Handbook of the Equity Risk Premium

1st Edition

Editors: Rajnish Mehra
Hardcover ISBN: 9780444508997
eBook ISBN: 9780080555850
Imprint: Elsevier Science
Published Date: 26th October 2007
Page Count: 634
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Table of Contents

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 Sh


Description

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.

Readership

Cluster flyer; Featured in monthly cluster emails to opt in list; Conferences: Financial Management Association, Allied Social Sciences Association


Details

No. of pages:
634
Language:
English
Copyright:
© Elsevier Science 2008
Published:
Imprint:
Elsevier Science
eBook ISBN:
9780080555850
Hardcover ISBN:
9780444508997

Reviews

"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


About the Editors

Rajnish Mehra Editor

Affiliations and Expertise

University of California Santa Barbara