Estimating the market risk premium

• 成果类型: Article
• 署名作者: Mayfield, ES
• 署名单位: Charles River Associates
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2002.03.001
• 发表日期: 2004
• 页码: 465-496
• 关键词: Risk premium; asset pricing; Structural Breaks; Matkov-switching models

摘要

This paper provides a method for estimating the market risk premium that accounts for shifts in investment opportunities by explicitly modeling the underlying process governing the level of market volatility. I find that approximately 50% of the measured risk premium is related to the risk of future changes in investment opportunities. Evidence of a structural shift in the underlying volatility process suggests that the simple historical average of excess market returns may substantially overstate the magnitude of the market risk premium for the period since the Great Depression. (C) 2004 Elsevier B.V. All rights reserved.