EconPapers    
Economics at your fingertips  
 

Term Structure of Equity Risk Premia in Rough Terrain: 150 Years of the French Stock Market

Georges Prat (georges.prat@parisnanterre.fr) and David Le Bris
Additional contact information
Georges Prat: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: We implement a state-space modeling to capture jointly the one-year and infinite horizons equity risk premia (ERPs) over a secular period in France. Expected stock returns are represented by mixing traditional expectation processes, expected variances are from GARCHX models and risk prices are stochastic state variables estimated using the Kalman filter method. Represented by the spread between long- and short-term ERPs, the term structure strongly varies over time exhibiting a dominant downward sloping. Both expected variances and risk prices are highly at play in determining the ERPs term structure, the effects of restraints on borrowing and of international stock market contagion completing the explanation. Overall, our modeling provides rather similar results using US data. We finally show that the French ERPs term structure varies with the economic cycle, the cost of capital and the liquidity preference.

Keywords: [No; keyword; available] (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Published in Quarterly Review of Economics and Finance, 2024

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04618694

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD (hal@ccsd.cnrs.fr).

 
Page updated 2025-03-19
Handle: RePEc:hal:journl:hal-04618694