Equity premium over different investment horizons

被引：4
|
作者：
Lee, Eunhee [1 ]
Kim, Chang Sik [1 ]
Kim, In-Moo [1 ]
机构：
[1] Sungkyunkwan Univ, Dept Econ, Seoul 110745, South Korea
来源：
EMPIRICAL ECONOMICS | 2015年 / 48卷 / 03期
关键词：
Equity premium; Spatial dominance; Investment horizon; Time diversification; ASSET-PRICING MODEL; STOCHASTIC-DOMINANCE; CONSUMPTION; RETURNS; TESTS; RISK;
D O I：
10.1007/s00181-014-0812-z
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper studies the adequate size of equity premium over different investment horizons based on spatial dominance. We find that the puzzle with respect to the size of equity premium disappears as investment horizons get longer in terms of the spatial dominance; therefore, the adequate size of equity premium should be dependent upon the investment horizon.
引用
收藏
页码：1169 / 1187
页数：19
相关论文
共 50 条
  • [1] Equity premium over different investment horizons
    Eunhee Lee
    Chang Sik Kim
    In-Moo Kim
    Empirical Economics, 2015, 48 : 1169 - 1187
  • [2] Forecasting the size premium over different time horizons
    Zakamulin, Valeriy
    JOURNAL OF BANKING & FINANCE, 2013, 37 (03) : 1061 - 1072
  • [3] Public investment and the risk premium for equity
    Grant, S
    Quiggin, J
    ECONOMICA, 2003, 70 (277) : 1 - 18
  • [4] Conditional Equity Premium and Aggregate Corporate Investment
    Guo, Hui
    Qiu, Buhui
    JOURNAL OF MONEY CREDIT AND BANKING, 2023, 55 (01) : 251 - 295
  • [5] Competition, investment reversibility, and equity risk premium
    Zhang, Zhou
    JOURNAL OF BANKING & FINANCE, 2023, 154
  • [6] Institutional Investment Horizons and the Cost of Equity Capital
    Attig, Najah
    Cleary, Sean
    El Ghoul, Sadok
    Guedhami, Omrane
    FINANCIAL MANAGEMENT, 2013, 42 (02) : 441 - 477
  • [7] The returns to entrepreneurial investment: A private equity premium puzzle?
    Moskowitz, TJ
    Vissing-Jorgensen, A
    AMERICAN ECONOMIC REVIEW, 2002, 92 (04): : 745 - 778
  • [8] Institutional Shareholder Investment Horizons and Seasoned Equity Offerings
    Hao, Qing
    FINANCIAL MANAGEMENT, 2014, 43 (01) : 87 - 111
  • [9] Private Equity Premium and Aggregate Uncertainty in a Model of Uninsurable Investment Risk
    Covas, Francisco
    Fujita, Shigeru
    B E JOURNAL OF MACROECONOMICS, 2011, 11 (01):
  • [10] The equity premium
    Fama, EF
    French, KR
    JOURNAL OF FINANCE, 2002, 57 (02): : 637 - 659
12345