Equity premium over different investment horizons

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• 作者：Eunhee Lee (1)
  Chang Sik Kim (1)
  In-Moo Kim (1)
  
  1. Department of Economics ; Sungkyunkwan University ; Jongro-gu ; Seoul ; 110-745 ; Korea
  
• 关键词：Equity premium ; Spatial dominance ; Investment horizon ; Time diversification ; C22 ; G10
• 刊名：Empirical Economics
• 出版年：2015
• 出版时间：May 2015
• 年：2015
• 卷：48
• 期：3
• 页码：1169-1187
• 全文大小：319 KB
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• 刊物主题：Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory;
• 出版者：Springer Berlin Heidelberg
• ISSN：1435-8921

文摘

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.