на главную поиск contacts

History and the Equity Risk Premium

Опубликовано на портале: 21-06-2006
Yale ICF Working Paper. 2005.  No. 05-04.
We summarize some of our own past findings and place them in the context of the historical development of the idea of the equity risk premium and its empirical measurement by financial economists. In particular, we focus on how the theory of compensation for investment risk developed in the 20th century in tandem with the empirical analysis of historical investment performance. Finally, we update our study of the historical performance of the New York Stock Exchange over the period 1792 to the present, and include a measure of the U.S. equity risk premium over more than two centuries. This last section is based upon indices constructed from individual stock and dividend data collected over a decade of research at the Yale School of Management, and contributions by other scholars.

Ключевые слова

См. также:
Gregory N. Mankiw, Stephen P. Zeldes
Journal of Financial Economics. 1991.  Vol. 29. No. 1. P. 97-112. 
Martin Lettau, Sydney Ludvigson, Jessica A. Wachter
AFA 2005 Philadelphia Meetings; 14th Annual Utah Winter Finance Conference Paper. 2004. 
Elroy Dimson, Paul Marsh, Mike Staunton
Working Paper Series (SSRN). 2006. 
Andrew B. Abel
American Economic Review. 1990.  Vol. 80. No. 2. P. 38-42. 
Ravi Jaganathan, Ellen R. McGrattan, Anna Scherbina
FRB Quarterly Review. 2000.  Vol. 24. No. 4. P. 3-19. 
John Y. Campbell, John H. Cochrane
Journal of Political Economy. 1999.  Vol. 107. No. 2. P. 205-251. 
Alon Brav, George M. Constantinides, Christopher C. Geczy
Journal of Political Economy. 2002.  Vol. 110. No. 4. P. 793-824.