The equity premium in The Netherlands: an analysis of 21 stock exchange securities based on the Campbell model
AbstractThe equity premium is analysed for 21 indiviual firms who are listed at the Dutch stock market. The analysis is based on Campbell's model which explains the equity premium as a linear combination of the covariances between the returns and the residuals of state variables. The residuals are obtained by estimating a first order VAR. This method also takes into account the importance of human capital. The resulting equation has a multifactor form in line with arbitrage pricing theory. The degree of risk aversion is the important parameter in this equation. Estimation by means of the generalized method of moments gives plausible results for the degree of risk aversion.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Netherlands Central Bank, Research Department in its series WO Research Memoranda (discontinued) with number 555.
Date of creation: 1998
Date of revision:
equity premium; individual stock market firms; risk aversion;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral 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: (Rob Vet).
If references are entirely missing, you can add them using this form.