INVESTIGATION EQUITY RISK PREMIUM PUZZLE IN IRAN’S ECONOMY USINGGMM ESTIMATION IN THE S-CCAPM MODEL

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MOHAMMADZADEH AZAM; SHAHIKI TASH MOHAMMADNABI; ROSHAN REZA

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Title

INVESTIGATION EQUITY RISK PREMIUM PUZZLE IN IRAN’S ECONOMY USINGGMM ESTIMATION IN THE S-CCAPM MODEL

Author(s)

MOHAMMADZADEH AZAM | SHAHIKI TASH MOHAMMADNABI | ROSHAN REZA | Issue Writer Certificate

Keywords

EQUITY RISK PREMIUM PUZZLEQ2

RISK-FREE RETURNQ2

CCAPM MODELQ2

S-CCAPM MODELQ2

Abstract

One of the most important branches of finance is modeling and evaluation of assets pricing. For this reason, many models have been proposed to explain the pricing of assets. Studies of last two decades refer to limits on the models. Such issue is EQUITY RISK PREMIUM PUZZLE. In this paper was investigated the theoretical EQUITY RISK PREMIUM PUZZLE with the experimental study of this phenomenon using data of years 1367 to 1391 seasonally from the Stock Exchange in Tehran. To investigate this puzzle addition to Mehra and Prescott (1985) method is used estimation of S-CCAPM MODEL using GMM method. S-CCAPM MODEL is adjustment of CCAPM MODEL that was created with the import savings to utility function. Models results show that according to Mehra and Prescott method equity risk premium is obtained 5.7. This value shows that there is risk premium puzzle in the economy of Iran because with the use of empirical data equity risk premium is 0.129. But at second method, equity risk premium gained 0.4. This implies that the adjustment in the base CCAPM can be helped to solve the puzzle.

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APA: Copy

MOHAMMADZADEH, AZAM, SHAHIKI TASH, MOHAMMADNABI, & ROSHAN, REZA. (2017). INVESTIGATION EQUITY RISK PREMIUM PUZZLE IN IRAN’S ECONOMY USINGGMM ESTIMATION IN THE S-CCAPM MODEL. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 9(32), 15-34. SID. https://sid.ir/paper/200310/en

Vancouver: Copy

MOHAMMADZADEH AZAM, SHAHIKI TASH MOHAMMADNABI, ROSHAN REZA. INVESTIGATION EQUITY RISK PREMIUM PUZZLE IN IRAN’S ECONOMY USINGGMM ESTIMATION IN THE S-CCAPM MODEL. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2017;9(32):15-34. Available from: https://sid.ir/paper/200310/en

IEEE: Copy

AZAM MOHAMMADZADEH, MOHAMMADNABI SHAHIKI TASH, and REZA ROSHAN, “INVESTIGATION EQUITY RISK PREMIUM PUZZLE IN IRAN’S ECONOMY USINGGMM ESTIMATION IN THE S-CCAPM MODEL,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 9, no. 32, pp. 15–34, 2017, [Online]. Available: https://sid.ir/paper/200310/en

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