The equity risk premium : the long-run future of the stock market

목차 (Table of Contents)

• CONTENTS
• Preface = ⅸ
• Acknowledgments = xi
• Chapter 1 : Measuring and Assessing Stock-Market Performance = 1
• An Introduction to Stock-Market History = 5
• Stock-Market Indexes = 6
• Using Investor Returns to Assess Stock-Market Performance = 9
• An Overview of Market Performance : Annual Holding - Period Returns = 12
• The Equity Risk Premium = 18
• Definition = 18
• Importance = 19
• Using the Historical Data to Estimate Future Stock-Market Performance = 20
• Uses of the Equity Risk Premium = 27
• Inflation and Asset Returns = 29
• Stock Returns and the Risk Premium : Looking Forward = 34
• Chapter 2 : Evaluating the Historical Record = 36
• Computing the Average Premium : Arithmetic versus Geometric = 36
• How Accurately Can the Historical Risk Premium Be Measured? = 39
• Nonstationarity and Historical Estimates of the Equity Risk Premium = 45
• Attempts to Model Changes in the Risk Premium = 49
• Models Based on the Variability of Returns = 51
• Models Based on Dividend and Earnings Yield = 52
• Does Nonstationarity Really Matter for Estimating the Long-Run Risk Premium? = 53
• The Impact of Permanent Changes in the Risk Premium on Stock Prices = 55
• The Bottom Line on Nonstationarity = 59
• Survival Bias = 60
• The Impact = 60
• The Bottom Line = 69
• Stock and Bond Returns = 70
• Over the Long Horizon = 70
• The Impact of Inflation = 74
• A Final Assessment of the Historical Record = 77
• Appendix 2.1 : Monthly Data for Stocks, Bonds, Bills, and Inflation = 79
• Chapter 3 : Forward-Looking Estimates of the Equity Risk Premium = 101
• The Discounted Cash Flow Model = 102
• Forms of the Model = 102
• Constant- Growth Form = 102
• Multistage Form = 106
• Comparison of the Discounted Cash Flow and Historical Estimates of the Risk Premium = 113
• The Blanchard Extension of the Discounted Cash Flow Approach = 114
• The Kaplan-Ruback Study = 115
• The Fama-French Aggregate Internal Rate of Return Analysis = 117
• An Earnings Yield Approach to Estimating the Market Risk Premium = 121
• The Welch Survey = 122
• Summary of the Risk Premium Estimates Produced by Competing Approaches = 125
• Chapter 4 : Risk Aversion and the Risk Premium Puzzle = 126
• The Economic Theory of Risk Aversion = 126
• What Types of Risk Are Rewarded : A Brief Review of Portfolio Theory = 130
• The Market Risk Premium and the Cost of Equity Capital = 135
• Risk Aversion and the Historical Equity Risk Premium : The Risk Premium Puzzle = 137
• Explanations for the Risk Premium Puzzle
• The Puzzle Is an Illusion : The Empirical Data Are Wrong = 141
• High Risk Aversion = 142
• Nonstandard Utility Functions = 145
• Autocorrelation in Returns = 149
• Time Varies Expected Returns = 150
• Heterogeneous Investors = 151
• What about a Stew? = 154
• What Explanations of the Equity Risk Premium Say about the Future = 154
• Chapter 5 : The Risk Premium and the Stock-Market Boom of the 1990s = 158
• Determining Whether Stock Prices Are High or Low = 159
• Explanations for the High Level of Stock Prices = 164
• A Decline in the Discount Rate Due to a Drop in the Equity Risk Premium = 165
• Changing Stock-Market Risk = 168
• Changing Investors and Changing Investor Demographics = 170
• The New Economic Paradigm : Higher Earnings and Dividend Growth = 178
• Irrational Exuberance : The Market Is Overvalued = 183
• Summary = 194
• Appendix 5.1 : International Stock Market Indices = 196
• Chapter 6 : The Equity Risk Premium and the Long-Run Outlook for Common Stocks = 201
• Weighing the Empirical and Theoretical Evidence = 202
• What Does the Stock Price Run-Up of the 1990s Augur for the Future? = 206
• The Impact of a Rational Drop in the Equity Risk Premium = 206
• The Impact of Permanently Higher Growth = 210
• The Implications of Overvaluation = 211
• Summary = 213
• Implications of a Lower Equity Risk Premium in the Future = 213
• Investment Implications = 213
• Implications for Corporate Financial Decision Making = 215
• Implications for Pension and Retirement Planning = 216
• References = 217
• Index = 223