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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/15033

Title: The time-varying equity premium and the s&p 500 in the twentieth century
Authors: Freeman, Mark
Issue Date: 2011
Publisher: Wiley © The Southern Finance Association and the Southwestern Finance Association
Citation: FREEMAN, M.C., 2011. The time-varying equity premium and the s&p 500 in the twentieth century. Journal of Financial Research, 34 (2), pp. 179 - 215
Abstract: I present a new hindcast stock market index for the United States over the twentieth century. This is constructed by calibrating a rational asset pricing model that allows for a time-varying equity premium driven by heteroskedasticity in consumption growth. By incorporating this variation in risk, the mean square error of the generated index series, when compared to the observed levels of the S&P 500, is significantly reduced. The model also explains the broad magnitudes and timings of the major bull and bear markets of the twentieth century, particularly before 1973, and the excess volatility puzzle is largely resolved. © 2011 The Southern Finance Association and the Southwestern Finance Association.
Description: This article was published in the Journal of Financial Research [© The Southern Finance Association and the Southwestern Finance Association] and the definitive version is available at: http://dx.doi.org/10.1111/j.1475-6803.2011.01288.x
Version: Accepted for publication
DOI: 10.1111/j.1475-6803.2011.01288.x
URI: https://dspace.lboro.ac.uk/2134/15033
Publisher Link: http://dx.doi.org/10.1111/j.1475-6803.2011.01288.x
ISSN: 0270-2592
Appears in Collections:Published Articles (Business School)

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