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

• Authors: Kliber Paweł
• 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.

Keywords

EN

risk premium; Mehra-Prescott model; risk averse; financial markets; general equilibrium

• Publisher: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
• Journal: Finansowy Kwartalnik Internetowy e-Finanse
• Year: 2016
• Volume: 12
• Issue: 1
• Pages: 1-11

Dates

published

2016-07-20

Contributors

author

Kliber Paweł

• Poznan University of Economics