Equity Risk Premium Puzzle: Case of Indian Stock Market

2015 ◽  
Author(s):  
Rajni Kant Rajhans
Keyword(s):  
Stock Market ◽  
Risk Premium ◽  
Equity Risk Premium ◽  
Equity Risk ◽  
Premium Puzzle ◽  
Indian Stock Market

scholarly journals Equity Risk Premium Puzzle: Evidence from Indonesia and Sri Lanka

2019 ◽  
Vol 55 (2) ◽  
pp. 239-248
Author(s):  
Prabath S. Morawakage ◽  
Pulukkuttige D. Nimal ◽  
Duminda Kuruppuarachchi
Keyword(s):  
Sri Lanka ◽  
Risk Premium ◽  
Equity Risk Premium ◽  
Equity Risk ◽  
Premium Puzzle

Another Look at the Equity Risk Premium Puzzle

2015 ◽  
Vol 16 (4) ◽  
pp. 490-501 ◽  
Author(s):  
Günter Bamberg ◽  
Sebastian Heiden
Keyword(s):  
Risk Aversion ◽  
Financial Markets ◽  
Risk Premium ◽  
Equity Premium ◽  
Equity Risk Premium ◽  
Economic Agents ◽  
Equity Risk ◽  
Pareto Tails ◽  
Return Distributions ◽  
Premium Puzzle

AbstractThe model of Mehra and Prescott (1985, J. Econometrics, 22, 145-161) implies that reasonable coefficients of risk-aversion of economic agents cannot explain the equity risk premium generated by financial markets. This discrepancy is hitherto regarded as a major financial puzzle. We propose an alternative model to explain the equity premium. For normally distributed returns and for returns far away from normality (but still light tailed), realistic equity risk premia do not imply puzzlingly high risk aversions. Following our approach, the ‘equity premium puzzle’ does not exist. We also consider fat-tailed return distributions and show that Pareto tails are incompatible with constant relative risk aversion.

Understanding the Equity Risk Premium Puzzle

2008 ◽  
pp. 331-359 ◽  
Author(s):  
George M. Constantinides
Keyword(s):  
Risk Premium ◽  
Equity Risk Premium ◽  
Equity Risk ◽  
Premium Puzzle

WOULD THERE EVER BE CONSENSUS VALUE AND SOURCE OF THE EQUITY RISK PREMIUM? A REVIEW OF THE EXTANT LITERATURE

2006 ◽  
Vol 09 (02) ◽  
pp. 199-215
Author(s):  
OLUWATOBI OYEFESO
Keyword(s):  
Risk Premium ◽  
Equity Premium ◽  
Unresolved Issue ◽  
Equity Risk Premium ◽  
Equity Premium Puzzle ◽  
Market Risk Premium ◽  
Consensus Value ◽  
Equity Risk ◽  
Premium Puzzle ◽  
The Relationship

This paper reviews the extant studies on the equity premium. While paper attempts to make the review comprehensive, describing all of the work in this area is difficult considering the numerous researches that have been done in this area. Essentially, the paper assesses the relationship between the excess return and the equity risk premium and draws attention to their interchangeable use in the finance literature. Existing literature is reviewed around possible theories explaining the equity premium puzzle and followed by the empirical evidence on the theories. Finally, this paper focuses on the problems of attaining consensus value and source of the market risk premium, which makes equity premium puzzle an unresolved issue among the academics and finance practitioners.

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