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The Equity Premium : Why is it a Puzzle?

Author: Rajnish Mehra
Publisher: Cambridge, Mass. National Bureau of Economic Research 2003.
Series: Working paper series (National Bureau of Economic Research), no. w9512.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This article takes a critical look at the equity premium puzzle the inability of standard intertemporal economic models to rationalize the statistics that have characterized U.S. financial markets over the past century. A summary of historical returns for the United States and other industrialized countries and an overview of the economic construct itself are provided. The intuition behind the discrepancy between  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Rajnish Mehra
OCLC Number: 1027348660
Notes: February 2003.
Description: 1 online resource.
Details: Mode of access: World Wide Web.
Series Title: Working paper series (National Bureau of Economic Research), no. w9512.
Responsibility: Rajnish Mehra.

Abstract:

This article takes a critical look at the equity premium puzzle the inability of standard intertemporal economic models to rationalize the statistics that have characterized U.S. financial markets over the past century. A summary of historical returns for the United States and other industrialized countries and an overview of the economic construct itself are provided. The intuition behind the discrepancy between model prediction and empirical data is explained. After detailing the research efforts to enhance the model's ability to replicate the empirical data, I argue that the proposed resolutions fail along crucial dimensions.

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