Gregory, A. (2011). "The Expected Cost of Equity and the Expected Risk Premium in the UK." Review of Behavioral Finance 3(1): 1-26.Gregory, A. (2011) "The Expected Cost of Equity and the Expected Risk Premium in the UK", Review of Behavioral Finance, 3, 1-26....
Equity Risk Premium (ERP) is the cornerstone in Financial Economics. It is a basic requirement in stock valuation, evaluation of portfolio performance and asset allocation. For the last decades, several studies have attempted to investigate the relationship between macroeconomic drivers of ERP. In thi...
Using a rich data set for the UK for over a century, we find that the relation between the equity risk premium and the government bond maturity premium is nonlinear and subject to stochastic regime switching. We identify a regime in which both premia are jointly characterized by low volatility...
Using a rich data set for the UK for over a century, we find that the relation between the equity risk premium and the government bond maturity premium is nonlinear and subject to stochastic regime switching. We identify a regime in which both premia are jointly characterized by low volatility...
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