دانلود مقاله ISI انگلیسی شماره 51703
عنوان فارسی مقاله

صرف ریسک حقوق صاحبان سهام و افق زمانی: داده های سکولار ایالات متحده چه می گویند؟

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
51703 2013 13 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Equity risk premium and time horizon: What do the U.S. secular data say?
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Economic Modelling, Volume 34, August 2013, Pages 76–88

کلمات کلیدی
صرف ریسک حقوق صاحبان سهام ؛ افق زمانی
پیش نمایش مقاله
پیش نمایش مقاله صرف ریسک حقوق صاحبان سهام و افق زمانی: داده های سکولار ایالات متحده چه می گویند؟

چکیده انگلیسی

We consider a representative investor whose wealth is made up of the equity market portfolio and the riskless asset, and who maximizes the expected utility of his/her future wealth for a given horizon. The solution of this program shows that the equilibrium value of the equity risk premium – the latter being measured by the difference between the expected equity portfolio return and the risk-free interest rate – is given by the product of the price of risk by the expected variance of stock returns. When returns are predictable, these two magnitudes are both time-varying and horizon-dependent. In accordance with this theoretical framework, our paper presents an econometric model of the equity risk premia for two traditional horizons: the one-period-ahead horizon (i.e. the ‘short-term’ premium) and the infinite-time horizon (i.e. the ‘long-term’ premium). Using annual US secular data from 1871 to 2008, and representing the expected returns by mixing the three traditional adaptive, extrapolative and regressive processes, large disparities in the dynamics of the two premia are evidenced. Concerning the determination of the equilibrium values of the two premia, the expected variances depend on the past values of the centered squared returns while the prices of risk (unobservable variables) are estimated according to the Kalman filter methodology, which enables us to capture the influence of hidden variables and of non-directly measurable psychological effects. A spread of interest rates adds to this determination. Possibly due to risky arbitrage and transaction costs, the results show that observed premia gradually converge towards their equilibrium values, this process being described by an error correction model. Overall, our model provides a rather satisfactory representation of ‘short-term’ and ‘long-term’ premia.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.