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Year of publication
Subject
All
Equity premium puzzle 702 Equity-Premium-Puzzle 702 Risikoprämie 394 Risk premium 394 Theorie 385 Theory 385 CAPM 324 Capital income 173 Kapitaleinkommen 173 Risikoaversion 108 Risk aversion 108 Portfolio selection 105 Portfolio-Management 105 Börsenkurs 98 Share price 98 Estimation 82 Risiko 82 Risk 82 Schätzung 82 Anlageverhalten 54 Behavioural finance 52 Volatility 51 Volatilität 51 Exchange rate risk 50 Währungsrisiko 50 Yield curve 50 Zinsstruktur 50 USA 49 United States 48 Welt 46 World 46 Currency derivative 45 Schock 45 Shock 45 Währungsderivat 45 Financial market 42 Finanzmarkt 42 Exchange rate 38 Wechselkurs 38 Erwartungsbildung 36
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Online availability
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Free 334 Undetermined 118 CC license 1
Type of publication
All
Book / Working Paper 419 Article 283
Type of publication (narrower categories)
All
Article in journal 251 Aufsatz in Zeitschrift 251 Graue Literatur 211 Non-commercial literature 211 Arbeitspapier 193 Working Paper 193 Hochschulschrift 28 Aufsatz im Buch 26 Book section 26 Thesis 23 Collection of articles written by one author 17 Sammlung 17 Collection of articles of several authors 4 Sammelwerk 4 Aufsatzsammlung 3 Conference paper 1 Konferenzbeitrag 1 Konferenzschrift 1 Lehrbuch 1 Mikroform 1 Systematic review 1 Textbook 1 Übersichtsarbeit 1
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Language
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English 692 German 6 French 2 Italian 2
Author
All
Aase, Knut K. 22 Zhang, Lu 14 Wachter, Jessica 13 Mehra, Rajnish 12 Tsai, Jerry 11 Vries, Casper G. de 10 Fellner, Gerlinde 9 Hens, Thorsten 9 Sutter, Matthias 9 Costa, Carlos E. da 8 Graham, John R. 8 Harvey, Campbell R. 8 Matos, Paulo 8 Bai, Hang 7 Han, Bing 7 Issler, João Victor 7 Bakshi, Gurdip S. 6 Breugem, Matthijs 6 Buss, Adrian 6 Croce, Mariano M. 6 Gabaix, Xavier 6 Guvenen, Fatih 6 Havránek, Tomáš 6 Hirshleifer, David 6 Liu, Yang 6 Novák, Jiri 6 Peñaranda, Francisco 6 Sentana, Enrique 6 Siddiqi, Hammad 6 Söderlind, Paul 6 Verdelhan, Adrien 6 Wang, Tracy Yue 6 Zigraiova, Diana 6 Bernoth, Kerstin 5 Chu, Yongqiang 5 Colacito, Riccardo 5 Collard, Fabrice 5 De Groot, Oliver 5 Farhi, Emmanuel 5 Gollier, Christian 5
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Institution
All
National Bureau of Economic Research 28 Escola de Pós-Graduação em Economia <Rio de Janeiro> 3 Centre for Quantitative Economics & Computing 1 Eberhard Karls Universität Tübingen 1 Erasmus Research Institute of Management 1 University of Strathclyde / Department of Economics 1 Universität Ulm 1
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Published in...
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Working paper / National Bureau of Economic Research, Inc. 32 NBER working paper series 28 NBER Working Paper 21 Discussion paper / Department of Business and Management Science 15 Handbook of the equity risk premium 14 Finance research letters 11 Journal of economic dynamics & control 11 Journal of financial economics 11 Discussion paper / Centre for Economic Policy Research 10 Journal of monetary economics 9 The review of financial studies 9 International review of economics & finance : IREF 8 Journal of international money and finance 7 Discussion papers / CEPR 6 Economics letters 6 Ensaios econômicos 6 Finance and economics discussion series 6 Journal of banking & finance 6 Fisher College of Business working paper series 5 Journal of money, credit and banking : JMCB 5 Research paper series / Swiss Finance Institute 5 Working paper 5 Working papers / Rodney L. White Center for Financial Research 5 Applied economics 4 CESifo working papers 4 Economic modelling 4 Journal of economic theory 4 Journal of empirical finance 4 Journal of political economy 4 NHH Dept. of Business and Management Science Discussion Paper 4 Quantitative economics : QE ; journal of the Econometric Society 4 Review of economic dynamics 4 The journal of finance : the journal of the American Finance Association 4 Annals of finance 3 Annals of financial economics 3 Applied economics letters 3 Applied financial economics 3 Discussion paper / Tinbergen Institute 3 Discussion papers / Deutsches Institut für Wirtschaftsforschung 3 ERID working paper 3
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Source
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ECONIS (ZBW) 702
Showing 1 - 50 of 702
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Give me a break : what does the equity premium compensate for?
Perras, Patrizia Julia; Wagner, Niklas F. - In: Journal of international financial markets, … 99 (2025), pp. 1-15
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Does the interest parity puzzle hold for Central and Eastern European economies?
Da̜browski, Marek A.; Janus, Jakub - In: Open economies review 35 (2024) 3, pp. 421-456
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The return on everything and the business cycle in production economies
Fehrle, Daniel; Heiberger, Christopher - In: Economic modelling 136 (2024), pp. 1-21
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Speculative and non-speculative equity premia
Ghazi, Soroush; Schneider, Mark; Dorobiala, Zachary - In: Economics letters 236 (2024), pp. 1-3
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Essays on asset pricing, investor preferences, and derivative markets
Koëter, Joren - 2021
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Disruptive Dependency Theory and the Equity Premium Puzzle : A New Answer to the Equity Premium Puzzle
Manikutty, Anand - 2023
The equity premium puzzle, properly termed the American Equity Premium Puzzle, is one of the most significant empirical anomalies in finance, as it pertains to the observation that the expected return on equities has been consistently higher than that of bonds for many years, and that this...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014355830
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Solution to the Equity Premium Puzzle
Aras, Atilla - 2023
This study provides a solution of the equity premium puzzle. Questioning the validity of the Arrow-Pratt measure of relative risk aversion for detecting the risk behavior of investors under all conditions, a new tool, that is, the sufficiency factor of the model was developed to analyze the risk...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014265470
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A Stochastic Gordon-Shapiro Formula and the Equity Premium Puzzle Reconsidered
Kruschwitz, Lutz; Loeffler, Andreas - 2023
The equity premium puzzle describes the enigma between the theoretical model of consumption behavior and its empirical calibration. We believe, this puzzle is based on a logical inconsistency in which deterministic and stochastic quantities are not precisely separated: The empirical literature...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014350175
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Professor Efthymios (Mike) Tsionas' asset pricing model groundbreaking contributions
Arakelian, Veni - In: Tourism economics : the business and finance of tourism … 31 (2025) 1, pp. 24-31
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191921
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Asset Pricing with Fading Memory
Nagel, Stefan; Xu, Zhengyang - 2022
Building on evidence that lifetime experiences shape individuals' macroeconomic expectations, we study asset prices in an economy in which a representative agent learns with fading memory about unconditional mean endowment growth. With IID fundamentals, constant risk aversion, and memory decay...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013324686
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The term structure of currency futures' risk premia
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 5-38
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Two Risk Factors in the Long Run : A Key to Decipher Asset Pricing Puzzles
Li, Nan - 2022
We propose a consumption-based capital asset pricing model (CCAPM) with both aggregate and investment-specific technological changes to identify two risk factors that drive the consumption dynamics and asset prices in the long run. These two long-run risk factors capture the two types of...
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A linkage between the financial and the real economy
Rey, Sebastián Alejandro - In: Annals of financial economics 17 (2022) 3, pp. 1-33
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Equity risk premium predictability from cross-sectoral downturns
Faias, José Afonso; Arismendi Zambrano, Juan Carlos - In: Review of asset pricing studies : RAPS 12 (2022) 3, pp. 808-842
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Valuation risk revalued
De Groot, Oliver; Richter, Alexander W.; Throckmorton, … - In: Quantitative economics : QE ; journal of the … 13 (2022) 2, pp. 723-759
This paper shows the success of valuation risk-time‐preference shocks in Epstein-Zin utility-in resolving asset pricing puzzles rests sensitively on the way it is introduced. The specification used in the literature is at odds with several desirable properties of recursive preferences because...
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Identifying S-Shaped Consumption Utility and Solving the Equity Premium Puzzle
Ju, Gaosheng; Li, Qi - 2022
We identify the S-Shaped consumption utility by reconciling consumption decisions with asset returns. Different from the concave-shaped utility, the S-shaped consumption utility predicts a possible negative correlation between low quantiles of consumption growth and asset returns, for which we...
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Searching for the Equity Premium
Bai, Hang; Zhang, Lu - 2022
Labor market frictions are crucial for the equity premium in production economies. A dynamic stochastic general equilibrium model with recursive utility, search frictions, and capital accumulation yields a high equity premium of 4.26% per annum, a stock market volatility of 11.8%, and a low...
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Long Run Risk Model and Equity Premium Puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - In: Southeast Asian journal of economics 10 (2022) 1, pp. 133-167
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Regret and asset pricing
Goossens, Jorgo - 2022
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On the effects of pessimism toward pollution-driven disasters on equity premiums
Suzuki, Shiba; Yamagami, Hiroaki - In: Economic theory bulletin 12 (2024) 2, pp. 167-181
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Does equity premium puzzle exist in China : an analysis with the robust inference method
Mao, Jie; Yan, Qianhui; Yao, Xin - In: Applied economics 56 (2024) 59, pp. 8860-8866
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Stable paretian distribution, return generating processes and habit formation : the implication for equity premium puzzle
Fu, Qi; So, Jacky C.; Li, Xiaotong - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-18
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Risk-free rate puzzle : an explanation of the heterogeneity of consumer risk attitudes under China's income gap
Zhao, Yang; Yao, Yuan; Wang, Mingtao - In: International review of economics & finance : IREF 89 (2024) 2, pp. 940-960
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The equity premium puzzle and two assets : GMM estimation
Chung, Chune Young; Fard, Amirhossein - In: Applied economics letters 31 (2024) 13, pp. 1188-1194
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The mortgage-cash premium puzzle
Reher, Michael; Valkanov, Rossen I. - In: The journal of finance : the journal of the American … 79 (2024) 5, pp. 3149-3201
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Which subjective expectations explain asset prices?
De la O, Ricardo; Myers, Sean - In: The review of financial studies 37 (2024) 6, pp. 1929-1978
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A Stochastic Gordon-Shapiro Formula and the Equity Premium Puzzle Reconsidered
Kruschwitz, Lutz; Loeffler, Andreas - 2021
Share prices fluctuate far more than dividends. In contemporary lit- erature, this excess volatility is usually discussed involving the Camp- bell-Shiller present value identity. In our view, it is more appropriate to model future dividends and prices explicitly as random variables. We refer to...
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Solving the Equity Premium Puzzle by Unifying Economics and Finance
Vanoverberghe, Didier - 2021
The Equity risk-premium and volatility puzzle - is it possible to have a high equity premium and a low risk-free rate with a plausible risk aversion- have received a great deal of attention but beyond this question, the fundamental issues of that puzzle are the followings: what are the economic...
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Emerging Market Currency Excess Returns
Gilmore, Stephen W.; Hayashi, Fumio - 2021
We discuss the foreign currency forward premium puzzle in the context of 20 internationally tradable emerging market currencies. We find that since the late 1990s the broad basket of emerging market currencies has provided significant equity-like excess returns against a number of major market...
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Can COVID-19 Solve The Equity Premium Puzzle?
Chibane, Messaoud - 2021
We propose a new approach for estimating rare disaster event models where we only use U.S. national consumption data as an alternative to the ubiquitous Barro and Urs´ua’s (2008, 2012) multi-country data set. We find that the 2020 COVID crisis unambiguously reveals the presence and...
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The Resource-Constrained Brain : A New Perspective on the Equity Premium Puzzle
Siddiqi, Hammad; Murphy, Austin - 2021
Findings from brain sciences show that the brain must first optimize on its own internal resources before seeking to optimize on the resources available in the external world. We show that this modest change is perspective, from resource-constrained humans to resource-constrained brains,...
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The Mortgage-Cash Premium Puzzle
Reher, Michael; Valkanov, Rossen I. - 2021
We document that mortgaged homebuyers pay an 11% premium relative to all-cash buyers in residential real estate transactions. This premium far exceeds the 3\% premium implied by a realistically calibrated model of rational home sellers with transaction frictions. We obtain similar results from...
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Can Currency Risk Be a Source of Risk Premium in Explaining Forward Premium Puzzle? Evidence from Asia-Pacific Forward Exchange Markets
Tai, Chu-sheng - 2021
This paper studies time-varying price of risk and volatility in Asia-Pacific forward exchange markets in an attempt to see whether currency risk can be a potential source of risk premium to explain forward premium puzzle. To derive a measure of the risk premium, a conditional version of...
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Mortgage Payments and Equity Premium Puzzle
Sing, Tien Foo; Zou, Yiheng - 2021
The equity premium puzzle argues that equity risk alone is insufficient to justify observed equity premiums with a reasonable value of risk aversion. Mortgages account for a substantial part of household debt, it is thus necessary to take the mortgage payment obligations into consideration when...
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Long run risk model and equity premium puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021
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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
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Alternative views on the link between risk aversion and diminishing marginal utility of wealt
Menzl, Vojtěch - In: European financial and accounting journal : EFAJ 16 (2021) 2, pp. 51-72
Although the link between risk aversion and diminishing marginal utility of wealth is academically well established, theoretical discussions concerning its empirical validity remain. The presented, review-type paper aims to briefly examine theoretical roots responsible for the different views on...
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The Forward Premium Puzzle Revisited
Meredith, Guy; Ma, Yue - 2021
The forward premium is a notoriously poor predictor of exchange rate movements. This failure must reflect deviations from risk neutrality and/or rational expectations. In addition, a mechanism is needed that generates the appropriate correlation between the forward premium and shocks arising...
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Myopic Loss Aversion and the Equity Premium Puzzle
Benartzi, Shlomo; Thaler, Richard H. - 2021
The equity premium puzzle, first documented by Mehra and Prescott, refers to the empirical fact that stocks have greatly outperformed bonds over the last century. As Mehra and Prescott point out, it appears difficult to explain the magnitude of the equity premium within the usual economics...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013311880
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Expected return : expected loss approach to optimal portfolio investment
Blavatskyy, Pavlo - In: Theory and decision : an international journal for … 94 (2023) 1, pp. 63-81
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Household heterogeneity in macroeconomic models : a historical perspective
Cherrier, Béatrice; Duarte, Pedro Garcia; Saïdi, Aurélien - In: European economic review : EER 158 (2023), pp. 1-16
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Identification of beliefs in the presence of disaster risk and misspecification
Chaudhuri, Saraswata; Renault, Eric; Wahlstrom, Oscar - In: Essays in honor of Joon Y. Park : econometric …, (pp. 261-290). 2023
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The resource-constrained brain : a new perspective on the equity premium puzzle
Siddiqi, Hammad; Murphy, Austin - In: The journal of behavioral finance : a publication of … 24 (2023) 3, pp. 315-332
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Underdiversification puzzle, volatility puzzle and equity premium puzzle : a common solution
Ardalan, Kavous - In: Studies in economics and finance 40 (2023) 2, pp. 249-265
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Can COVID-19 solve the equity premium puzzle?
Chibane, Messaoud - In: Applied economics 55 (2023) 6, pp. 603-616
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013494443
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Extrapolative asset pricing
Li, Kai; Liu, Jun - In: Journal of economic theory 210 (2023), pp. 1-47
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An investment-based explanation of currency excess returns
Jamali, Ibrahim; Yamani, Ehab; Smallwood, Aaron D. - In: Journal of international money and finance 133 (2023), pp. 1-18
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Emerging Market Currency Excess Returns
Gilmore, Stephen W.; Hayashi, Fumio - 2020
This is a descriptive paper on the excess return from 20 internationally tradable emerging market (EM) currencies. It has two contributions. First, we document stylized facts about EM currencies. For the period starting in the second half of the 1990s and including the two major crises (the 1997...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014212637
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Asset Pricing Puzzles and Price-Impact
Chen, Xiao - 2020
We solve in closed-form a continuous-time Nash equilibrium model in which a finite number of exponential investors continuously consume and trade strategically with price-impact. Compared to the analogous Pareto-efficient equilibrium model, price-impact has an amplification effect on...
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The Equity Premium, Long-Run Risks to R-Star, and Asymmetric Optimal Monetary Policy
Diercks, Anthony M. - 2020
The key insight from this analysis is that monetary policy should be responding more to negative shocks than positive shocks: optimal monetary policy is asymmetric. Moreover, if we take the stance that asset prices indicate a high cost of exposure to long-run risks, this has very interesting...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012848255
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