Handbook of the Equity Risk Premium
- 1st Edition - April 4, 2013
- Latest edition
- Editors: Rajnish Mehra, Kenneth J. Arrow, G. Constantinides, H.M Markowitz, R.C. Merton, S.C. Myers, P.A. Samuelson, W.F. Sharpe
- Language: English
Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in… Read more
Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.
Cluster flyer; Featured in monthly cluster emails to opt in list; Conferences: Financial Management Association, Allied Social Sciences Association
Dedication
List of Contributors
Preface
Introduction to the Series
Chapter 1: The Equity Premium: ABCs
Chapter 2: Risk-Based Explanations of the Equity Premium
Chapter 3: Non-Risk-based Explanations of the Equity Premium
Chapter 4: Equity Premia with Benchmark Levels of Consumption: Closed-Form Results
Discussion: Equity Premia with Benchmark Levels of Consumption: Closed-Form Results
Chapter 6: Long-Run Risks and Risk Compensation in Equity Markets
Discussion: Long-Run Risks and Risk Compensation in Equity Markets
Chapter 7: The Loss Aversion/Narrow Framing Approach to the Equity Premium Puzzle
Discussion: The Loss Aversion/Narrow Framing Approach to the Equity Premium Puzzle
Discussion: The Loss Aversion/Narrow Framing Approach to the Equity Premium Puzzle
Chapter 8: Financial Markets and the Real Economy
Discussion: Financial Markets and the Real Economy
Chapter 9: Understanding the Equity Risk Premium Puzzle
Discussion: Understanding the Equity Risk Premium Puzzle
Cash Flow Risk, Discounting Risk, and the Equity Premium Puzzle
Discussion: Cash Flow Risk, Discounting Risk, and the Equity Premium Puzzle
Discussion: Cash Flow Risk, Discounting Risk, and the Equity Premium Puzzle
Chapter 10: Distribution Risk and Equity Returns
Discussion: Distribution Risk and Equity Returns
Chapter 11: The Worldwide Equity Premium: A Smaller Puzzle
Chapter 12: History and the Equity Risk Premium
Discussion: “The Worldwide Equity Premium: A Smaller Puzzle” and “History and the Equity Risk Premium”
Chapter 13: Can Heterogeneity, Undiversified Risk, and Trading Frictions Solve the Equity Premium Puzzle?
Discussion: Can Heterogeneity, Undiversified Risk, and Trading Frictions Solve the Equity Premium Puzzle?
Chapter 14: Asset Prices and Intergenerational Risk Sharing: The Role of Idiosyncratic Earnings Shocks
Discussion: Asset Prices and Intergenerational Risk Sharing: The Role of Idiosyncratic Earnings Shocks
Index
"How large is the equity risk premium? Is it consistent with macroeconomic fluctuations? And what are the implications for investors? These are among the most important questions in finance. While the last word certainly hasn't been written, Mehra's "Handbook of the Equity Risk Premium"provides a lucid framework for addressing these questions, reviews the empirical results, and offers a comprehensive view of current thinking about ways to approach the open issues."—Bob Litterman, Goldman Sachs Asset Management
“Mehra and Prescott's equity premium paper was a true classic, stimulating a mountain of interesting research. This valuable book contains some of the most interesting responses, plus an introduction and a new paper by the original authors. This is financial economics at its best.” —Robert E. Lucas Jr., University of Chicago
“The puzzle of the equity risk premium is one of the deepest conundrums of financial economics. This masterful collection put together by its discoverer lucidly displays its central position in modern finance.” —Stephen A. Ross, Sloan School, MIT
"Understanding how to interpret and capitalize on the large observed equity premium is a central task of macroeconomics and finance. This book is full of good new ideas about risk taking behavior and finance markets."—Thomas Sargent, NYU and the Hoover Institution, Stanford
“Mehra and Prescott's equity premium paper was a true classic, stimulating a mountain of interesting research. This valuable book contains some of the most interesting responses, plus an introduction and a new paper by the original authors. This is financial economics at its best.” —Robert E. Lucas Jr., University of Chicago
“The puzzle of the equity risk premium is one of the deepest conundrums of financial economics. This masterful collection put together by its discoverer lucidly displays its central position in modern finance.” —Stephen A. Ross, Sloan School, MIT
"Understanding how to interpret and capitalize on the large observed equity premium is a central task of macroeconomics and finance. This book is full of good new ideas about risk taking behavior and finance markets."—Thomas Sargent, NYU and the Hoover Institution, Stanford
- Edition: 1
- Latest edition
- Published: April 4, 2013
- Language: English
RM
Rajnish Mehra
Affiliations and expertise
University of California Santa BarbaraKA
Kenneth J. Arrow
Kenneth Arrow is the Joan Kenney Professor of Economics and Professor of Operations Research, emeritus; a CHP/PCOR fellow; and an FSI senior fellow by courtesy. He is the joint winner of the Nobel Memorial Prize in Economics with John Hicks in 1972. To date, he is the youngest person to have received this award, at 51. In economics, he is a figure in post-World War II neo-classical economic theory. Many of his former graduate students have gone on to win the Nobel Memorial Prize themselves. His most significant works are his contributions to social choice theory, notably "Arrow's impossibility theorem", and his work on general equilibrium analysis. He has also provided foundational work in many other areas of economics, including endogenous growth theory and the economics of information. He has been co-editor of the Handbooks in Economics series since the mid-1980s.
Affiliations and expertise
Kenneth Arrow, Joan Kenney Professor of Economics and Professor of Operations Research, Emeritus, Stanford University, Stanford, CA, USAGC
G. Constantinides
Affiliations and expertise
University of Chicago, Chicago, IL, USAHM
H.M Markowitz
Affiliations and expertise
University of California-San Diego, La Jolla, CA, USARM
R.C. Merton
Affiliations and expertise
Harvard Business School, Cambridge, MA, USASM
S.C. Myers
Affiliations and expertise
MIT, Sloan School of Management, Cambridge, MA, USAPS
P.A. Samuelson
Affiliations and expertise
Mass Inst. of Technology, Cambridge, MA, USAWS
W.F. Sharpe
Affiliations and expertise
Graduate School of Business, Stanford, CA, USARead Handbook of the Equity Risk Premium on ScienceDirect