Survival Bias And The Equity Premium Puzzle  

Oleh:

Haitao, Li ; Yuewu, Xu

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 5 (2002), page 1981-1996.
Topik: PREMIUM; studies; corporate finance; securities markets; rates of return; models
Fulltext: p 1981.pdf (212.72KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Previous authors have raised the concern that there could be serious survival bias in the observed US equity premium. Contrary to conventional wisdom, this paper argues that the survival bias in the US data is unlikely to be significant. To reach this conclusion, a general framework is introduced for modeling survival and a mathematical relationship is derived between ex ante survival probability and the average survival bias. This relationship reveals the fundamental difficulty facing the survival argument: High survival bias requires an ex ante probability of market failure, which seems unrealistically high given the history of world financial markets.

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