Matches in SemOpenAlex for { <https://semopenalex.org/work/W143376670> ?p ?o ?g. }
Showing items 1 to 82 of
82
with 100 items per page.
- W143376670 abstract "The gap between the return on stocks and the return on the risk free assets represented by bonds is named the 'Equity Premium' or 'Equity Risk Premium'. In the history of asset pricing models, one of the most serious problems for the equity premium is that the average equity premium is too large to be explained by standard general equilibrium asset pricing models. Researcher's have tried to use variables such as dividend yield's to explain the gap between stocks and bonds with mixed results. After retrieving around a one percent equity premium with the most standard consumption base asset pricing models or Lucas styled asset pricing model, Mehra and Prescott (1985) first recognised this problem and announced it as a 'Puzzle'. In their analysis they used Lucas's (1978) standard asset pricing model where a representative investor has additive and separable utility functions in the perfect market. Compared to other forms or utility functions, at a certain period, these conventional preferences derived from utility of consumption in previous periods. Also this utility maintains a constance risk aversion parameter, y, over the reasonable consumption boundaries. In this study two approaches are adopted. The first involves the commonly applied dividend yield approach to forecasting the equity premium. The results obtained from using the current and lagged divided yield to try to capture the size and movement in the market risk premium are shown in chapter three. The results are not particularly promising. The remainder of the dissertation is devoted to a more sophisticated model: the consumption capital asset pricing model with habit derived by Campbell and Cochrane (1995) is tested using Australian data. The utility specification separates the temporal choice from state contingent choice and in doing so resolves part of the equity premium puzzle. The model is able to generate an equity premium using consumption data that is collinear with the actual premium, but with a significantly different volatility. The conclusion is that the state and time separable model is only partly able to resolve Mehra and Prescott’s (1985) equity premium puzzle." @default.
- W143376670 created "2016-06-24" @default.
- W143376670 creator A5002991974 @default.
- W143376670 date "2004-01-01" @default.
- W143376670 modified "2023-09-23" @default.
- W143376670 title "An investigation of the equity premium using habit utility and equity returns: Australian evidence" @default.
- W143376670 cites W2087934366 @default.
- W143376670 cites W2089556049 @default.
- W143376670 cites W2314071493 @default.
- W143376670 cites W2570834760 @default.
- W143376670 cites W3049190579 @default.
- W143376670 cites W3121167806 @default.
- W143376670 cites W3122677101 @default.
- W143376670 cites W3123403882 @default.
- W143376670 cites W3123831437 @default.
- W143376670 cites W3125017137 @default.
- W143376670 cites W649511033 @default.
- W143376670 hasPublicationYear "2004" @default.
- W143376670 type Work @default.
- W143376670 sameAs 143376670 @default.
- W143376670 citedByCount "0" @default.
- W143376670 crossrefType "journal-article" @default.
- W143376670 hasAuthorship W143376670A5002991974 @default.
- W143376670 hasConcept C101161028 @default.
- W143376670 hasConcept C10138342 @default.
- W143376670 hasConcept C106159729 @default.
- W143376670 hasConcept C116168712 @default.
- W143376670 hasConcept C124972522 @default.
- W143376670 hasConcept C149782125 @default.
- W143376670 hasConcept C149866677 @default.
- W143376670 hasConcept C151541453 @default.
- W143376670 hasConcept C162324750 @default.
- W143376670 hasConcept C167626555 @default.
- W143376670 hasConcept C17744445 @default.
- W143376670 hasConcept C181236170 @default.
- W143376670 hasConcept C199539241 @default.
- W143376670 hasConcept C199728807 @default.
- W143376670 hasConcept C69738904 @default.
- W143376670 hasConcept C71110296 @default.
- W143376670 hasConceptScore W143376670C101161028 @default.
- W143376670 hasConceptScore W143376670C10138342 @default.
- W143376670 hasConceptScore W143376670C106159729 @default.
- W143376670 hasConceptScore W143376670C116168712 @default.
- W143376670 hasConceptScore W143376670C124972522 @default.
- W143376670 hasConceptScore W143376670C149782125 @default.
- W143376670 hasConceptScore W143376670C149866677 @default.
- W143376670 hasConceptScore W143376670C151541453 @default.
- W143376670 hasConceptScore W143376670C162324750 @default.
- W143376670 hasConceptScore W143376670C167626555 @default.
- W143376670 hasConceptScore W143376670C17744445 @default.
- W143376670 hasConceptScore W143376670C181236170 @default.
- W143376670 hasConceptScore W143376670C199539241 @default.
- W143376670 hasConceptScore W143376670C199728807 @default.
- W143376670 hasConceptScore W143376670C69738904 @default.
- W143376670 hasConceptScore W143376670C71110296 @default.
- W143376670 hasLocation W1433766701 @default.
- W143376670 hasOpenAccess W143376670 @default.
- W143376670 hasPrimaryLocation W1433766701 @default.
- W143376670 hasRelatedWork W128991505 @default.
- W143376670 hasRelatedWork W1570004409 @default.
- W143376670 hasRelatedWork W1593213509 @default.
- W143376670 hasRelatedWork W1827827770 @default.
- W143376670 hasRelatedWork W2007974115 @default.
- W143376670 hasRelatedWork W2023675838 @default.
- W143376670 hasRelatedWork W2034912351 @default.
- W143376670 hasRelatedWork W2100972729 @default.
- W143376670 hasRelatedWork W2170381992 @default.
- W143376670 hasRelatedWork W2254692586 @default.
- W143376670 hasRelatedWork W24494789 @default.
- W143376670 hasRelatedWork W2584899406 @default.
- W143376670 hasRelatedWork W2890706136 @default.
- W143376670 hasRelatedWork W2950395870 @default.
- W143376670 hasRelatedWork W3005904572 @default.
- W143376670 hasRelatedWork W3083412752 @default.
- W143376670 hasRelatedWork W3123322742 @default.
- W143376670 hasRelatedWork W3123553397 @default.
- W143376670 hasRelatedWork W3124522594 @default.
- W143376670 hasRelatedWork W3151742922 @default.
- W143376670 isParatext "false" @default.
- W143376670 isRetracted "false" @default.
- W143376670 magId "143376670" @default.
- W143376670 workType "article" @default.