Equity Risk Premium

DOI10.1080/10920277.2004.10596128MaRDI QIDQ5716032zbMATH OpenOpenAlexFDO

Authors Richard A. Derrig, Elisha D. Orr

Publication date 6 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2004.10596128

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• WOULD THERE EVER BE CONSENSUS VALUE AND SOURCE OF THE EQUITY RISK PREMIUM? A REVIEW OF THE EXTANT LITERATURE
• Inferring the Forward Looking Equity Risk Premium from Derivative Prices
• The interaction between the equity premium and the risk-free rate
• The expected real return to equity
• Estimating the cost of capital through time: An analysis of the sources of error

Cites work

• scientific article; zbMATH DE number 52652 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
• Myopic Loss Aversion and the Equity Premium Puzzle
• On the volatility of stock prices: an exercise in quantitative theory
• Pensions and Capital Structure
• Prospect theory and asset prices
• Prospect Theory: An Analysis of Decision under Risk

Cited in

(3)

• The expected real return to equity
• WOULD THERE EVER BE CONSENSUS VALUE AND SOURCE OF THE EQUITY RISK PREMIUM? A REVIEW OF THE EXTANT LITERATURE
• Managing the invisible: identifying value-maximizing combinations of risk and capital

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