Economics, Econometrics and Finance
5 years ago

Long-term market risk premium not constant, reflects series of short terms.

JASSA.
Adjusting the market risk premium to reflect the global financial crisis': A rejoinder
Steven R. Bishop, Michael Fitzsimmons, Bob Officer

Paper Summary

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The researchers argue that the market risk premium is not constant over time and should be adjusted to reflect the global financial crisis. They disagree with the idea that short-term and long-term views are fundamentally mismatched. The long term is made up of a series of short terms, and this should be taken into account when considering market risk.