1999
DOI: 10.3905/jpm.1999.319776
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The Shrinking Equity Premium

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Cited by 179 publications
(81 citation statements)
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“…The premium of aggregate stock returns above the riskless rate of interest is difficult to reconcile with the C-CAPM unless one is willing to accept an implausibly high value for the risk aversion parameter. However, as Siegel (1999) conjectured, there is a very strong possibility that investors may not actually earn the equity premium on their portfolios. The results of this investigation, though not based on a sufficiently large sample to permit the generalisation of the findings to all investors, provide some support for this conjecture.…”
Section: Discussionmentioning
confidence: 99%
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“…The premium of aggregate stock returns above the riskless rate of interest is difficult to reconcile with the C-CAPM unless one is willing to accept an implausibly high value for the risk aversion parameter. However, as Siegel (1999) conjectured, there is a very strong possibility that investors may not actually earn the equity premium on their portfolios. The results of this investigation, though not based on a sufficiently large sample to permit the generalisation of the findings to all investors, provide some support for this conjecture.…”
Section: Discussionmentioning
confidence: 99%
“…As Siegel (1999) has suggested, problems with portfolio construction may lead to returns that fall short of those experienced by the share market in general.…”
Section: Figure 2 Smsf Allocations To Listed Australian Shares: All 1mentioning
confidence: 99%
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“…Ibbotson and Chen (2001) estimate a long-term risk premium between 4 and 6%. Also see Siegel (1999), Asness (2000), Heaton and Lucas (2000) and Jagannathan, McGratten and Scherbina (2001). observation is 4.11% --a two-thirds increase and the highest observation on record.…”
Section: Panel B Ofmentioning
confidence: 99%