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Czasopismo
2016 | 12 | nr 1 | 1--11
Tytuł artykułu

A Puzzle of Excessive Equity Risk Premium and the Case of Poland

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the difference between the return on equities and risk-free rate) observed in financial markets cannot be reconciled with theoretical models of financial markets - it is too high ("excessive"). We present the original model from the seminal work of Mehra and Prescott (1985), where this problem has been signaled. The article gives an overview of the main trends in the literature concerning this problem, of the proposed solutions and of the extension to the model. Finally, we consider the problem in the Polish context, estimating the original Mehra-Prescott model using data from the Polish financial market. (original abstract)
Czasopismo
Rocznik
Tom
12
Numer
Strony
1--11
Opis fizyczny
Twórcy
  • Poznań University of Economics, Poland
Bibliografia
  • Barro, R.J. (2005). Rare Events and the Equity Premium. NBER Working Paper No. 11310.
  • Brown, S.J., Goetzmann, W.N., Ross, S.A. (1995). Survival. Journal of Finance, vol. 50, 853-873.
  • Campbell, J.Y., Cochrane, J.H. (1999). By Force of Habit: a Consumption-based Explanation of Aggregate Stock Market Behavior. Journal of Political Economy, vol. 107, 205-251.
  • Campbell, J.Y. (2003). Consumption-based Asset Pricing. In G. M. Constantinides, H. Stulz, (Eds.), Handbook of the Economics of Finance. Amsterdam: North-Holland.
  • Chetty, R. (2006). A New Method of Estimating Risk Aversion. The American Economic Review, vol. 96, 1821-1834.
  • Constantinides, G.M. (1990). Habit Formation: a Resolution of the Equity Premium Puzzle. Journal of Political Economy, vol. 98, 519-543.
  • Dunn, K.B., Singleton, K.J. (1986). Modeling the Term Structure of Interest Rates under Non-separable Utility and Durability of Goods. Journal of Financial Economics, vol. 17, 27-55.
  • Eichenbaum, M.S., Hansen, L.P (1990). Estimating Models with Intertemporal Substitution using Aggregate Time Series Data. Journal of Business and Economic Statistics, 53- 69.
  • Friend, I., Blume, M.E. (1975). The Demand for Risky Assets. American Economic Review, vol. 65, 900- 922.
  • Grossman, S.J., Shiller, R.J. (1981). The Determinants of the Variability of Stock Market Prices. American Economic Review, vol. 71, 222-227.
  • Hansen, L.P., Jaganathan, R. (1991). Implications of Security Market Data for Models of Dynamic Economies. Journal of Political Economy, vol. 99, 225-262.
  • Jermann, U.J. (1998). Asset Pricing in Production Economies. Journal of Monetary Economics, vol. 41, 257-275.
  • Jobert, A., Platania, A., Rogers, L.C.G. (2006). A Bayesian Solution to the Equity Premium Puzzle. Working paper. Statistical Laboratory, University of Cambridge.
  • Kandel, S., Stambaugh, R.F. (1991). Asset Returns and Intertemporal Preferences. Journal of Monetary Economics, vol. 27, 39-71.
  • Lucas, R.E., Jr. (1978). Asset Prices in an Exchange Economy. Econometrica, vol. 46, 1429-1445.
  • Mehra, R., Prescott, E.C. (1985). The Equity Premium: a Puzzle. Journal of Monetary Economics, vol. 15, 145-161.
  • Mehra, R., Prescott, E.C. (1988). The Equity Premium: a Solution? Journal of Monetary Economics, vol. 22, 133-136.
  • Lengwiler, Y. (2004). Microfoundations of Financial Economics. Princeton: Princeton University Press.
  • Ni, S.X. (1993). Habit Formation as a Resolution to the Equity Premium Puzzle: What is in the Data, What is Not. Southern Economic Journal, vol. 59, 749-759.
  • Poterba, J.M., Summers, L.H. (1988). Mean Reversion in Stock Prices: Evidence and Implications. Journal of Financial Economics, vol. 22, 27-59.
  • Radner, R. (1972). Existence of Equilibrium of Plans, Prices, and Price Expectations in Asequence of Markets. Econometrica, vol. 40, 289- 303.
  • Rietz, T.A. (1988). The Equity Premium: a Solution. Journal of Monetary Economics, vol. 22, 117-131.
  • Romer, D. (1996). Advanced Macroeconomics. New York: McGraw-Hill.
  • Rouwenhorst, K.G. (1995). Asset Pricing Implications of Equilibrium Business Cycle Models. In: T.F. Cooley (Ed.), Frontiers of Business Cycle Research (pp. 294-330). Princeton: Princeton University Press.
  • Siegel, J.J. (1998). Stocks for the Long Run. New York: McGraw- Hill.
  • Siegel, J.J. (1999). The Shrinking Equity Premium. Journal of Portfolio Management, vol. 26, 10-17.
  • Sharpe, W.F. (1966). Mutual Fund Performance. Journal of Business, vol. 39, 119-138.
  • Shiller, R.J. (1982). Consumption, Asset Markets, and Macroeconomic Fluctuations. Carnegie-Rochester Conference Series on Public Policy 17, 203-238.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171439894

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