scholarly journals Country and Industry Equity Risk Premia in the Euro Area: An Intertemporal Approach

2008 ◽  
Author(s):  
Lorenzo Cappiello ◽  
Marco Lo Duca ◽  
Angela Maddaloni
Keyword(s):  
Euro Area ◽  
Risk Premia ◽  
Equity Risk

Disappointment, Pessimism and the Equity Risk Premia

2002 ◽  
Author(s):  
Thierry Chauveau ◽  
Nicolas Nalpas
Keyword(s):  
Risk Premia ◽  
Equity Risk

scholarly journals On the Timing and Pricing of Dividends: Comment

2016 ◽  
Vol 106 (10) ◽  
pp. 3185-3223 ◽  
Author(s):  
Florian Schulz
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Risk Premia ◽  
Equity Returns ◽  
Equity Risk Premium ◽  
Short Term ◽  
Equity Risk ◽  
Market Portfolio ◽  
Show Evidence

I present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent “puzzle” but provide further important insights on the role of investment taxes in asset pricing. (JEL G11, G12, G35)

Conditional equity risk premia and realized variance jump risk

2014 ◽  
Vol 40 (2) ◽  
pp. 295-317 ◽  
Author(s):  
Zhanglong Wang ◽  
Kent Wang ◽  
Zheyao Pan
Keyword(s):  
Risk Premia ◽  
Realized Variance ◽  
Jump Risk ◽  
Equity Risk
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