A Model of the U.K. Equity Premium

The paper analyses the behaviour of the equity premium in the UK. We find that lagged dividend ratios, bill returns and time series factors all play a statistically significant role in explaining the historical variation of the equity premium. Our analysis finds that the conditional variance of the equity premium also changes over time. A time series model which includes GARCH effects leads to a significant improvement in model fit

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Year of publication:	[2006]
Authors:	Cardinale, Mirko
Publisher:	[2006]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (28 p)
Series:	Watson Wyatt Technical Paper ; No. 2002-TR-25
Type of publication:	Book / Working Paper
Other identifiers:	10.2139/ssrn.892763 [DOI]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; G10 - General Financial Markets. General ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012733971