SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Declining U.S. Equity Premium
5 references·16 citing·44 second hop
The Declining U.S. Equity Premium (2001)The Declining U.S. Equity PremiumThe Equity Premium: It's Still a Puzzle (1996)The Equity Premium: It's Stil…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…The equity premium: A puzzle (1985)The equity premium: A puzzleThe Investment, Financing, and Valuation of the Corporation (1963)The Investment, Financing, an…What is the riskfree rate? A Search for the Basic Building Block (2020)What is the riskfree rate? A …Equity Asset Valuation (2015)Equity Asset ValuationWhy Do Firms Use High Discount Rates? (2014)Why Do Firms Use High Discoun…Inequality, stock market participation, and the equity premium (2012)Inequality, stock market part…A Multiplier Approach to Understanding the Macro Implications of Household Finance (2011)A Multiplier Approach to Unde…The expected value premium☆ (2007)The expected value premium☆Representative consumer's risk aversion and efficient risk-sharing rules (2007)Representative consumer's ris…Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk (2006)Life-Cycle Portfolio Choice w…Equity Premium: Historical, Expected, Required and Implied (2006)Equity Premium: Historical, E…Using Expectations to Test Asset Pricing Models (2005)Using Expectations to Test As…The long-run equity risk premium (2005)The long-run equity risk prem…The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (2004)The Declining Equity Premium:…The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (2004)The Declining Equity Premium:…How to Discount Cashflows with Time‐Varying Expected Returns (2004)How to Discount Cashflows wit…Geometric or Arithmetic Mean: A Reconsideration (2003)Geometric or Arithmetic Mean:…Predicting the Equity Premium with Dividend Ratios (1999)Predicting the Equity Premium…Time to Build and Aggregate Fluctuations (1982)The cost of capital, corporation finance and the theory of investment (2008)Investor sophistication and capital income inequality (2018)The Redistributive Effects of Bank Capital Regulation (2018)Seawalls and Stilts: A Quantitative Macro Study of Climate Adaptation (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Empirical Risk-Return Relation: A Factor Analysis Approach (2005)Multifrequency news and stock returns☆ (2007)The Determinants of Stock and Bond Return Comovements (2009)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Noise Trader Risk in Financial Markets (1990)Optimum consumption and portfolio rules in a continuous-time model (1971)Portfolio choice with internal habit formation: a life-cycle model with uninsurable labor income risk (2003)Asset Pricing with Limited Risk Sharing and Heterogeneous Agents (2007)Optimal Portfolio Choice over the Life Cycle with Flexible Work, Endogenous Retirement, and Lifetime Payouts (2011)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Expected returns, yield spreads, and asset pricing tests (2008)Corporate Social and Financial Performance Re-Examined: Industry Effects in a Linear Mixed Model Analysis (2011)Predicting Market Returns Using Aggregate Implied Cost of Capital (2012)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Cross-Section of Expected Stock Returns (1992)Why do you speak English (in your annual report)? (2010)Equity Valuation: A Survey of Professional Practice (2015)Intellectual capital efficiency and corporate book value: evidence from Nigerian economy (2018)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Time series properties of an artificial stock market (1999)Nonparametric risk management and implied risk aversion (2000)Financial Markets and the Real Economy (2005)
this work references cited by second hop

References

  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 1996The Equity Premium: It's Still a Puzzle944 cited

Cited by

  • 2005Using Expectations to Test Asset Pricing Models213 cited
  • 2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?200 cited
  • 2015Equity Asset Valuation176 cited
  • 2006Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk167 cited
  • 2012Inequality, stock market participation, and the equity premium156 cited
  • 2004How to Discount Cashflows with Time‐Varying Expected Returns151 cited
  • 2014Why Do Firms Use High Discount Rates?147 cited
  • 2007The expected value premium☆112 cited
  • 2003Geometric or Arithmetic Mean: A Reconsideration107 cited
  • 2005The long-run equity risk premium101 cited
  • 2011

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

A Multiplier Approach to Understanding the Macro Implications of Household Finance
96 cited
  • 2006Equity Premium: Historical, Expected, Required and Implied89 cited
  • 2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?84 cited
  • 2020What is the riskfree rate? A Search for the Basic Building Block81 cited
  • 1999Predicting the Equity Premium with Dividend Ratios70 cited
  • 2007Representative consumer's risk aversion and efficient risk-sharing rules68 cited