The Equity Premium And Risk‐Free Rate Puzzles In A Turbulent Economy: Evidence From 105 Years Of Data From South Africa
Author
Abstract
Suggested Citation
DOI: 10.1111/j.1813-6982.2010.01237.x
Download full text from publisher
Other versions of this item:
- Andrew van Biljon & Shakill Hassan, 2009. "The Equity Premium and Risk-Free Rate Puzzles in a Turbulent Economy: Evidence from 105 Years of Data from South Africa," Working Papers 156, Economic Research Southern Africa.
References listed on IDEAS
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
- Abel, Andrew B, 1990.
"Asset Prices under Habit Formation and Catching Up with the Joneses,"
American Economic Review, American Economic Association, vol. 80(2), pages 38-42, May.
- Andrew B. Abel, "undated". "Asset Prices Under Habit Formation and Catching Up With the Jones," Rodney L. White Center for Financial Research Working Papers 1-90, Wharton School Rodney L. White Center for Financial Research.
- Abel, A.B., 1990. "Asset Prices Under Habit Formation And Catching Up With The Joneses," Weiss Center Working Papers 1-90, Wharton School - Weiss Center for International Financial Research.
- Andrew B. Abel, "undated". "Asset Prices Under Habit Formation and Catching Up With the Jones," Rodney L. White Center for Financial Research Working Papers 01-90, Wharton School Rodney L. White Center for Financial Research.
- A. Abel, 2010. "Asset prices under habit formation and catching up with the Jones," Levine's Working Paper Archive 1395, David K. Levine.
- Andrew B. Abel, 1990. "Asset Prices under Habit Formation and Catching up with the Joneses," NBER Working Papers 3279, National Bureau of Economic Research, Inc.
- Weil, Philippe, 1989.
"The equity premium puzzle and the risk-free rate puzzle,"
Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," NBER Working Papers 2829, National Bureau of Economic Research, Inc.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," Working Papers hal-03399133, HAL.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," SciencePo Working papers Main hal-03399133, HAL.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," SciencePo Working papers Main hal-03393298, HAL.
- Phillippe Weil, 1997. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Levine's Working Paper Archive 1833, David K. Levine.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," Sciences Po publications info:hdl:2441/8686, Sciences Po.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," Post-Print hal-03393298, HAL.
- Dunn, Kenneth B. & Singleton, Kenneth J., 1986.
"Modeling the term structure of interest rates under non-separable utility and durability of goods,"
Journal of Financial Economics, Elsevier, vol. 17(1), pages 27-55, September.
- Kenneth B. Dunn & Kenneth J. Singleton, 1984. "Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods," NBER Working Papers 1415, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-265, April.
- Salomons, Roelof & Grootveld, Henk, 2003. "The equity risk premium: emerging vs. developed markets," Emerging Markets Review, Elsevier, vol. 4(2), pages 121-144, June.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- Eugene F. Fama & Kenneth R. French, 2002.
"The Equity Premium,"
Journal of Finance, American Finance Association, vol. 57(2), pages 637-659, April.
- Eugene Fama & F. & Kenneth R. French, "undated". "The Equity Premium."," CRSP working papers 522, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Rajnish Mehra, 2006. "The Equity Premium in India," NBER Working Papers 12434, National Bureau of Economic Research, Inc.
- Ravi Bansal & Amir Yaron, 2004.
"Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,"
Journal of Finance,
American Finance Association, vol. 59(4), pages 1481-1509, August.
- Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
- Christina D. Romer, 1993. "The Nation in Depression," Journal of Economic Perspectives, American Economic Association, vol. 7(2), pages 19-39, Spring.
- Bansal, Ravi & Coleman, Wilbur John, II, 1996. "A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1135-1171, December.
- Mr. Abbas Mirakhor & Mr. S. Nuri Erbas, 2007. "The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality," IMF Working Papers 2007/230, International Monetary Fund.
- Janine Aron & Ibrahim Elbadawi, 1999. "Reflections on the South African rand crisis of 1996 and its consequences," CSAE Working Paper Series 1999-13, Centre for the Study of African Economies, University of Oxford.
- Altug, Sumru, 1989.
"Time-to-Build and Aggregate Fluctuations: Some New Evidence,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(4), pages 889-920, November.
- Sumru Altug, 1986. "Time to build and aggregate fluctuations: some new evidence," Working Papers 277, Federal Reserve Bank of Minneapolis.
- Bank for International Settlements, 2007. "Financial stability and local currency bond markets," CGFS Papers, Bank for International Settlements, number 28, december.
- Janine Aron & Ibrahim Elbadawi, 1999. "Reflections on the South African rand crisis of 1996 and policy consequences," Economics Series Working Papers WPS/1999-13, University of Oxford, Department of Economics.
- Fedderke, J. W. & de Kadt, R. H. J. & Luiz, J. M., 2001. "Indicators of political liberty, property rights and political instability in South Africa: 1935-97," International Review of Law and Economics, Elsevier, vol. 21(1), pages 103-134, March.
- Abel, Andrew B., 1999.
"Risk premia and term premia in general equilibrium,"
Journal of Monetary Economics, Elsevier, vol. 43(1), pages 3-33, February.
- Andrew B. Abel, 1998. "Risk Premia and Term Premia in General Equilibrium," NBER Working Papers 6683, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- John Fay & Umesh Kumar, 2013. "An Index-Based Model for Determining the Investment Benchmark of Renewable Energy Projects in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 81(3), pages 416-426, September.
- Magomet Yandiev, 2021. "Risk-Free Rate in the Covid-19 Pandemic: Application Mistakes and Conclusions for Traders," Papers 2111.07075, arXiv.org.
- Peter Aling & Shakill Hassan, 2012.
"No-Arbitrage One-Factor Models Of The South African Term Structure Of Interest Rates,"
South African Journal of Economics, Economic Society of South Africa, vol. 80(3), pages 301-318, September.
- Peter Aling & Shakill Hassan, 2011. "No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates," Working Papers 246, Economic Research Southern Africa.
- Peter Aling & Dr. Shakill Hassan, 2012. "NoArbitrage OneFactor Models of the South African TermStructure of Interest Rates," Working Papers 4946, South African Reserve Bank.
- Tesfaye T. Lemma & Martin Feedman & Mthokozisi Mlilo & Jin Dong Park, 2019. "Corporate carbon risk, voluntary disclosure, and cost of capital: South African evidence," Business Strategy and the Environment, Wiley Blackwell, vol. 28(1), pages 111-126, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Campbell, John Y., 2003.
"Consumption-based asset pricing,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887,
Elsevier.
- John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
- Wonnho Choi, 2018. "Consumption-based capital asset pricing models: issues and controversies," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 181-205, January.
- Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
- Sialm, Clemens, 2006.
"Stochastic taxation and asset pricing in dynamic general equilibrium,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 511-540, March.
- Clemens Sialm, 2002. "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers 9301, National Bureau of Economic Research, Inc.
- Ludvigson, Sydney C., 2013.
"Advances in Consumption-Based Asset Pricing: Empirical Tests,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906,
Elsevier.
- Sydney C. Ludvigson, 2011. "Advances in Consumption-Based Asset Pricing: Empirical Tests," NBER Working Papers 16810, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010.
"Stock and bond returns with Moody Investors,"
Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc.
- Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2002.
"Habit formation: a resolution of the equity premium puzzle?,"
Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1261-1288, September.
- Otrok, C. & Ravikumar, B. & Whiteman, C., 1998. "Habit Formation: A Resolution of the Equity Premium Puzzle?," Working Papers 98-04, University of Iowa, Department of Economics.
- YiLi Chien & Hanno Lustig, 2010.
"The Market Price of Aggregate Risk and the Wealth Distribution,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
- Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
- Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
- Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
- Bansal, Ravi & Khatchatrian, Varoujan & Yaron, Amir, 2005.
"Interpretable asset markets?,"
European Economic Review, Elsevier, vol. 49(3), pages 531-560, April.
- Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc.
- Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers 136b, Society for Economic Dynamics.
- Jaccard Ivan, 2011.
"Asset Pricing and Housing Supply in a Production Economy,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-40, October.
- Jaccard, Ivan, 2012. "Asset pricing and housing supply in a production economy," Working Paper Series 1454, European Central Bank.
- Calvet, Laurent E. & Fisher, Adlai J., 2007.
"Multifrequency news and stock returns,"
Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
- Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007. "Multifrequency news and stock returns," Post-Print hal-00459675, HAL.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- George M. Constantinides, 2006.
"Market Organization And The Prices Of Financial Assets,"
Manchester School, University of Manchester, vol. 74(s1), pages 1-23, September.
- Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
- Marija Đorđević, 2016. "Consumption-Based Macroeconomic Models Of Asset Pricing Theory," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 61(211), pages 7-28, October -.
- George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
- John Y. Campbell, 1996.
"Consumption and the Stock Market: Interpreting International Experience,"
Harvard Institute of Economic Research Working Papers
1763, Harvard - Institute of Economic Research.
- John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
- Ivan Jaccard, 2010. "Asset Pricing and Housing Supply in a Production Economy," 2010 Meeting Papers 605, Society for Economic Dynamics.
- Daria Pignalosa, 2021. "The Euler Equation Approach: Critical Implications of Recent Developments in the Theory of Intertemporal Choice," Bulletin of Political Economy, Bulletin of Political Economy, vol. 15(1), pages 1-43, June.
More about this item
JEL classification:
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- N27 - Economic History - - Financial Markets and Institutions - - - Africa; Oceania
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:sajeco:v:78:y:2010:i:1:p:23-39. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/essaaea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.