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Showing 1 to 8 of 8 for “"equity premium puzzle"”.
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Essays on the Equity Premium Puzzle
<p>The equity premium puzzle emanates from the inability of the theoretical models to explain the empirically observed high equity premium (when the average stock returns so much higher than the average bond returns). The puzzle is that in order to reconcile the much higher return on stock compared …
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An investigation of the equity premium using habit utility and equity returns: Australian evidence
… 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 …
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Examining financial puzzles from an evolutionary perspective
In this thesis, we examine some puzzles in finance from an evolutionary perspective. We first provide a literature review of evolutionary psychology, and discuss three main findings; the frequentist hypothesis, applications from risk-sensitive optimal foraging theory, and the cheater detection …
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Three Essays on Money and Asset Pricing
… tests show that there exists a risk-free rate puzzle but not the equity premium puzzle in Korea during the period of 1991.1q-2006.1. In the third paper, I estimate the welfare cost of inflation in Korea. Depending on the estimation methods and periods, the welfare cost from 10 percent annual …
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Essays on statistical economics with applications to financial market instability, limit distribution of loss aversion, and harmonic probability weighting functions
… asset pricing model (B-CCAPM) and resolve the equity premium puzzle. Our theory predicts: (1) stochastic dominance of good states in the B-CCAPM Markov matrix induce excess volatility; and (2) a countercyclical fourfold pattern of risk attitudes. The second essay (Chapter III) introduces a …
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Redefining risk: an investigation into the role of sequencing
Mehra and Prescott's (1985) equity premium puzzle has stirred continued debate on just why the average return on equity has been so high relative to the risk-free rate. Recent work by Backus, Gregory, and Zin (1989), Knez and Snow (1992), and Trainor (1992) have also documented a liquidity premium …
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The determinants of the risk premium required by Italian private equity funds.
… to identify the determinants of the ex-ante risk premium required by Italian private equity funds (PEFs) when valuing privately-held target companies. In theory, perceived risk is a key driver of expected returns and anticipated value, but: ¿Although PE (private equity) has experienced rapid …
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Essays in Asset Pricing
… state variable. The model can produce a high equity risk premium with a low, stable and wealth-insensitive relative risk aversion if the utility curvature is mildly countercyclical (i.e., if the agents are mildly "moody") and consumption is sufficiently smaller than a predetermined benchmark …