Economics, Econometrics and Finance
4 years ago

Market risk premium overestimated by 50% due to investment shifts.

Journal of Financial Economics
Estimating the market risk premium
E. Scott Mayfield

Paper Summary

The study shows that around half of the market risk premium is linked to future investment risks. By analyzing market volatility, researchers found that the historical average of market returns may overestimate the risk premium since the Great Depression.

Related papers

Economics, Econometrics and Finance
4 years ago

Government spending volatility shocks drive up bond risk premiums at ZLB.

Public Finance
Macroeconomic Analysis
Monetary Models
Economics, Econometrics and Finance
4 years ago

Unlocking the Mystery of Market Risk Premium: Changing the Game

Asset Pricing
Option Pricing
1 view
Economics, Econometrics and Finance
8 years ago

Equity risk premium estimation impacts individual savings and stock investments.

Asset Pricing
Option Pricing
Stock Market Predictions
2 views