Public investment and the risk premium for equity

Economica

Volumn 70, Issue 277, 2003, Pages 1-18

  Grant, Simon ^a,b   Quiggin, John ^b  

^a TILBURG UNIVERSITY   (Netherlands)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

CAPITAL MARKET; EQUITY; INVESTMENT; RISK FACTOR;

EID: 0037319945     PISSN: 00130427     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0335.t01-1-00268     Document Type: Article

References (22)

1. ARROW, K. and LIND, R. (1970). Uncertainty and the evaluation of public investment decisions. American Economic Review, 60, 364-78.
2. BARSKY, R. B., MANKIW, N. G. and ZELDES, S. P. (1986). Ricardian consumers with Keynesian propensities. American Economic Review, 76, 676-91.
3. BHATTACHARYYA, A., PARKER, E. and RAFFIEE, K. (1994). An examination of the effect of ownership on the relative efficiency of public and private water utilities. Land Economics, 70, 197-209.
4. BORCHERDING, T., POMMEREHNE, W. W. and SCHNEIDER, F. (1982). Comparing the efficiency of private and public production: the evidence from five countries. Zeitschrift fur National-okonomie Journal of Economics, Supplement 2, 127-56.
5. CONSTANTINIDES, G. M. and DUFFIE, D. (1996). Asset pricing with heterogeneous consumers. Journal of Political Economy, 104, 219-40.
6. CONSTANTINIDES, G. M., DONALDSON, J. B. and MEHRA, R. (1998). Junior can't borrow: a new perspective on the equity premium puzzle. NBER Working Paper Series no. 6617, Cambridge, Mass.
7. GEANAKOPLOS, J., MITCHELL, O. and ZELDES, S. P. (1998). Would a privatized social security system really pay a higher rate of return? Unpublished mimeo.
8. GRANT, S. and QUIGGIN, J. (2000). The interaction between the equity premium and the risk-free rate. Economics Letters, 69, 71-9.
9. GRANT, S. and QUIGGIN, J. (2002). The risk premium for equity: implications for Clinton's proposed diversification of the social security fund. American Economic Review.
10. GROSSMAN, S. and HART, O. (1983). An analysis of the principal-agent problem. Econometrica, 51, 7-46.
11. HIRSHLEIFER, J. (1965). Investment decisions under uncertainty: choice-theoretic approaches. Quarterly Journal of Economics, 79, 509-36.
12. HIRSHLEIFER, J. (1989). Time, Uncertainty and Information. New York: Basil Blackwell.
13. HIRSHLEIFER, J. and RILEY, J. (1992). The Analytics of Uncertainty and Information. Cambridge: Cambridge University Press.
14. HOLMSTROM, B. and TIROLE, J. (1998). Private and public supply of liquidity. Journal of Political Economy, 106, 1-40.
15. KAHN, J. A. (1990). Moral hazard, imperfect risk-sharing, and the behavior of asset returns. Journal of Monetary Economics, 26, 27-44.
16. KIMBALL, M. S. (1990). Precautionary saving in the small and in the large. Econometrica, 58, 53-73.
17. KOCHERLAKOTA, N. R. (1996). The equity premium: it's still a puzzle. Journal of Economic Literature, 34, 42-71.
18. MANKIW, N. G. (1986). The equity premium and the concentration of aggregate shocks. Journal of Financial Economics, 17, 211-19.
19. MEHRA, R. and PRESCOTT, E. C. (1985). The equity premium: a puzzle. Journal of Monetary Economics, 15, 145-61.
20. QUIGGIN, J. and CHAMBERS, R. G. (1998). A state-contingent production approach to principal-agent problems with an application to point-source pollution control. Journal of Public Economics, 70, 441 72.
21. STIGLITZ, J. and WEISS, A. (1981). Credit rationing in markets with imperfect information. American Economic Review, 71, 383-410.
22. TEEPLES, R. and GLYER, D. (1987). Cost of water delivery systems: specification and ownership effects. Review of Economics and Statistics, 63, 399-408.