Does It Pay to Invest? The Personal Equity Risk Premium and Stock Market Participation

2020 ◽  
Author(s):  
Yulia Merkoulova ◽  
Chris Veld
Keyword(s):  
Stock Market ◽  
Risk Premium ◽  
Market Participation ◽  
Equity Risk Premium ◽  
Equity Risk ◽  
Stock Market Participation

scholarly journals Limited Stock Market Participation and Asset Prices in a Dynamic Economy

2004 ◽  
Vol 39 (3) ◽  
pp. 495-516 ◽  
Author(s):  
Hui Guo
Keyword(s):  
Stock Market ◽  
Risk Premium ◽  
Stock Return ◽  
Precautionary Saving ◽  
Market Participation ◽  
Liquidity Premium ◽  
Stock Volatility ◽  
Stock Market Participation ◽  
Risk Free Rate ◽  
Free Rate

AbstractThis paper presents a consumption-based model that explains the equity premium puzzle through two channels. First, because of borrowing constraints, the shareholder cannot completely diversify his income risk and requires a sizable risk premium on stocks. Second, because of limited stock market participation, the precautionary saving demand lowers the risk-free rate but not stock return and generates a substantial liquidity premium. This model also replicates many other salient features of the data, including the first two moments of the risk-free rate, excess stock volatility, stock return predictability, and the unstable relation between stock volatility and the dividend yield.

Before the cult of equity: the British stock market, 1829–1929

2021 ◽  
Author(s):  
Gareth Campbell ◽  
Richard S Grossman ◽  
John D Turner
Keyword(s):  
Stock Market ◽  
Risk Premium ◽  
Equity Market ◽  
Equity Risk Premium ◽  
Economic Cycles ◽  
Equity Risk ◽  
The World ◽  
And Performance

Abstract We analyze the development and performance of the British equity market during the era when it reigned supreme as the largest in the world. Using an extensive monthly dataset of thousands of companies, we identify the major peaks and troughs in the market and find a relationship with the timing of economic cycles. We also show that the equity risk premium was modest and, contrary to previous research, domestic and foreign stocks earned similar returns for much of the period. We also document the early dominance of the transport and finance sectors and the subsequent emergence of many new industries.

Determining the Equity Risk Premium

2002 ◽  
Vol 2002 (3) ◽  
pp. 37-48 ◽  
Author(s):  
Peter L. Bernstein
Keyword(s):  
Risk Premium ◽  
Equity Risk Premium ◽  
Equity Risk
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