Prime de risque et prix du risque sur les actions

René Garcia and Nour Meddahi

Revue d'économie financière, 2019, vol. N° 133, issue 1, 199-211

Abstract: The equity premium measures the return obtained by investing in equities in excess of a short-term Treasury bill return. In the last thirty years, the financial literature has proposed various risk models to rationalize the magnitude of this premium, which amounts to an annual 6 % to 8 % for most industrialized countries for the post-war period. We review the various models and explain their increased complexity to capture not only the mean premium but also its variability, its predictability at various horizons and its term structure. Classification JEL : G11, G12, G17.

JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2019
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