Handbook of the equity risk premium:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Amsterdam [u.a.]
Elsevier
2008
|
| Edition: | 1. ed. |
| Series: | Handbooks in finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIII, 609 S. graph. Darst. |
| ISBN: | 0444508996 9780444508997 |
Staff View
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| 245 | 1 | 0 | |a Handbook of the equity risk premium |c by Rajnish Mehra |
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Record in the Search Index
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| adam_text | Contents
List of Contributors xvii
Preface xix
Introduction to the Series xxiii
1 The Equity Premium: ABCs 1
Rajnish Mehra tCCSB) and Edward C. Prescott (Arizona Slate)
1. Introduction 2
1.1. An Important Preliminary Issue 2
1.2. Data Sources 3
1.3. Estimates of the Equity Premium 6
1.4. Variation in the Equity Premium Over Time 9
2. Is the Equity Premium Due to a Premium for Bearing Non-Diversifiable Risk? 11
2.1. Standard Preferences 14
References 25
Appendix A 29
Appendix B 29
Appendix C 35
Appendix D 35
2 Risk-Based Explanations of the Equity Premium 37
John B. Donaldson (Columbia) and Rajnish Mehra (UCSB)
Introduction 39
1. Alternative Preference Structures 41
1.1. Preliminaries 41
1.2. Coincidence of Risk and Time Preferences in CRRA utility 44
1.3. Separating Risk and Time Preferences: Epstein-Zin and others 46
1.4. Variation in the CRRA and EIS 52
vii
viii Contents
1.5. Habit Formation 55
1.6. Behavioral Models 61
1.7. Beyond One Good and a Representative Agent 71
2. Production Economies 78
3. Disaster Events and Survivorship Bias 81
4. Market Incompleteness and Trading Frictions 86
4.1. Restricted Participation 86
5. Model Uncertainty 91
6. Concluding Comments 93
References 94
Non-Risk-based Explanations of the Equity Premium 101
Rajnish Mehra (UCSB) and Edward C. Prescott (Arizona State)
Introduction 102
1. The Inappropriateness of Using T-Bills as a Proxy for the Intertemporal
Marginal Rate of Substitution of Consumption 102
1.1. Liquidity 104
1.2. Transaction Balances 104
2. The Effect of Government Regulations and Rules 106
3. Taxes 107
4. Borrowing Constraints 110
5. The Impact of Agent Heterogeneity and Intermediation Costs 113
6. Concluding Comments 114
References 114
4 Equity Premia with Benchmark Levels of Consumption:
Closed-Form Results 117
Andrew B. Abel (Wharton)
1. Preferences 120
2. The Canonical Asset 126
2.1. The Price of the Canonical Asset 127
2.2. The Rate of Return on the Canonical Asset 129
3. Risk, Term, and Equity Premia 131
4. Log-Normality 134
5. Risk, Term, and Equity Premia Under Log-Normality with Consumption
Externalities and Without Habit Formation 135
6. Linear Approximations to Risk, Term, and Equity Premia 137
7. Second Moments 138
7.1. Linear Approximations to Second Moments 140
8. Correlation of Dividend-Price Ratio and the Rate of Return on Stock 142
8.1. Correlation of Dividend-Price Ratio and the Excess Rate of Return on Stock 144
Contents ix
9. Special Cases 146
9.1. Rational Expectations 146
9.2. Distorted Beliefs 151
10. Accuracy of Approximations 153
11. Summary 156
References 156
Discussion: Francisco Gomes (LBS) 158
1. Introduction 158
2. Preferences with Benchmark Levels of Consumption 159
3. Changing the Benchmark Level of the Explanation 161
3.1. Aggregate Moments 161
3.2. Micro-Economic Implications 162
3.3. Micro-Economic Foundations and Aggregation 163
4. Leverage, Correlation between Dividends and Consumption, and
distorted Beliefs 163
4.1. Levered Equity Claims and Correlation Between Dividends and
Consumption 163
4.2. Non-Rational Expectations 164
5. Final Remarks 165
References 165
5 Long-Run Risks and Risk Compensation in Equity Markets 167
Ravi Bansal (Duke)
1. Introduction 168
2. Long-Run Risks Model 170
2.1. Preferences and the Environment 170
2.2. Long-Run Growth Rate Risks 171
2.3. Long-Run Growth and Uncertainty Risks 174
2.4. Data and Model Implications 176
3. Cross-Sectional Implications 185
3.1. Value, Momentum, Size, and the Cross-Sectional Puzzle 185
4. Conclusion 191
References 191
Discussion: John C. Heaton (Chicago) 194
1. Summary 194
2. A Low-Frequency Component in Consumption? 194
3. Preferences 195
4. Returns and Long-Run Cash Flows 197
5. Conclusion 198
References 198
Contents
6 The Loss Aversion/Narrow Framing Approach to the Equity Premium Puzzle 199
Nicholas Barberis (Yale) and Ming Huang (Cornell)
1. Introduction 201
2. Loss Aversion and Narrow Framing 203
3. The Equity Premium 207
3.1. Modeling Loss Aversion and Narrow Framing 207
3.2. Quantitative Implications 212
3.3. Attitudes to Large Monetary Gambles 216
3.4. Attitudes to Small Monetary Gambles 218
3.5. The Importance of Narrow Framing 220
4. Other Applications 224
5. Further Extensions 225
5. /. Dynamic Aspects of Loss Aversion 225
5.2. Other Forms of Narrow Framing 226
6. Conclusion and Future Directions 227
References 228
Discussion: Xavier Gabaix (New York) 230
1. Work Out More Systematically the Preferences of PT vs. EU
Investors—The Equity Protection Puzzle 230
2. Make Quantitative Predictions, Particularly About Equilibrium
Market Phenomena, Rather than Just about Individual Trading Behavior 232
3. Do a Version of the Model in Continuous Time 233
References 234
Discussion: Ravi Jagannathan (Northwestern) 235
7 Financial Markets and the Real Economy 237
John H. Cochrane (Chicago)
1. Introduction 239
1.1. RiskPremia 239
1.2. Who Cares? 242
1.3. The Mimicking Portfolio Theorem and the Division of Labor 243
2. Facts: Time Variation and Business Cycle Correlation of Expected Returns 244
2.1. Variation over Time 244
2.2. Variation Across Assets 245
2.3. Return Forecasts—Variation over Time 246
2.4. The Cross Section of Returns—Variation Across Assets 251
3. Equity Premium 257
3.1. Mehra and Prescott and the Puzzle 261
3.2. The Future of the Equity Premium 266
Contents xi
4. Consumption Models 267
4.1. Hansen and Singleton; Power Utility 267
4.2. New Utility Functions 270
4.3. Empirics with New Utility Functions 273
4.4. Consumption and Factor Models 286
5. Production, Investment, and General Equilibrium 290
5.7. Production-Based Asset Pricing 290
5.2. General Equilibrium 294
6. Labor Income and Idiosyncratic Risk 302
6.1. Labor and Outside Income 302
6.2. Idiosyncratic Risk, Stockholding, and Micro Data 307
7. Challenges for the Future 314
References 314
Appendix 322
Discussion: Lars Peter Hansen (Chicago) 326
References 329
8 Understanding the Equity Risk Premium Puzzle 331
George M. Constontinides (Chicago)
1. Introduction 332
2. Habit Persistence 337
3. Limited Stock Market Participation and Per Capita Consumption 345
4. Incomplete Markets and Idiosyncratic Income Shocks 349
5. Concluding Remarks 355
References 356
Discussion: Hanno Lustig (UCLA) 360
1. Introduction 360
1.1. Environment 361
1.2. Preferences and Endowments 361
2. Complete Markets 362
2.1. Equilibrium 363
2.2. Equity Premium Puzzle 364
3. Missing Markets 364
3.1. Equilibrium 365
3.2. Mankiw s Recipe for Generating Risk Premia 365
3.3. Consiantinides and Duffie 366
3.4. Independence of Idiosyncratic Shocks from Aggregate Conditions 368
4. Missing Markets and State-Dependent Solvency Constraints 370
4.1. Incomplete Markets 370
4.2. Complete Markets 371
xii Contents
5. Conclusion 372
References 372
A. Second-Order Taylor Expansion 373
B. Constantinides and Duffie 374
9 Cash Flow Risk, Discounting Risk, and the Equity Premium Puzzle 377
Gurdip Bakshi (Maryland) and Zhiwu Chen (Yale)
1. Introduction 379
2. Economic Determinants of Equity Premium 381
2.1. Cash Flow Process 381
2.2. The Discounting Process 382
2.3. Dynamics of the Market Portfolio 383
2.4. Dynamics of the Equity Premium 385
3. Time-Series Data on S P500 EPS, EPS Growth, and the Interest Rate 387
4. Implications of the Model for Equity Premium 389
4.1. How Large Is the Interest-Rate Risk Premium? 389
4.2. Maximum-Likelihood Estimation of the (Physical) G, Process 391
4.3. Compensation for Cash Flow Risk and the Equity Premium 392
5. Concluding Remarks and Extensions 396
Appendix 398
References 400
Discussion: Vito D. Gala (LBS) 403
1. Discussion 403
1.1. Calibration and Estimation 404
1.2. Where Is the Equity Premium Puzzle? 405
References 407
Discussion: Lior Menzly (Proxima) 409
1. Introduction 410
2. The Model 410
2.1. Pricing Kernel 410
2.2. Cash Flow Process 411
2.3. The Model—Solutions 411
3. Calibration 412
3.1. Calibrating the Model 412
3.2. Estimation Results 412
4. Two-Stage Procedure—An Empirical Concern 412
5. Conclusion 414
References 414
Contents xiii
10 Distribution Risk and Equity Returns 415
Jean-Pierre Danthine (Lausanne), John B. Donaldson (Columbia), and Paolo Siconolfi
(Columbia)
1. Introduction 417
2. The Business Cycle and the Labor Market 418
2.1. The Stylized Facts of the Business Cycle 418
2.2. The Labor Market 421
3. The Model Economy 423
3.1. Workers 423
3.2. Shareholders 424
3.3. The Firm 425
3.4. Equilibrium 427
3.5. Numerical Procedures and Calibration 429
4. An Economy with Distribution Risk Only 430
5. Adding Aggregate Uncertainty 432
6. Comparative Dynamics and Welfare Assessment 436
6.1. Changes in the Correlation of Productivity and Distribution Shocks 437
6.2. Changes in Risk Aversion and the Conditional Mean Distribution Shock 438
6.3. Other Comparative Dynamic Tests 440
6.4. Welfare Considerations 441
6.5. Explaining the Market Value to National Income Ratio 442
1. Technology-Driven Variations in Factor Shares 443
8. Robustness 446
9. An Alternative Interpretation of the Sharing Mechanism 448
10. Related Literature 452
11. Concluding Comments 459
References 460
Discussion: Urban J. Jermann (Wharton) 463
References 466
11 The Worldwide Equity Premium: A Smaller Puzzle 467
Elroy Dimson (LBS), Paul Marsh (LBS), and Mike Stauhton (LBS)
1. Introduction 469
2. Prior Estimates of the Equity Premium 471
2. /. Expert Opinion 472
3. Long-Run International Data 474
3.1. The DMS Global Database: Composition and Start Date 475
3.2. The DMS Global Database: General Methodology and Guiding Principles 477
4. Long-Run Historical Rates of Return 479
4.1. Extremes of History 480
4.2. The Long-Run Perspective 483
xiv Contents
5. New Global Evidence on the Equity Premium 486
5.1. The Equity Premium Around the World 487
5.2. A Smaller Risk Premium 489
5.3. Survivorship of Markets 490
5.4. Survivorship Bias Is Negligible 492
6. Decomposing the Historical Equity Premium 493
6.1. Unanticipated Success 493
6.2. Decomposition of the Equity Premium 495
6.3. From the Past to the Future 497
7. Conclusion 500
References 501
Appendix 1: Decomposition of the Equity Premium 505
Appendix 2: Data Sources for the DMS Database 507
12 History and the Equity Risk Premium 515
William N. Goetzmann (Yale) and Roger G. Ibbotson (Yale)
1. Introduction 516
2. Historical Conception and Measurement of the Equity Risk Premium 517
3. Stocks, Bonds, Bills, and Inflation 521
4. History as Written by the Winners? 523
5. The Equity Premium Over the Very Long Term 524
6. Conclusion 527
References 528
Discussion: Stephen F. LeRoy (UCSB) 530
References 534
13 Can Heterogeneity, Undiversified Risk, and Trading Frictions Solve the
Equity Premium Puzzle 535
John C. Heaton (Chicago) and Deborah Lucas (Northwestern)
1. Introduction 537
2. Labor Income as Background Risk 539
2.1. Calibrating the Income Process 544
2.2. Adding Trading Frictions 547
3. Entrepreneurial Income as Background Risk 552
4. Limited Participation and Limited Diversification 555
5. Conclusions 556
References 556
Discussion: Kjetil Storesletten (U Oslo) 558
1. Introduction 558
2. Labor Income Risk 559
Contents XV
3. Transaction Costs 560
4. Concentrating Aggregate Risk on Fewer Hands 560
4.1. Entrepreneurial Risk 560
4.2. Limited Participation 561
5. Conclusion 562
References 563
14 Asset Prices and Intergenerational Risk Sharing: The Role of
Idiosyncratic Earnings Shocks 565
Kjetil Storeslerten (U Oslo), Chris Telmer(CMU), and Amir Yaron (Wharton)
1. Introduction 567
2. An Analytical Example of the Constantinides-Duffie Model 569
2.1. Calibration of the Constantinides-Duffie Economy 570
2.2. Model Implications 571
3. Incorporating the Life Cycle 573
3.1. Calibration 576
4. Quantitative Results 577
4.1. Asset Pricing Implications 580
4.2. Sensitivity Analysis 581
5. Conclusions 581
References 584
A. Calibration Appendix 587
B. Asset Pricing 590
Discussion: Darrell Duffie (Stanford) 591
References 592
Index 593
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| series2 | Handbooks in finance |
| spelling | Handbook of the equity risk premium by Rajnish Mehra 1. ed. Amsterdam [u.a.] Elsevier 2008 XXIII, 609 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Handbooks in finance Investments Risk Stocks Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Aktienanlage (DE-588)4125483-1 gnd rswk-swf Risikoprämie (DE-588)4178227-6 gnd rswk-swf Kapitalmarktforschung (DE-588)4390312-5 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Aktienmarkt (DE-588)4130931-5 s Risikoprämie (DE-588)4178227-6 s DE-604 Aktienanlage (DE-588)4125483-1 s Kapitalmarktforschung (DE-588)4390312-5 s DE-188 Mehra, Rajnish 1950- Sonstige (DE-588)130464996 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009714921&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Handbook of the equity risk premium Investments Risk Stocks Aktienmarkt (DE-588)4130931-5 gnd Aktienanlage (DE-588)4125483-1 gnd Risikoprämie (DE-588)4178227-6 gnd Kapitalmarktforschung (DE-588)4390312-5 gnd |
| subject_GND | (DE-588)4130931-5 (DE-588)4125483-1 (DE-588)4178227-6 (DE-588)4390312-5 (DE-588)4143413-4 |
| title | Handbook of the equity risk premium |
| title_auth | Handbook of the equity risk premium |
| title_exact_search | Handbook of the equity risk premium |
| title_full | Handbook of the equity risk premium by Rajnish Mehra |
| title_fullStr | Handbook of the equity risk premium by Rajnish Mehra |
| title_full_unstemmed | Handbook of the equity risk premium by Rajnish Mehra |
| title_short | Handbook of the equity risk premium |
| title_sort | handbook of the equity risk premium |
| topic | Investments Risk Stocks Aktienmarkt (DE-588)4130931-5 gnd Aktienanlage (DE-588)4125483-1 gnd Risikoprämie (DE-588)4178227-6 gnd Kapitalmarktforschung (DE-588)4390312-5 gnd |
| topic_facet | Investments Risk Stocks Aktienmarkt Aktienanlage Risikoprämie Kapitalmarktforschung Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009714921&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT mehrarajnish handbookoftheequityriskpremium |