Equity premium
Equity premium no Brasil e o comportamento do investidor
... Da mesma forma, os resultados obtidos neste estudo indicam que, considerando o equity premium implícito, os brasileiros sofrem de aversão a perdas míope e portfólio desses investidores é compatível com a ...
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Contributos para a explicação dos puzzles equity premium e risk free rate a partir do modelo recursivo epstein-zin-weil: uma análise empírica
... In the empirical work we applied three different estimation and statistical inference methods (GEL, Kleibergen and conditional moment restrictions estimation - all these new contributions to EZW literature), considering ...
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CRASHES, VOLATILITY, AND THE EQUITY PREMIUM: LESSONS FROM SP 500 OPTIONS
... the equity premium can easily be twice what is justifiable from the level of realized ...a premium for some bad states of the world that investors deemed probable but did not materialize in the ...
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Análise e avaliação do equity-premium puzzle no mercado acionário brasileiro usando função de utilidade recursiva
... estimação de modelos CCAPM (Comsuption capital asset pricing model). Para tanto, usaram três tipos de funções utilidade diferentes – utilidade esperada, hábito externo e tipo Kreps-Porteus. Em cada um dos casos, a partir ...
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The forward- and the equity-premium puzzles: two symptoms of the same illness?
... Forward Premium Puzzle — henceforth, FPP — is how one calls the systematic departure from the intuitive proposition that the expected return to speculation in the forward foreign exchange market should be zero, ...
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Saving-capm: uma proposta de solução para o equity premium puzzle do consumption-capm
... o equity premium puzzle está no fato da taxa de crescimento da poupança (S) ter apresentado, historicamente, uma volatilidade maior do que a série de crescimento do consumo ...
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The forward- and the equity-premium puzzles: two symptoms of the same illness?
... More specifically, our exercise consists in exploring a large cross-section of U.S. time-series stock returns to construct return-based pricing kernel estimates satisfying the Pricing Equation (6) for that group of ...
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Equity-premium puzzle: evidence from Brazilian data
... This paper uses 1992:1-2004:2 quarterly data and two di¤erent methods (approximation under lognormality and calibration) to eval- uate the existence of an equity-premium puzzle in Brazil. In contrast with ...
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The forward- and the equity-premium puzzles: two symptoms of the same illness?
... Using information on US domestic financial data only, we build a stochastic dis- count factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumptio[r] ...
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Mehra and Prescott (1985, JME) The Equity Premium A puzzle
... Intuitively, the reason why the low average real return and high average return on equity cannot simultaneously be rationalized in a perfect market framework is as[r] ...
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The forward and the equity premium puzzles: two symptoms of the same illness?
... Then, a departure point in this narrowing process can be, based on a more general framework as the Asset Pricing Equation, to derive an equation that describes the currency[r] ...
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Estimating the stochastic discount factor without a utility function
... estimates in Hansen and Singleton (1982, 1984), because of rejections in the over- identifying restrictions tests. Mehra and Prescott (1985) put forth the EPP in some- what di¤erent terms. To avoid estimation of CCAPM ...
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BAR, Braz. Adm. Rev. vol.10 número2
... (“The Equity Premium Puzzle: Analysis in Brazil after the Real Plan”, by Fábio Gomes, Luciana Costa and Ruth Pupo) investigates whether there is evidence of an Equity Premium Puzzle (EPP) in ...
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Fator de desconto estocástico no mercado acionário brasileiro.
... A fronteira de Hansen-Jagannathan a partir dos retornos das ações exige valores ex- plosivos de D para gerar um fator de desconto estocástico (M) válido. Ou seja, a geo- metria da fronteira requer uma alta volatilidade V ...
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Long-run valuation risk and asset pricing
... • We propose a simple model of asset pricing with valuation risk that accounts for the level and volatility of the equity premium and of the risk free rate. • The model is broadly consis[r] ...
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Do Premium ao Preço: Mudança nas Estratégias de Comunicação das Marcas
... Com este trabalho de investigação pretende-se analisar e compreender, de uma forma sustentada, a prevalência e a importância do preço nas decisões de comunicação das marcas nos últimos seis anos, período no qual se tem ...
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Equity and health
... Because of biological constraints, there are differences or inequalities in health outcomes or health status that are unavoidable or irreducible. At the same time, however, there are myriad examples of differences or ...
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IMPACTO DO WEBSITE NO BRAND EQUITY DE UMA EMPRESA JOÃO LUÍS FERNANDES SIMÕES
... brand equity e o valor de uma marca são palavras facilmente associadas, mas, apesar de serem conceitos que estão intimamente ligados, não devem ser confundidos, tendo cada uma deles uma explicitação ...brand ...
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The risk premium on brazilian government debt, 1996-2002
... risk premium on Brazilian government debt. As the risk premium is a component of the interest rate set by the Brazilian central bank, its reduction would make it possible for the central bank to cut ...
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INSTITUTO SUPERIOR DE ECONOMIA E GESTÃO
... Consequently, one possible way out is correcting Loss Ratio through a rates review, in order to achieve the targeted loss ratio (using to compensate the loss of ). This measure can be equivalent to the one presented in ...
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