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Literature survey of measurement of risk: The value premium

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This paper reviews the existing literature on the work that has been done in an important area of financial markets — measure of risks. The paper attempts to make this survey as complete as possible, but since this area of research has been very active for the past several years, describing all the work that has been done is not feasible. While the paper includes the most important research, it has left out some very good papers. Essentially, the paper emphasises the use of the value premium as a measurement of risk of equity and fixed-income securities. The paper suggests potentially fruitful areas for further research, including whether or not the value premium captures and explains the same type of risk as the market risk premium, which is the commonplace measure of risk in the finance literature.Journal of Asset Management (2004) 5, 277–288; doi:10.1057/palgrave.jam.2240146

Document Type: Research Article


Publication date: December 1, 2004


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