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Equity premium over different investment horizons

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  • Eunhee Lee
  • Chang Kim
  • In-Moo Kim

Abstract

This paper studies the adequate size of equity premium over different investment horizons based on spatial dominance. We find that the puzzle with respect to the size of equity premium disappears as investment horizons get longer in terms of the spatial dominance; therefore, the adequate size of equity premium should be dependent upon the investment horizon. Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
    • Handle: RePEc:spr:empeco:v:48:y:2015:i:3:p:1169-1187
    DOI: 10.1007/s00181-014-0812-z
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    References listed on IDEAS

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    Cited by:

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    2. Kai-Yin Woo & Chulin Mai & Michael McAleer & Wing-Keung Wong, 2020. "Review on Efficiency and Anomalies in Stock Markets," Economies, MDPI, vol. 8(1), pages 1-51, March.

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    More about this item

    Keywords

    Equity premium; Spatial dominance; Investment horizon; Time diversification; C22; G10;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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