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
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