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Sunday, May 10, 2020 | History

3 edition of equity premium implied by production found in the catalog.

equity premium implied by production

Urban J. Jermann

equity premium implied by production

by Urban J. Jermann

  • 309 Want to read
  • 11 Currently reading

Published by National Bureau of Economic Research in Cambridge, Mass .
Written in English

    Subjects:
  • Rate of return -- Econometric models,
  • Stocks -- United States -- Econometric models

  • Edition Notes

    StatementUrban Jermann.
    SeriesNBER working paper series -- no. 12487., Working paper series (National Bureau of Economic Research) -- working paper no. 12487.
    ContributionsNational Bureau of Economic Research.
    The Physical Object
    Pagination29, [9] p. :
    Number of Pages29
    ID Numbers
    Open LibraryOL17631174M
    OCLC/WorldCa71279854

    The Implied Equity Risk Premium - An Evaluation of Empirical Methods I Introduction The equity risk premium (hereafter ERP) is one of the most important concepts in financial economics. It is the reward that investors require to compensate the risk associated with . In the context of the equity risk premium, a is an equity investment of some kind, such as shares of a blue-chip stock, or a diversified stock portfolio. If we are simply talking about the stock market (a = m), then R a = R m. The beta coefficient is a measure of a stock's volatility, or risk, Missing: production book.

    IESE Business School-University of Navarra. EQUITY PREMIUM: HISTORICAL, EXPECTED, REQUIRED AND IMPLIED* 1. Introduction The equity premium (also called market risk premium, equity risk premium, market premium and risk premium) is one of the most important, but also most elusive parameters in finance. Some confusion arises from the fact that the term equity premium is File Size: KB.   Some confusion arises from not distinguishing among the four concepts that the phrase equity premium designates: the Historical, the Expected, the Implied and the Required equity premium (incremental return of a diversified portfolio over the risk-free rate required by an investor). of the books identify Expected and Required equity premium Cited by:

    63 A(year(thatmade(adifference..(The(implied(premium(in(January((Year Market value of index Dividends Buybacks Cash to equity Dividend yield Buyback yield Total yieldFile Size: 2MB. Equity premium Production abstract This paper studies the determinants of the equity premium as implied by producers’ first-order conditions. A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology parameters. Calibrated to the US.


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Equity premium implied by production by Urban J. Jermann Download PDF EPUB FB2

NBER Program(s):Asset Pricing This paper studies the determinants of the equity premium as implied by producers' first-order conditions.

A closed form expression is presented for the Sharpe ratio at steady-state as a function of investment volatility and adjustment cost by: Summary: This paper studies the determinants of the equity premium as implied by producers' first-order conditions.

A closed form expression is presented for the Sharpe ratio at steady-state as a function of investment volatility and adjustment cost curvature. Get this from a library.

The equity premium implied by production. [Urban J Jermann]. Calibrated to the U.S. postwar economy, the model can generate a sizeable equity premium, with reasonable volatility for market returns and risk free rates.

The market's Sharpe ratio and the. This paper studies the determinants of the equity premium as implied by producers’ first-order conditions.

A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology by: This paper studies the determinants of the equity premium as implied by producers’ first-order conditions.

A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology parameters. Calibrated to the US postwar economy. The equity premium implied by production Urban J. Jermann The Wharton School of the University of Pennsylvania and NBER Incomplete version - Not for circulation Janu Abstract We study the implications of producers’ first-order conditions for the link.

The Equity Premium Implied by Production Abstract This paper studies the determinants of the equity premium as implied by producers’ first-order conditions. A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology by:   This paper studies the determinants of the equity premium as implied by producers’ first-order conditions.

A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology parameters. Calibrated to the US postwar economy, the model can match the historical first and second moments of the market return and the risk-free interest by: the equity premium, use more general functional forms for adjustment cost, and base the empirical evaluation on the two main types of U.S.

fixed capital investment, namely equipment & software as well as structures. Cochrane () derives a set of asset pricing implications of a production. Production-based asset pricing in the literature • General Equilibrium: Production-based asset pricing “contaminated” by consumption side • Cochrane and others: stock returns and investment growth but no equity premium.

The thesis of the book is that the equity risk premium for stocks, which is the compensation given to equity investors for holding shares of risky common stocks, was below, perhaps much below, what was historically normal.

This implied that investors came to view common stocks as being a much less risky investment than stocks had been in the by: The Equity Premium Implied by Production.

Urban Jermann. NBER Working Paper No. Issued in August Acknowledgments Books Recent Books Earlier Books (by decade) Browse books by Series Chapters from Books In Process Free Publications Bulletin on Retirement and Disability Cited by: Abstract This paper studies the determinants of the equity premium as implied by producers ’ firstorder conditions.

A closed form expression is presented for the Sharpe ratio at steady-state as a function of investment volatility and adjustment cost curvature. Downloadable. This paper studies the determinants of the equity premium as implied by producers' first-order conditions. A closed form expression is presented for the Sharpe ratio at steady-state as a function of investment volatility and adjustment cost curvature.

Calibrated to the U.S. postwar economy, the model can generate a sizeable equity premium, with reasonable volatility for market. The Equity Premium Implied by Production. Urban Jermann () NoNBER Working Papers from National Bureau of Economic Research, Inc.

Abstract: This paper studies the determinants of the equity premium as implied by producers' first-order conditions. A closed form expression is presented for the Sharpe ratio at steady-state as a function of investment volatility and adjustment cost curvature. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): This paper studies the determinants of the equity premium as implied by producers ’ firstorder conditions.

A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology parameters. Calibrated to the U.S. postwar economy, the model can match the historical.

The equity premium implied by production. Urban Jermann (). Journal of Financial Economics,vol. 98, issue 2, Abstract: This paper studies the determinants of the equity premium as implied by producers' first-order conditions.

A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology by: single point estimate for a universal equity market risk premium for all developed markets.

In our current update we observe an increase in the equity risk premium compared to the previous quarter. The noticeable increase is both driven by increasing implied expected equity returns and File Size: KB.

The Equity Premium Implied by Production. By Urban J. Jermann. Abstract. This paper studies the determinants of the equity premium as implied by producers ’ firstorder conditions.

A closed form expression is presented for the Sharpe ratio at steady-state as a function of investment volatility and adjustment cost curvature.

Calibrated to the Author: Urban J. Jermann. Deriving the book value of a company is straightforward since companies report total assets and total liabilities on their balance sheet on a quarterly and annual basis. Additionally, the book value is also available as shareholders' equity on the balance sheet.The Equity Premium Implied by Production.

By Urban J. Jermann. Abstract. This paper studies the determinants of the equity premium as implied by producers ’ first-order conditions. A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology parameters.

Calibrated to the U.S. postwar Author: Urban J. Jermann.The Equity Premium Implied by Production. By Urban J. Jermann. Abstract. This paper studies the determinants of the equity premium as implied by producers ’ firstorder conditions.

A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology parameters. Calibrated to the U.S. postwar Author: Urban J. Jermann.