2009-01: Equity Risk Premium and Insecure Property


How much of the equity risk premium puzzle can be attributed to the insecure property rights of shareholders? This paper develops a version of the CCAPM with insecure property rights. The model implies that the current expected equity premium can be reconciled with a coefficient of risk aversion of 3.76, thus resolving the equity premium puzzle.

Publication date: 
January 1, 2009
Publication type: 
2009 Working Papers