Is there an equity premium puzzle in Italy?
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Is there an equity premium puzzle in Italy? a look at asset returns, consumption and financial structure data over the last century by Fabio Panetta

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Published by Banca d"Italia in Rome .
Written in English


Book details:

Edition Notes

Statementby Fabio Panetta and Roberto Violi.
SeriesTemi di discussione -- no.353
ContributionsVioli, Roberto.
The Physical Object
Pagination63p. :
Number of Pages63
ID Numbers
Open LibraryOL18267604M

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  On p for example, the author describes equity premium backwards, ironically since equity premium is purportedly the main subject of the book. Or, rather, the puzzle of it is. For those unfamiliar with the term, “equity premium” means that people generally prefer stocks over bonds.5/5(5). historical U.S. equity premium (the return earned by a risky security in excess of that earned by a relatively risk free U.S. T-bill) is an order of magnitude greater than can be rationalized in the context of the standard neoclassical paradigm of financial economics. This regularity, dubbed “the equity premium puzzle,” has spawned a plethora. Behavioral Explanations of the Equity Premium Puzzle Barberis and Huang explain the puzzle as an outcome of irrational investor behavior. suppose you find, as research indicate, that in the cross ection regression of the CAPM, the coefficients of factor loadings on the FF model are significant predictors of average retun factors. explain. The Equity Premium Puzzle reviews the literature on this phenomenon from the original papers by Mehra and Prescott to the present. The author shows that the equity premium -- the return earned by a broad market index in excess of that earned by a relatively risk-free security -- is not a premium for bearing non-diversifiable by:

  Equity Premium Puzzle - EPP: A phenomenon that describes the anomalously higher historical real returns of stocks over government bonds. The equity premium, which is defined as equity returns Author: Will Kenton. The Short Sample Evidence The value premium puzzle is the empirical observation that the CAPM cannot explain the value premium, the difference between the high average excess returns of value stocks and the low average excess returns of growth stocks. To put it a bit technically, but precisely, the CAPM betas cannot account for the observed variation of average excess returns.   Many of the academics who study stock investing have adopted as a premise the idea that investors are rewarded for taking on risk. This premise is used to explain why stocks pay a higher long-term return that money market accounts. However, the p. Moreover, the puzzle is not so much about the equity premium per se, but the fact that the implied risk-free rate by the model is so high that the equity premium predicted by the model is too small. Recent work focuses on non-representative agent models such as overlapping generation models, with constraints on borrowing, bequest motivations etc.

On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle1 Long Chen2 Pierre Collin-Dufresne3 Robert S. Goldstein4 First Version: July This Version: Ma 1We thank participants at the Skinance Conference in Norway, the Wharton conference on ‘Credit Risk and Asset Pricing’, the BIS workshop on credit risk in Basel, . the worldwide equity premium: a smaller puzzle Abstract: We use a new database of long-run stock, bond, bill, inflation, and currency returns to estimate the equity risk premium for 17 countries and a world index over a year interval. equity premium, (the return earned by a risky security in excess of that earned by a relatively riskfree T-bill), was an order of magnitude greater than could be rationalized in the context of the standard neo-classical paradigms of financial economics. This regularity, dubbed 'the equity premium puzzle'Cited by: The Equity Premium: Why is it a Puzzle? by a negative R 2 for the twenty-five size and book-to-market sorted whether there is evidence of an Equity Premium Puzzle (EPP) in Author: Rajnish Mehra.