Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Equity Premium Consensus Forecast Revisited

Contents:

Author Info

  • Ivo Welch

    (Yale School of Management)

Abstract

A seller wishes to sell an object to one of multiple bidders. The valuations of the bidders are privately known. We consider the joint design problem in which the seller can decide the accuracy by which bidders learn their valuation and to whom to sell at what price. We establish that optimal information structures in an optimal auction exhibit a number of properties: (i) information structures can be represented by monotone partitions, (ii) the cardinality of each partition is finite, (iii) the partitions are asymmetric across agents. These properties imply that the optimal selling strategy of a seller can be implemented by a sequence of exclusive take-it or leave-it offers.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://cowles.econ.yale.edu/P/cd/d13a/d1325.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1325.

as in new window
Length: 14 pages
Date of creation: Sep 2001
Date of revision:
Handle: RePEc:cwl:cwldpp:1325

Contact details of provider:
Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
More information through EDIRC

Order Information:
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: Equity premium;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. John R. Graham & Campbell R. Harvey, 2001. "Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective," NBER Working Papers 8678, National Bureau of Economic Research, Inc.
  2. Welch, Ivo, 2000. "Views of Financial Economists on the Equity Premium and on Professional Controversies," The Journal of Business, University of Chicago Press, vol. 73(4), pages 501-37, October.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Fernandez, Pablo, 2008. "The equity premium in 100 textbooks," IESE Research Papers D/757, IESE Business School.
  2. Huang, Hsu-Huei & Chan, Min-Lee & Huang, I-Hsiang & Chang, Chih-Hsiang, 2011. "Stock price volatility and overreaction in a political crisis: The effects of corporate governance and performance," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 19(1), pages 1-20, January.
  3. Rammerstorfer, Margarethe & Eisl, Roland, 2011. "Carbon capture and storage—Investment strategies for the future?," Energy Policy, Elsevier, vol. 39(11), pages 7103-7111.
  4. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  5. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt3qn115m4, Anderson Graduate School of Management, UCLA.
  6. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers, Yale School of Management ysm446, Yale School of Management, revised 01 Aug 2006.
  7. Barrett, Alan & Kearney, Ide & O'Brien, Martin, 2007. "Quarterly Economic Commentary, Summer 2007," Forecasting Report, Economic and Social Research Institute (ESRI), Economic and Social Research Institute (ESRI), number QEC20072, March.
  8. Georges Prat, 2012. "Equity risk premium and time horizon: what do the U.S. secular data say?," Working Papers, Association Française de Cliométrie (AFC) 12-06, Association Française de Cliométrie (AFC).
  9. Rui Alpalhao & Paulo Alves, 2005. "The Portuguese equity risk premium: what we know and what we don't know," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(7), pages 489-498.
  10. Buranavityawut, Nonthipoth & Freeman, Mark C. & Freeman, Nisih, 2006. "Has the equity premium been low for 40 years?," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 191-205, August.
  11. Fernandez, Pablo, 2009. "Market risk premium used in 2008: A survey of more than a 1,000 professors," IESE Research Papers D/784, IESE Business School.
  12. Fernandez, Pablo, 2009. "Prima de Riesgo del Mercado: Histórica, Esperada, Exigida e Implícita
    [Equity Risk Premium: Historic, Expected, Required and Implied]
    ," MPRA Paper 14221, University Library of Munich, Germany.
  13. Pietro Veronesi & Lubos Pastor, 2005. "Was There a Nasdaq Bubble in the Late 1990s?," 2005 Meeting Papers 95, Society for Economic Dynamics.
  14. John R. Graham & Campbell R. Harvey, 2001. "Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective," NBER Working Papers 8678, National Bureau of Economic Research, Inc.
  15. Lubos Pastor & Pietro Veronesi, 2003. "Stock Prices and IPO Waves," NBER Working Papers 9858, National Bureau of Economic Research, Inc.
  16. 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.
  17. Daniel Bergstresser & Mihir A. Desai & Joshua Rauh, 2004. "Earnings Manipulation and Managerial Investment Decisions: Evidence from Sponsored Pension Plans," NBER Working Papers 10543, National Bureau of Economic Research, Inc.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1325. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Glena Ames).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.