THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON THE EQUITY PREMIUM PUZZLE: EVIDENCE FROM THE DUTCH EQUITY MARKET

dc.contributor.advisorQiu, J.
dc.contributor.authorGerritzen, Dorus
dc.date.issued2020-07-17
dc.description.abstractThis 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.urihttps://theses.ubn.ru.nl/handle/123456789/9789
dc.language.isoenen_US
dc.thesis.facultyFaculteit der Managementwetenschappenen_US
dc.thesis.specialisationFinancial Economicsen_US
dc.thesis.studyprogrammeMaster Economicsen_US
dc.thesis.typeMasteren_US
dc.titleTHE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON THE EQUITY PREMIUM PUZZLE: EVIDENCE FROM THE DUTCH EQUITY MARKETen_US
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