Handbook of the Equity Risk Premium
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Handbook of the Equity Risk Premium

1st Edition - October 26, 2007

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  • Editor: Rajnish Mehra
  • eBook ISBN: 9780080555850
  • Hardcover ISBN: 9780444508997

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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

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 Sharing: The Role of Idiosyncratic Earnings Shocks

    Discussion: Asset Prices and Intergenerational Risk Sharing: The Role of Idiosyncratic Earnings Shocks

    Index

Product details

  • No. of pages: 634
  • Language: English
  • Copyright: © Elsevier Science 2007
  • Published: October 26, 2007
  • Imprint: Elsevier Science
  • eBook ISBN: 9780080555850
  • Hardcover ISBN: 9780444508997

About the Editor

Rajnish Mehra

Affiliations and Expertise

University of California Santa Barbara

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