THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON THE EQUITY PREMIUM PUZZLE: EVIDENCE FROM THE DUTCH EQUITY MARKET
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2020-07-17
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en
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This paper investigates the equity premium puzzle during the global financial crisis and how
it is affected by investor sentiment, volatility and trade volume. We use the AEX as a proxy for the
market portfolio over the years 2002 – 2016. We replicate the study of Fama and French to determine
the theoretical benchmarks. We report an equity premium of 4.11% over the whole sample period.
Using an AR(1) model, we find that investor sentiment has a significant negative impact on the equity
premium puzzle. We find a significant positive relationship between volatility and the excess equity
premium. We find hardly any evidence for a significant effect of trade volume within our data.
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Faculteit der Managementwetenschappen