Login | Register

The estimation of equity risk premium for Canada

Title:

The estimation of equity risk premium for Canada

Baghramyan, Emin (2007) The estimation of equity risk premium for Canada. Masters thesis, Concordia University.

[img]
Preview
Text (application/pdf)
MR40976.pdf - Accepted Version
568kB

Abstract

In this paper I assess the equity risk premium for Canada. In order to accomplish the task, I use three different procedures. The first procedure extends the seminal Mehra and Prescott (1985) article and examines whether the equity risk premium puzzle exists for Canada during the last fifty years. This approach incorporates the conventional parameters of risk aversion and the time discount factor generally accepted by the existing literature. Moreover, the estimates of those parameters are derived which correspond to the observed premium provided by Canadian equities over risk free debt. The second procedure is based on Fama and French (2002). Different estimates of the risk premium are calculated using two growth models based on the growth rate of aggregate dividends and the growth rate of operating earnings. The third, and final, is the decomposition model based on the methodology employed by Dimson, Marsh and Staunton (2006). The main results argue for the existence of an equity premium puzzle for Canada, as the estimated parameter of risk aversion of the average investor is unrealistically high. Additionally, the estimates of the expected risk premium in real values using the growth and decomposition models argue for a smaller magnitude the historical risk premium

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Baghramyan, Emin
Pagination:vii, 52 leaves ; 29 cm.
Institution:Concordia University
Degree Name:Theses (M. Sc. Admin.)
Program:John Molson School of Business
Date:2007
Thesis Supervisor(s):Switzer, Lorne
ID Code:975755
Deposited By: Concordia University Library
Deposited On:22 Jan 2013 16:14
Last Modified:18 Jan 2018 17:41
Related URLs:
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Downloads per month over past year

Back to top Back to top