원문정보
피인용수 : 0건 (자료제공 : 네이버학술정보)
초록
영어
Mayfield (2004) estimated the market risk premium in the ICAPM framework that accounts for changes in investment opportunities. We claim that these estimates were inconsistent due to an endogeneity problem associated with the assumption that investors have perfect knowledge about the volatility states. We estimate the market risk premium controlling for the endogeneity. Our empirical results show that imposing this perfect knowledge assumption understates the total market risk premium and overstates the relative importance of the risk premium for shifts in investment opportunities.
목차
Abstract
1. Introduction
2. Model Specification
2.1 The Basic Model of Mayfield (2004)
2.2 The Issue of Endogenous Switching
3. Empirical Results
4. Conclusion
References
1. Introduction
2. Model Specification
2.1 The Basic Model of Mayfield (2004)
2.2 The Issue of Endogenous Switching
3. Empirical Results
4. Conclusion
References
저자정보
참고문헌
자료제공 : 네이버학술정보