven that this model is more superior to the capital asset pricing model (CAPM) when explaining changes in the total risk premium or the return on equity in HOSE.

6p danhnguyentuongvi27 19-12-2018 24 2   Download

(bq) part 1 book "fundamentals of corporate finance" has contents: risk and return in capital markets, systematic risk and the equity risk premium, the cost of capital, the cost of capital debt financing, capital structure, payout policy, working capital management,...and other contents.

428p bautroibinhyen23 02-04-2017 59 6   Download

This chapter discusses the various forms of return encountered in investment management. Among the return types discussed are required returns, which will be used later in the text for equity valuation. The required return is what the investor expects to earn on an investment, given the investment’s risk. To determine the required return, we will use several different models, such as the capital asset pricing model (CAPM).

31p allbymyself_10 02-03-2016 66 2   Download

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.This handbook is indispensable for any serious assessment of the state of the art on the famous equity premium puzzle.

635p tieungot 24-01-2013 88 25   Download

Because both nondurable and durable consumption are smooth, the durable consumption model requires high risk aversion to fit the high level and volatil- ity of expected stock returns. This paper shows that the model can successfully explain the cross-sectional and time variation in expected stock returns, con- ditional on an “equity premium puzzle” (Mehra and Prescott (1985)). The high risk aversion does not imply a “risk-free rate puzzle” (Weil (1989)) in the model because recursive utility allows the EIS to be higher than the inverse of risk aversion....

61p bocapchetnguoi 05-12-2012 84 3   Download

Another well-known empirical fact is the predictability of stock returns by variables that are informative about the business cycle. 1 The evidence suggests that the equity premium is time varying, that is, it is higher at business cycle troughs than at peaks. In an equilibrium asset pricing model, time variation in the equity premium must be explained by time variation in the price or quantity of risk.

0p bocapchetnguoi 05-12-2012 54 2   Download

This paper proposes a simple consumption-based explanation of both the cross-sectional variation in expected stock returns and the countercyclical vari- ation in the equity premium. I use a representative household model, in which intraperiod utility is a constant elasticity of substitution (CES) function of nondurable and durable consumption. The household’s intertemporal utility is Epstein and Zin’s (1991) recursive function, which allows for the separation of the elasticity of intertemporal substitution (EIS) from risk aversion.

67p bocapchetnguoi 05-12-2012 50 2   Download

Empirical research has found that highly profitable firms face a lower cost of equity funding (for example, Hail and Leuz (2006)). This work has not looked at banks. In the third column of Table 1, we use earnings (defined as net income over equity) to proxy for future profitability. We find that high profitability compresses the market beta. In other words, more profitable banks tend to be less correlated with the market return, facing therefore a lower risk premium.

29p quaivattim 04-12-2012 54 2   Download

The purpose of this booklet is to provide an introduction to some of the basic equity option strategies available to option and/or stock investors. Exchange-traded options have many benefits including flexibility, leverage, limited risk for buyers employing these strategies, and contract performance guaranteed by The Options Clearing Corporation (OCC). Options allow you to participate in price movements without committing the large amount of funds needed to buy stock outright.

32p greengrass304 14-09-2012 75 13   Download

Many of the same organizations who provided me with data for the first edition of Stocks for the Long Run willingly updated their data for this second edition. I include Lipper Analytical Services and the Vanguard Group for their mutual funds data, Morgan Stanley for their Capital Market indexes, Smithers & Co. for their market value data and Bloomberg Financial for their graphic representations.

314p vandoan27 10-06-2011 187 54   Download

Trong thực tế, có nhà đầu tư đầu tư vào cổ phiếu có nhà đầu tư vào trái phiếu kho bạc cũng có nhà đầu tư đầu tư cả trái phiếu và cổ phiếu. Các chứng khoán thường mang lại nhiều lợi nhuận hơn là việc đầu tư an toàn vào các trái phiếu kho bạc. Theo lý thuyết Sự khác biệt này được gọi là phần bù rủi ro vốn: đó là phần thu nhập gia tăng mà bạn có thể mong đợi từ mối tương quan giữa lãi suất thị trường và lãi suất phi rủi ro. Phần bù...

14p gau_baloo 25-08-2010 679 92   Download