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E21

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Macroeconomics: Consumption; Saving; Wealth

The Equity Premium and Risk-Free Rate Puzzles in a Turbulent Economy: Evidence from 105 Years of Data from South Africa

Shakill Hassan and Andrew van Biljon
This paper presents a detailed empirical examination of the South African equity premium; and a quantitative theoretic exercise to test the canonical inter-temporal consumption-based asset pricing model under power utility. Over the long run, the South African stock market produced average returns...
Nov 2009
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