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Estimating the market risk premium

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  • Scott Mayfield, E.
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 73 (2004)
    Issue (Month): 3 (September)
    Pages: 465-496

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    Handle: RePEc:eee:jfinec:v:73:y:2004:i:3:p:465-496

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    Web page: http://www.elsevier.com/locate/inca/505576

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    7. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
    8. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics, EconWPA 9502002, EconWPA.
    9. Hodrick, Robert J, 1992. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-86.
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    36. John T. Scruggs, 1998. "Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach," Journal of Finance, American Finance Association, vol. 53(2), pages 575-603, 04.
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    Cited by:
    1. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2012. "Flights to Safety," Working Paper Research, National Bank of Belgium 230, National Bank of Belgium.
    2. Brennan, Michael J & LIU, XIAOQUAN & Xia, Yihong, 2005. "Option Pricing Kernels and the ICAPM," University of California at Los Angeles, Anderson Graduate School of Management qt4d90p8ss, Anderson Graduate School of Management, UCLA.
    3. John M. Maheu & Thomas H. McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper Series, The Rimini Centre for Economic Analysis 19-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
    4. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, Elsevier, vol. 76(3), pages 509-548, June.
    5. Fernandez, Pablo, 2004. "Market risk premium: Required, historical and expected," IESE Research Papers D/574, IESE Business School.
    6. Bae, Jinho & Kim, Chang-Jin & Nelson, Charles R., 2007. "Why are stock returns and volatility negatively correlated?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(1), pages 41-58, January.
    7. Nilsson, Birger & Hansson, Björn, 2004. "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers 2004:28, Lund University, Department of Economics.
    8. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
    9. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
    10. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 125-157.
    11. Ivanov, Vladimir & Lewis, Craig M., 2008. "The determinants of market-wide issue cycles for initial public offerings," Journal of Corporate Finance, Elsevier, vol. 14(5), pages 567-583, December.
    12. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
    13. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, Elsevier, vol. 85(1), pages 123-150, July.
    14. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2009. "Idiosyncratic risk matters! A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 132-141, January.
    15. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 560-580, March.
    16. Jinho Bae, 2011. "Does knowing the volatility states affect the market risk premium?," Annals of Finance, Springer, vol. 7(1), pages 83-94, February.
    17. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
    18. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(1), pages 72-83.

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