Handbook of the Equity Risk Premium

Erscheinungsjahr 2007
ISBN: 978-0-444-50899-7
Verlag: Elsevier Science & Technology

Buch, Englisch, 634 Seiten, Format (B × H): 191 mm x 235 mm, Gewicht: 1240 g

Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.

Zielgruppe

Cluster flyer; Featured in monthly cluster emails to opt in list; Conferences: Financial Management Association, Allied Social Sciences Association

Autoren/Hrsg.

Mehra, Rajnish

Weitere Mitwirkende

Arrow, Kenneth J.

Constantinides, G.

Markowitz, H.M

Merton, R.C.

Myers, S.C.

Samuelson, P.A.

Sharpe, W.F.

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Börse, Rohstoffe
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

Rajnish Mehra (UCSB), Introduction.
1. Rajnish Mehra (UCSB)and Edward C. Prescott (Arizona State), The Equity Premium: ABCs.
2. John B. Donaldson (Columbia) and Rajnish Mehra (UCSB), Risk Based Explanations of the Equity Premium.
3. Rajnish Mehra (UCSB)and Edward C. Prescott (Arizona State), Non-Risk Based Explanations of the Equity Premium.
4. Andy Abel (Wharton), Equity Premia with Benchmark Levels of Consumption: Closed-Form Results.
5. Ravi Bansal (Duke), Long Run Risks and Risk Compensation in Equity Markets.
6. Nick Barberis (Yale) and Ming Huang (Cornell), The Loss Aversion/Narrow Framing Approach to the Stock Market Pricing and Participation Puzzles.
7. John Cochrane (Chicago), Financial Markets and the Real Economy.
8. George Constantinides (Chicago), Understanding the Equity Risk Premium Puzzle.
9. Gurdip Bakshi (Maryland) and Zhiwu Chen (Yale), Cash Flow Risk and the Equity Premium Puzzle.
10. Jean-Pierre Danthine (Lausanne), John Donaldson (Columbia) and Paolo Siconolfi (Columbia), Distribution Risk and Equity Returns.
11. Elroy Dimson (LBS), Paul Marsh (LBS) and Mike Staunton (LBS), The Worldwide Equity Premium: A Smaller Puzzle.
12. William Goetzmann (Yale) and Roger Ibbotson (Yale), History and the Equity Risk Premium.
13. John Heaton (Chicago) and Debbie Lucas (Northwestern), Can Heterogeneity, Undiversifiable Risk, and Trading Frictions Explain the Equity Premium?
14. Kjetil Storesletten (U Oslo), Chris Telmer (CMU) and Amir Yaron (Wharton), Asset Prices and Intergenerational Risk Sharing: the Role of Idiosyncratic Earnings Shocks.

Über Autor(innen)

Arrow, Kenneth J.
Kenneth Arrow is the Joan Kenney Professor of Economics and Professor of Operations Research, emeritus; a CHP/PCOR fellow; and an FSI senior fellow by courtesy. He is the joint winner of the Nobel Memorial Prize in Economics with John Hicks in 1972. To date, he is the youngest person to have received this award, at 51. In economics, he is a figure in post-World War II neo-classical economic theory. Many of his former graduate students have gone on to win the Nobel Memorial Prize themselves. His most significant works are his contributions to social choice theory, notably "Arrow's impossibility theorem", and his work on general equilibrium analysis. He has also provided foundational work in many other areas of economics, including endogenous growth theory and the economics of information. He has been co-editor of the Handbooks in Economics series since the mid-1980s.