The Equity Premium

By P. Bostock. 2004

1,019 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/3d5be062b0602a1929ea52da913462a17caa4f69

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Cars H. Hommes
2. Nicholas Barberis
3. Florian Wagener
4. John Y. Campbell
5. John M. McInnis
6. John O. S. Wilson
7. S. B. Thompson
8. Per Olsson

In Strategy and Management

1. John M. McInnis
2. Nicholas Barberis
3. Per Olsson
4. Jennifer Francis
5. Peter D. Easton
6. S. B. Thompson
7. Cars H. Hommes
8. Florian Wagener

Citations in the corpus

• Predicting market returns using aggregate implied cost of capital (2013, neutral): “For example, the ICC has been used to study the unconditional equity premium (Claus and Thomas (2001) and Fama and French (2002)), test theories on betas (Kaplan and Ruback (1995), Botosan (1997), Gebhardt, Lee, and Swaminathan (2001), Gode and Mohanram (2003), Brav, Lehavy, and Michaely (2005),…”
• Complex Evolutionary Systems in Behavioral Finance (2008, methodology): “We use an estimate of the risk premium –the difference between the expected return on the market portfolio of common stocks and the risk-free interest rate– to obtain R∗, as in Fama and French (2002).”
• Longevity risk in portfolios of pension annuities (2008, methodology): “23 Fama and French (2002) suggest that the equity premium estimated from fundamentals (for instance, the dividend or earnings growth rates) can be much lower than the equity premium produced by the average stock return.”
• Estimating the Cost of Capital Implied by Market Prices and Accounting Data (2009, background): “Francis et al. (2004), for example, compare the difference between the implied expected rates of return across samples with different accounting attributes. The focus of their study is on average differences as it should be; value-weighting would lead to results that were dominated by accounting att”
• Earnings Smoothness, Average Returns, and Implied Cost of Equity Capital (2010, positive): “I begin by replicating the main findings of Francis et al. (2004) using the cost of capital estimates from Brav et al.”
• Political connections and the cost of equity capital (2012, neutral): “In the same context, Fan et al. (2007) report that politically connected newly privatized Chinese firms underperform relative to unconnected firms, during the three years following their Initial Public Offering (IPO).”
• The Market Price of Risk and the Equity Premium (2005, methodology): “The model equity premium falls as agents learn, in accordance with evidence reported by Blanchard (1993), Jagannathan, McGratten, and Scherbina (2000), Fama and French (2002), DeSantis (2004), and others that the actual equity premium is declining .”
• Inequality, stock market participation, and the equity premium (2013, neutral): “Fama and French (2002) use fundamentals to calculate the equity premium; they estimate that the expected premium was 4.17% between 1872 and 1950, and just 2.55% between 1950 and 2000.”
• Behavioral Heterogeneity in Stock Prices (2007, methodology): “When earnings are used to determine 2Our estimates are slightly different from Fama and French (2002), because as in Shiller (1989), we use the CPI index to deflate nominal values. the fundamental valuation we follow the practice of Campbell and Shiller (2001) and smooth earnings by a 10 years…”