Article ID Journal Published Year Pages File Type
973473 The North American Journal of Economics and Finance 2006 15 Pages PDF
Abstract

There is an increasingly prevalent view among financial economists that the ex-ante equity premium has declined over the last 50 years. In this paper, we present new empirical evidence indicating that there was a structural break in the equity premium in both the U.S. and Europe in the immediate post-WWII period driven by a decline in consumption risk. This is confirmed in complete, segmented and incomplete market settings. The results of this paper demonstrate that the discrepancy between the ex-post and ex-ante equity premia is not a recent phenomenon.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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