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Prime de risque et prix du risque sur les actions

Author

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  • René Garcia
  • Nour Meddahi

Abstract

The equity premium measures the return obtained by investing in equities in excess of a short-term Treasury bill return. In the last thirty years, the financial literature has proposed various risk models to rationalize the magnitude of this premium, which amounts to an annual 6 % to 8 % for most industrialized countries for the post-war period. We review the various models and explain their increased complexity to capture not only the mean premium but also its variability, its predictability at various horizons and its term structure. Classification JEL : G11, G12, G17.

Suggested Citation

  • René Garcia & Nour Meddahi, 2019. "Prime de risque et prix du risque sur les actions," Revue d'économie financière, Association d'économie financière, vol. 0(1), pages 199-211.
    • Handle: RePEc:cai:refaef:ecofi_133_0199
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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