tag:blogger.com,1999:blog-8152901575140311047.post9133755746200594555..comments2024-03-28T12:49:46.624-04:00Comments on Musings on Markets: Equity Risk Premiums and the Fear of CatastropheAswath Damodaranhttp://www.blogger.com/profile/12021594649672906878noreply@blogger.comBlogger8125tag:blogger.com,1999:blog-8152901575140311047.post-60238646412337058372015-10-08T16:35:22.319-04:002015-10-08T16:35:22.319-04:00must say that overall I am really impressed with t...must say that overall I am really impressed with this blog. It is easy to see that you are passionate about your writing. If only I had your writing ability I look forward to more updates and will be returning. <br /><br /><a href="http://qilinpoker.net" rel="nofollow">Poker Online Indonesia</a><br><br /><a href="http://qilinpoker.net/register.php" rel="nofollow">Agen Poker Online Indonesia</a><br><br /><a href="http://qilinpoker.net/contact.php" rel="nofollow">Agen Poker Online</a><br><br /><a href="http://qilinpoker.net/jackpot.php" rel="nofollow">Poker Online</a><br><br /><a href="http://qilinpoker.net/referral.php" rel="nofollow">Agen Poker</a><br><br /><a href="http://qilinpoker.net/mobile.php" rel="nofollow">Bandar Poker</a><br><br />poker domino 99http://qilinpoker.netnoreply@blogger.comtag:blogger.com,1999:blog-8152901575140311047.post-30183448636705193212010-04-24T14:40:53.281-04:002010-04-24T14:40:53.281-04:00Dear Damodaran,
Have you heard about Prospect Theo...Dear Damodaran,<br />Have you heard about Prospect Theory by Kahneman and Tversky?<br />You should find interesting how some deviation of expected utility theory (which is in the background of Corporate Finance) support your catastrophe argument.Diego Torres Bordahttps://www.blogger.com/profile/01152972490972905868noreply@blogger.comtag:blogger.com,1999:blog-8152901575140311047.post-61160327754830191692010-03-30T04:25:25.548-04:002010-03-30T04:25:25.548-04:00Hi Professor Damodaran
I've built an ERP mode...Hi Professor Damodaran<br /><br />I've built an ERP model for South Africa based on historical earnings of equity markets vs govt gilts.<br /><br />I've opted for a 3 year geometric moving average return.<br /><br />I've read yours and many other models but none indicates what interval one should you for the geometric mean. The results I get vary significantly depending on the period I use to derive the geometric mean.<br /><br />One would intuitively guess that since this is a long term calculation, a 10 year moving average geometric return would be more reflective of long-term risk than my current 3 year moving average.<br /><br />However, my take is that by using a 10 year moving average, a add more bias to the calculations.<br /><br />Please advise<br />Joao (Mocambique)Laude Guiryhttps://www.blogger.com/profile/10151422936241856651noreply@blogger.comtag:blogger.com,1999:blog-8152901575140311047.post-35212336415031572622010-03-16T04:18:36.721-04:002010-03-16T04:18:36.721-04:00hello...how can I follow ur blog? Can't see th...hello...how can I follow ur blog? Can't see the link?Nehahttps://www.blogger.com/profile/13876103782641433680noreply@blogger.comtag:blogger.com,1999:blog-8152901575140311047.post-43935512571130835722010-03-09T19:05:14.632-05:002010-03-09T19:05:14.632-05:00Sorry for the double-post. Just want to clarify, ...Sorry for the double-post. Just want to clarify, I don't mean the complete market efficiency espoused by people like Burton Malkiel. But long-term, aggregate market efficiency.Lionelhttps://www.blogger.com/profile/04995847420628323961noreply@blogger.comtag:blogger.com,1999:blog-8152901575140311047.post-14215195774168818882010-03-09T18:55:13.950-05:002010-03-09T18:55:13.950-05:00Professor Damodaran,
I agree completely with your ...Professor Damodaran,<br />I agree completely with your assessment that the equity risk premium is one of the most important numbers in valuation. I read over a few parts of your 99-page equity risk premium essay (2010) and I was particularly struck by your data findings that implied risk premiums seem to have beaten the other premiums (historical, survey, average, etc) in terms of predictive power. <br /><br />You probably know what's coming next. We all have different investment philosophies regarding the markets, and one of your primary points is that investors who believe that markets will be efficient in the aggregate/long-run, should use the implied equity risk premium. Given the relative failures of the other risk premiums, why not proclaim the triumph of the market efficiency investment philosophy? <br /><br />Of course the technicians and the unbelievers will cry in protest, but isn't market efficiency the goal anyway? (of not just stock markets but markets in general). <br /><br />This isn't really a suggestion, more of a speculation. If all market participants believed in market efficiency, wouldn't the stock markets naturally become more efficient, making prices less volatile, like they have become in real markets?Lionelhttps://www.blogger.com/profile/04995847420628323961noreply@blogger.comtag:blogger.com,1999:blog-8152901575140311047.post-4278422884385978542010-03-09T16:02:16.295-05:002010-03-09T16:02:16.295-05:00I don't pass judgment on other people's op...I don't pass judgment on other people's opinions. I think you can read what he has written and make your own judgments.Aswath Damodaranhttps://www.blogger.com/profile/12021594649672906878noreply@blogger.comtag:blogger.com,1999:blog-8152901575140311047.post-38336133726806950122010-03-09T13:40:32.292-05:002010-03-09T13:40:32.292-05:00Dear Damodaran,
What do you think about Pablo Fer...Dear Damodaran,<br /><br />What do you think about Pablo Fernández's opinions about equity risk premium? Opinions exposed in this paper, for example. http://ssrn.com/abstract=1473225Roberto Ushisimahttps://www.blogger.com/profile/08096559859941617833noreply@blogger.com