Handbook of the Equity Risk Premium
Erschienen am 5. Dezember 2007
Buch
Hardcover
634 Seiten
978-0-444-50899-7 (ISBN)
Beschreibung
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.
Rezensionen / Stimmen
"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
Weitere Details
Reihe
Sprache
Englisch
Verlagsort
Oxford
Großbritannien
Verlagsgruppe
Elsevier Science & Technology
Zielgruppe
Für Beruf und Forschung
Cluster flyer; Featured in monthly cluster emails to opt in list; Conferences: Financial Management Association, Allied Social Sciences Association
Produkt-Hinweis
laminiert
Maße
Höhe: 242 mm
Breite: 194 mm
Dicke: 37 mm
Gewicht
1229 gr
ISBN-13
978-0-444-50899-7 (9780444508997)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
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Rajnish Mehra
Handbook of the Equity Risk Premium
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Personen
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.
Herausgeber*in
University of California Santa Barbara
Mitglied des Herausgeberrats
Kenneth Arrow, Joan Kenney Professor of Economics and Professor of Operations Research, Emeritus, Stanford University, Stanford, CA, USA
University of Chicago, Chicago, IL, USA
University of California-San Diego, La Jolla, CA, USA
Harvard Business School, Cambridge, MA, USA
MIT, Sloan School of Management, Cambridge, MA, USA
Mass Inst. of Technology, Cambridge, MA, USA
Graduate School of Business, Stanford, CA, USA
Inhalt
Rajnish Mehra (UCSB), Introduction.
1. Rajnish Mehra (UCSB)and Edward C. Prescott (Arizona State), The Equity Premium: ABCs.
2. John B. Donaldson (Columbia) and Rajnish Mehra (UCSB), Risk Based Explanations of the Equity Premium.
3. Rajnish Mehra (UCSB)and Edward C. Prescott (Arizona State), Non-Risk Based Explanations of the Equity Premium.
4. Andy Abel (Wharton), Equity Premia with Benchmark Levels of Consumption: Closed-Form Results.
5. Ravi Bansal (Duke), Long Run Risks and Risk Compensation in Equity Markets.
6. Nick Barberis (Yale) and Ming Huang (Cornell), The Loss Aversion/Narrow Framing Approach to the Stock Market Pricing and Participation Puzzles.
7. John Cochrane (Chicago), Financial Markets and the Real Economy.
8. George Constantinides (Chicago), Understanding the Equity Risk Premium Puzzle.
9. Gurdip Bakshi (Maryland) and Zhiwu Chen (Yale), Cash Flow Risk and the Equity Premium Puzzle.
10. Jean-Pierre Danthine (Lausanne), John Donaldson (Columbia) and Paolo Siconolfi (Columbia), Distribution Risk and Equity Returns.
11. Elroy Dimson (LBS), Paul Marsh (LBS) and Mike Staunton (LBS), The Worldwide Equity Premium: A Smaller Puzzle.
12. William Goetzmann (Yale) and Roger Ibbotson (Yale), History and the Equity Risk Premium.
13. John Heaton (Chicago) and Debbie Lucas (Northwestern), Can Heterogeneity, Undiversifiable Risk, and Trading Frictions Explain the Equity Premium?
14. Kjetil Storesletten (U Oslo), Chris Telmer (CMU) and Amir Yaron (Wharton), Asset Prices and Intergenerational Risk Sharing: the Role of Idiosyncratic Earnings Shocks.
1. Rajnish Mehra (UCSB)and Edward C. Prescott (Arizona State), The Equity Premium: ABCs.
2. John B. Donaldson (Columbia) and Rajnish Mehra (UCSB), Risk Based Explanations of the Equity Premium.
3. Rajnish Mehra (UCSB)and Edward C. Prescott (Arizona State), Non-Risk Based Explanations of the Equity Premium.
4. Andy Abel (Wharton), Equity Premia with Benchmark Levels of Consumption: Closed-Form Results.
5. Ravi Bansal (Duke), Long Run Risks and Risk Compensation in Equity Markets.
6. Nick Barberis (Yale) and Ming Huang (Cornell), The Loss Aversion/Narrow Framing Approach to the Stock Market Pricing and Participation Puzzles.
7. John Cochrane (Chicago), Financial Markets and the Real Economy.
8. George Constantinides (Chicago), Understanding the Equity Risk Premium Puzzle.
9. Gurdip Bakshi (Maryland) and Zhiwu Chen (Yale), Cash Flow Risk and the Equity Premium Puzzle.
10. Jean-Pierre Danthine (Lausanne), John Donaldson (Columbia) and Paolo Siconolfi (Columbia), Distribution Risk and Equity Returns.
11. Elroy Dimson (LBS), Paul Marsh (LBS) and Mike Staunton (LBS), The Worldwide Equity Premium: A Smaller Puzzle.
12. William Goetzmann (Yale) and Roger Ibbotson (Yale), History and the Equity Risk Premium.
13. John Heaton (Chicago) and Debbie Lucas (Northwestern), Can Heterogeneity, Undiversifiable Risk, and Trading Frictions Explain the Equity Premium?
14. Kjetil Storesletten (U Oslo), Chris Telmer (CMU) and Amir Yaron (Wharton), Asset Prices and Intergenerational Risk Sharing: the Role of Idiosyncratic Earnings Shocks.