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Event 23. oktober 2026, 11:00-12:15

Fin­ance Sem­in­ar with Tuomo Vuol­tee­naho, NBER & Joint Ef­fects

The De­part­ment of Fi­nan­ce is proud to an­no­un­ce the upco­m­ing se­mi­nar with Tuomo Vuolteenaho, NBER & Joint Effects.

About Tuomo Vuolteenaho
Tid
23. oktober 2026, 11:00-12:15
Lokation
Copenhagen Business School
Solbjerg Plads 3
2000 Frederiksberg
Room SPs08
Emner
Finansiering

Please join us for a Finance Seminar with Tuomo Vuolteenaho, NBER & Joint Effects.

Tuomo Vuolteenaho will present: Purifying the Equity Premium

Abstract: The equity premium has conventionally been defined as the return on stocks minus the return on bills. We decompose this conventional definition into two components: the pure equity premium, defined as stocks minus duration-matched inflation-indexed bonds, and the real term premium, defined as duration-matched inflation-indexed bonds minus bills. Empirically, we find that the pure equity premium has no “puzzling” features, as it not only has a relatively low Sharpe ratio but also a high correlation with measured consumption growth. However, challenges remain: The real term premium has a high sample mean and volatility, and realizations of the pure equity premium and real term premium are very negatively correlated. 

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