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Occupational choice and the private equity premium puzzle
Hintermaier, Thomas; Steinberger, Thomas - 2002
This paper suggests a solution to what has become known as the "private equity premium puzzle" (Moskowitz and Vissing-Jorgensen (2002)). We interpret occupational choice as a dynamic portfolio choice problem of a life-cycle investor facing a liquidity constraint and imperfect information about...
Persistent link: https://www.econbiz.de/10009725485
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Occupational choice and the private equity premium puzzle
Hintermaier, Thomas; Steinberger, Thomas - 2002
Persistent link: https://www.econbiz.de/10001712761
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The equity premium and the business cycle : the role of demand and supply shocks
Smith, Peter N.; Sorensen, Steffen; Wickens, Michael R. - In: International journal of finance & economics : IJFE 15 (2010) 2, pp. 134-152
Persistent link: https://www.econbiz.de/10008702360
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Measuring yields : arithmetic, geometric and horizon-consistent average
Dvořák, Michal - In: Prague economic papers : a bimonthly journal of … 25 (2016) 3, pp. 335-353
Persistent link: https://www.econbiz.de/10011535465
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Term structure of risk factor premiums used for pricing asset : emerging vs. developed markets
González Sánchez, Mariano - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 5, pp. 1339-1358
Persistent link: https://www.econbiz.de/10013167085
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A global-optimal portfolio theory beyond the R-σ model
Liua, Yifan; Liang, Shi-Dong - In: Frontiers of economics in China : selected publications … 15 (2020) 1, pp. 124-139
Persistent link: https://www.econbiz.de/10012227506
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Time-varying risk premium in large cross-sectional equity data sets
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 3, pp. 985-1046
Persistent link: https://www.econbiz.de/10011579614
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Illiquidity and factor returns : exploring the intersection between illiquidity/small cap and popular factors
Hsu, Jason C.; Viswanathan, Vivek - In: Journal of investment management : JOIM 16 (2018) 4, pp. 4-16
Persistent link: https://www.econbiz.de/10011961002
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Currency futures' risk premia and risk factors
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020
The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...
Persistent link: https://www.econbiz.de/10012209529
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Predicting returns on asset markets of a small, open economy and the influence of global risks
Haab, David R.; Nitschka, Thomas - 2017
Persistent link: https://www.econbiz.de/10011794321