Equity premium in Finland and long-term performance of the Finnish equity and money markets

Nyberg, Peter; Vaihekoski, Mika

doi:10.1007/s11698-013-0101-7

Cited by 11 publications

(9 citation statements)

References 20 publications

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“…1895-1912 Total return index from Poutvaara (1996), based on several banks. Total return index from Nyberg and Vaihekoski (2014), from the data shared with us by Mika Vaihekoski.…”

Section: Online Appendixmentioning

confidence: 99%

The Rate of Return on Everything, 1870–2015

Jordà

Knoll

Kuvshinov

et al. 2017

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errors are our own. The views expressed herein are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco, the Board of Governors of the Federal Reserve System, the Deutsche Bundesbank, or the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

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“…1895-1912 Total return index from Poutvaara (1996), based on several banks. Total return index from Nyberg and Vaihekoski (2014), from the data shared with us by Mika Vaihekoski.…”

Section: Online Appendixmentioning

confidence: 99%

The Rate of Return on Everything, 1870–2015

Jordà

Knoll

Kuvshinov

et al. 2017

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“…Past research has supported their conclusions based on data, comprising fifty years or more (Mehra & Prescott, 1985;Campbell, 1999;Hibbard, 2000;Nyberg & Vaihekoski, 2014). However, PSX being a nascent equity market lacks such long term data availability.…”

Section: Limitationsmentioning

confidence: 91%

“…The results suggest that investors are biased in investment decisions and affect the market, creating an equity premium puzzle. Further, Nyberg & Vaihekoski (2014), using annual data from 1913 to 2009 for Finland and Sweden, found the ERP to be 10.14% and 6.01%, respectively. A rational economic paradigm could not explain such a high equity premium.…”

Section: Empirical Researchmentioning

confidence: 99%

The Equity Risk Premium Puzzle in Pakistan

Ali

Arsalan

Khan

et al. 2021

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Our study uses the consumption-based asset-pricing power utility model to test theEquity Risk Premium (ERP) puzzle in Pakistan. The study has collected monthly stock pricedata from July 1997 to December 2017 from the PSX data portal. We extracted informationabout macroeconomic factors such as inflation and risk-free interest rate from the State Bankof Pakistan. Moreover, the study used private consumption and population data from thePakistan Bureau of Statistics. The results suggest that the ERP puzzle has a strong occurrencein Pakistan, a phenomenon previously associated with only developed markets. Onedisadvantage of the present investigation is the small sample size. A longer time durationcould have reduced short-term biases. Past researchers have suggested different approachesfor solving the equity premium puzzle. For instance, some studies used improvised structuralmodels to justify the equity risk premium puzzle using macroeconomic factors.

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“…Swedish banks today offer loans to energy efficiency projects at 6 percent interest rate without demanding collateral and offer mortgages with a five year fixed interest rate of 3,5 percent. Further, the average annual real return on Swedish and American stocks during the period of 1912-2009 have been estimated to be approximately 5 and 7 percent respectively (Nyberg and Vaihekoski 2014). These numbers serve as a reasonable starting point (minimum) when thinking about households' discount rates.…”

Section: Scarce Resources and Discount Ratesmentioning

confidence: 97%