Estimating the Equity Premium

@inproceedings{Donaldson2010EstimatingTE,
  title={Estimating the Equity Premium},
  author={Rebecca Donaldson and Mark J. Kamstra and Lisa A. Kramer},
  year={2010}
}
Existing empirical research investigating the size of the equity premium has largely consisted of a series of innovations around a common theme: producing a better estimate of the equity premium by using better data or a better estimation technique. The equity premium estimate that emerges from most of this work matches one moment of the data alone: the mean difference between an estimate of the return to holding equity and a risk-free rate. We instead match multiple moments of U.S. market data… CONTINUE READING

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