haku: @indexterm MARKET THEORY / yhteensä: 68
viite: 28 / 68
| Tekijä: | Dempsey, M. J. |
| Otsikko: | The Nature of Market Growth, Risk, and Return |
| Lehti: | Financial Analysts' Journal
2002 : MAY-JUN, VOL. 58:3, p. 45-59 |
| Asiasana: | MARKET THEORY MARKET STRUCTURE RISK RISK ANALYSIS |
| Kieli: | eng |
| Tiivistelmä: | In the model of asset appreciation advanced here, the market economy and the market of asset claims on the economy are modeled as organic (or exponential growth) processes, similar to those commonly seen in nature and the biological sciences. In "Dempsey's organic growth model of appreciation" (DOGMA), investors have a log- wealth utility function. Within the framework, the market risk premium is derived as the premium that balances supply and demand among risky and risk-free assets. The model indicates that the premium is less than is indicated by ex post returns observed on U.S. stock markets. The model is consistent, however, with empirical observations that idiosyncratic risk and small company size are rewarded by the markets. |
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