CAPM-anomalies: quantitative puzzles
Sign Up to like & getrecommendations! Published in 2018 at "Economic Theory"
DOI: 10.1007/s00199-018-1137-5
Abstract: The stochastic discount factor is a crucial determinant of the equity premium as well as the cross-sectional distribution of stock returns. This gives rise to the idea that there is a tight link between the… read more here.
Keywords: cross sectional; asset pricing; quantitative puzzles; equity premium ... See more keywords
Equity premium puzzle — Evidence from Poland
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DOI: 10.1016/j.jbef.2020.100398
Abstract: Abstract The paper investigates the equity premium puzzle on Warsaw Stock Exchange (WSE). The dataset we use is based on a detailed survey conducted among Polish individual investors, which enabled us to develop an investor’s… read more here.
Keywords: premium puzzle; evidence; equity premium;
Does the equity premium puzzle persist during financial crisis? The case of the French equity market
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2015.02.018
Abstract: This paper examines the effects of the financial crisis that began in 2008 on the equity premium of 6 French sector indices. Since the systematic risk coefficient beta remains the most common explanatory element of… read more here.
Keywords: equity; financial crisis; sector indices; equity premium ... See more keywords
Investor's Selective Deviation on High Equity Premium: An Empirical Study of the Listed Companies in Bohai Coast Region
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Coastal Research"
DOI: 10.2112/si94-195.1
Abstract: ABSTRACT Liu X.-F.; Li W.-R., 2019. Investor's selective deviation on high equity premium: An empirical study of the listed companies in Bohai coast region. In: Gong, D.; Zhu H., and Liu R. (eds.), Selected Topics… read more here.
Keywords: selective deviation; equity premium; high equity;