Equity premium over different investment horizons

Eunhee Lee, Chang Kim () and In-Moo Kim

Empirical Economics, 2015, vol. 48, issue 3, 1169-1187

Abstract: This paper studies the adequate size of equity premium over different investment horizons based on spatial dominance. We find that the puzzle with respect to the size of equity premium disappears as investment horizons get longer in terms of the spatial dominance; therefore, the adequate size of equity premium should be dependent upon the investment horizon. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Equity premium; Spatial dominance; Investment horizon; Time diversification; C22; G10 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s00181-014-0812-z

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