PL EN


2016 | 12 | 1 | 1-11
Article title

A puzzle of excessive equity risk premium and the case of Poland

Authors
Content
Title variants
Languages of publication
EN
Abstracts
EN
The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the diff erence between the return on equiti es and risk-free rate) observed in fi nancial markets cannot be reconciled with theoreti cal models of fi nancial markets – it is too high (“excessive”). We present the original model from the seminal work of Mehra and Prescott (1985), where this problem has been signaled. The article gives an overview of the main trends in the literature concerning this problem, of the proposed soluti ons and of the extension to the model. Finally, we consider the problem in the Polish context, estimating the original Mehra-Prescott model using data from the Polish financial market.
Year
Volume
12
Issue
1
Pages
1-11
Physical description
Dates
published
2016-07-20
Contributors
author
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-496a0fb0-9bd3-4ab0-a234-75cde808d8e5
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