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The equity risk premium : the long-run future of the stock market

The equity risk premium : the long-run future of the stock market (Loan 4 times)

Material type
단행본
Personal Author
Cornell, Bradford.
Title Statement
The equity risk premium : the long-run future of the stock market / Bradford Cornell.
Publication, Distribution, etc
New York :   Wiley,   c1999.  
Physical Medium
x, 227 p. : ill. ; 24 cm.
Series Statement
Wiley frontiers in finance
ISBN
0471327352 (cloth : alk. paper)
Bibliography, Etc. Note
Includes bibliographical references (p. [217]-222) and index.
Subject Added Entry-Topical Term
Stocks -- Prices -- United States. Risk -- United States. Stocks. Speculation. Government securities.
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001 000000700830
005 20010410154050
008 981110s1999 nyua b 001 0 eng
010 ▼a 98051035
020 ▼a 0471327352 (cloth : alk. paper)
040 ▼a DLC ▼c DLC ▼d UKM ▼d C#P ▼d 211009
043 ▼a n-us---
049 1 ▼l 111181955
050 0 0 ▼a HG4915 ▼b .C664 1999
082 0 0 ▼a 332.63/22/0973 ▼2 21
090 ▼a 332.6322 ▼b C814e
100 1 ▼a Cornell, Bradford.
245 1 4 ▼a The equity risk premium : ▼b the long-run future of the stock market / ▼c Bradford Cornell.
260 ▼a New York : ▼b Wiley, ▼c c1999.
300 ▼a x, 227 p. : ▼b ill. ; ▼c 24 cm.
440 0 ▼a Wiley frontiers in finance
504 ▼a Includes bibliographical references (p. [217]-222) and index.
650 0 ▼a Stocks ▼x Prices ▼z United States.
650 0 ▼a Risk ▼z United States.
650 4 ▼a Stocks.
650 4 ▼a Speculation.
650 4 ▼a Government securities.

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.6322 C814e Accession No. 111181955 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents


CONTENTS

Preface = ⅸ

Acknowledgments = xi

Chapter 1 : Measuring and Assessing Stock-Market Performance = 1

 An Introduction to Stock-Market History = 5

  Stock-Market Indexes = 6

  Using Investor Returns to Assess Stock-Market Performance = 9

  An Overview of Market Performance : Annual Holding - Period Returns = 12

 The Equity Risk Premium = 18

  Definition = 18

  Importance = 19

 Using the Historical Data to Estimate Future Stock-Market Performance = 20

  Uses of the Equity Risk Premium = 27

  Inflation and Asset Returns = 29

  Stock Returns and the Risk Premium : Looking Forward = 34

Chapter 2 : Evaluating the Historical Record = 36

 Computing the Average Premium : Arithmetic versus Geometric = 36

 How Accurately Can the Historical Risk Premium Be Measured? = 39

 Nonstationarity and Historical Estimates of the Equity Risk Premium = 45

 Attempts to Model Changes in the Risk Premium = 49

  Models Based on the Variability of Returns = 51

  Models Based on Dividend and Earnings Yield = 52

  Does Nonstationarity Really Matter for Estimating the Long-Run Risk Premium? = 53

  The Impact of Permanent Changes in the Risk Premium on Stock Prices = 55

  The Bottom Line on Nonstationarity = 59

 Survival Bias = 60

  The Impact = 60

  The Bottom Line = 69

 Stock and Bond Returns = 70

  Over the Long Horizon = 70

  The Impact of Inflation = 74

 A Final Assessment of the Historical Record = 77

 Appendix 2.1 : Monthly Data for Stocks, Bonds, Bills, and Inflation = 79

Chapter 3 : Forward-Looking Estimates of the Equity Risk Premium = 101

 The Discounted Cash Flow Model = 102

  Forms of the Model = 102

   Constant- Growth Form = 102

   Multistage Form = 106

  Comparison of the Discounted Cash Flow and Historical Estimates of the Risk Premium = 113

 The Blanchard Extension of the Discounted Cash Flow Approach = 114

 The Kaplan-Ruback Study = 115

 The Fama-French Aggregate Internal Rate of Return Analysis = 117

 An Earnings Yield Approach to Estimating the Market Risk Premium = 121

 The Welch Survey = 122

 Summary of the Risk Premium Estimates Produced by Competing Approaches = 125

Chapter 4 : Risk Aversion and the Risk Premium Puzzle = 126

 The Economic Theory of Risk Aversion = 126

 What Types of Risk Are Rewarded : A Brief Review of Portfolio Theory = 130

 The Market Risk Premium and the Cost of Equity Capital = 135

 Risk Aversion and the Historical Equity Risk Premium : The Risk Premium Puzzle = 137

 Explanations for the Risk Premium Puzzle

  The Puzzle Is an Illusion : The Empirical Data Are Wrong = 141

  High Risk Aversion = 142

  Nonstandard Utility Functions = 145

  Autocorrelation in Returns = 149

  Time Varies Expected Returns = 150

  Heterogeneous Investors = 151

  What about a Stew? = 154

 What Explanations of the Equity Risk Premium Say about the Future = 154

Chapter 5 : The Risk Premium and the Stock-Market Boom of the 1990s = 158

 Determining Whether Stock Prices Are High or Low = 159

 Explanations for the High Level of Stock Prices = 164

  A Decline in the Discount Rate Due to a Drop in the Equity Risk Premium = 165

  Changing Stock-Market Risk = 168

  Changing Investors and Changing Investor Demographics = 170

  The New Economic Paradigm : Higher Earnings and Dividend Growth = 178

  Irrational Exuberance : The Market Is Overvalued = 183

 Summary = 194

 Appendix 5.1 : International Stock Market Indices = 196

Chapter 6 : The Equity Risk Premium and the Long-Run Outlook for Common Stocks = 201

 Weighing the Empirical and Theoretical Evidence = 202

 What Does the Stock Price Run-Up of the 1990s Augur for the Future? = 206

  The Impact of a Rational Drop in the Equity Risk Premium = 206

  The Impact of Permanently Higher Growth = 210

  The Implications of Overvaluation = 211

  Summary = 213

 Implications of a Lower Equity Risk Premium in the Future = 213

  Investment Implications = 213

  Implications for Corporate Financial Decision Making = 215

  Implications for Pension and Retirement Planning = 216

References = 217

Index = 223



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