Skip to main content
eScholarship
Open Access Publications from the University of California

Equity Risk Premium and Insecure Property Rights

Abstract

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.

Main Content
For improved accessibility of PDF content, download the file to your device.
Current View