Earticle

초록

영어

We model and estimate equity premium in a general equilibrium setting. It is done by reframing the Merton's model (1974) in the context of the general equilibrium models such as Ahn and Thompson (1988) and Bates (1991). A novelty of our approach is to derive equity premium by evaluating the equity returns dynamics at equilibrium and to thereby allow a non-risk convexity premium for equity as well as its risk premium. While risk premium is generally due to systematic risk, convexity premium is due to the option-like feature of equity, and exists under returns discontinuity and risk neutrality. We model equity premium such that the convexity premium pays for the liquidity cost of equity. We calibrate our equity premium model and report that the convexity premium counts for about 50 percent of our predicted equity premium. We find relevance of our non-risk convexity premium on the premium puzzle and anomalies in the stock market.

목차

Abstract
 1. A Prior Literature and Our Contribution to the Literature
 2. The Model
 3. Equilibrium Equity Premium
 4. Model Calibration
 5. Further Comparisons and Implications
 6. Summary and Conclusion
 Appendix
 References
 Table

키워드

저자

• Keehwan Park [ Professor, Business college, Kookmin university, Seoul, ]
• Saekwon Kim [ Instructor, Business college, Kookmin university, Seoul, ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330