Showing 1 - 10 of 308
Persistent link: https://www.econbiz.de/10003765188
Persistent link: https://www.econbiz.de/10003765195
Persistent link: https://www.econbiz.de/10003765197
Persistent link: https://www.econbiz.de/10012659812
The results suggest that the beta systematic risk measure calculated with the well-known single index market model … explained by market forces — the true beta is moving randomly while the OLS beta is a point estimate which is invariant over the … sample period. The OLS residual variance is biased upward by the beta coefficient's rigidity. Furthermore, it is expected …
Persistent link: https://www.econbiz.de/10012905912
Persistent link: https://www.econbiz.de/10003898661
Persistent link: https://www.econbiz.de/10011845875
In this paper, we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a more appropriate distribution for the return data. We demonstrate that the high-risk aversion value observed by Mehra...
Persistent link: https://www.econbiz.de/10012842459
Persistent link: https://www.econbiz.de/10012549795
Persistent link: https://www.econbiz.de/10003765191