THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON THE EQUITY PREMIUM PUZZLE: EVIDENCE FROM THE DUTCH EQUITY MARKET
dc.contributor.advisor | Qiu, J. | |
dc.contributor.author | Gerritzen, Dorus | |
dc.date.issued | 2020-07-17 | |
dc.description.abstract | 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. | en_US |
dc.identifier.uri | https://theses.ubn.ru.nl/handle/123456789/9789 | |
dc.language.iso | en | en_US |
dc.thesis.faculty | Faculteit der Managementwetenschappen | en_US |
dc.thesis.specialisation | Financial Economics | en_US |
dc.thesis.studyprogramme | Master Economics | en_US |
dc.thesis.type | Master | en_US |
dc.title | THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON THE EQUITY PREMIUM PUZZLE: EVIDENCE FROM THE DUTCH EQUITY MARKET | en_US |
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