Economic Theory Bulletin

, Volume 3, Issue 2, pp 213–222 | Cite as

Equity risk premium and insecure property rights

  • Konstantin Magin
Research Article


How much of the equity risk premium puzzle can be attributed to the insecure property rights of shareholders? This paper develops a version of the CCAPM with insecure property rights (stochastic taxes). The model implies that the current expected equity premium can be reconciled with a coefficient of relative risk aversion of 3.76, thus resolving a substantial part of the equity premium puzzle.


CCAPM Equity premium Property rights Risk aversion Stochastic taxation 

JEL Classification

G1 H2 


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Copyright information

© SAET 2014

Authors and Affiliations

  1. 1.The Center for Risk Management Research and Haas School of BusinessUniversity of California at BerkeleyBerkeleyUSA

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