An edition of The equity premium puzzle (2008)

The equity premium puzzle

a review

by

Cover of: The equity premium puzzle by Rajnish Mehra, Rajnish Mehra
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Last edited by ImportBot
May 25, 2022 | History
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An edition of The equity premium puzzle (2008)

The equity premium puzzle

a review

by

Over two decades ago, Mehra and Prescott (1985) challenged the finance profession with a poser: the historical US equity premium is an order of magnitude greater than can be rationalized in the context of the standard neoclassical paradigm of financial economics. This regularity, dubbed "the equity premium puzzle," has spawned a plethora of research efforts to explain it away. In this review, the author takes a retrospective look at the original paper and explains the conclusion that the equity premium is not a premium for bearing non-diversifiable risk.

Publish Date
Publisher
Now
Language
English
Pages
85

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Previews available in: English

Subjects

Investments & Securities, Stocks, Risk, BUSINESS & ECONOMICS, Finance

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Edition Availability
Cover of: The equity premium puzzle
The equity premium puzzle: a review
2008, Now
electronic resource : in English
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Book Details

Table of Contents

Abstract
Introduction
Empirical facts
Variation in the equity premium over time
Is the equity premium a premium for bearing non-diversifiable risk?
Standard preferences
The risk-free rate puzzle
The effect of serial correlation in the growth rate of consumption
Hansen-Jagannathan bounds
Risk based explanations of the equity premium
Alternative preference structures
Habit formation
Resolution
The Campbell and Cochrane (1999) mechanism
Idiosyncratic and uninsurable income risk
Models incorporating a disaster state and survivorship bias
Behavioral models
Generalized disappointment aversion
Prospect theories
Non-risk based explanations of the equity premium
Borrowing constraints
The choice of a riskless asset
The effect of government regulations and rules
Taxes
Agent heterogeneity and intermediation costs
Concluding comments
Appendix
Acknowledgements
References
Updates.

Edition Notes

Title from PDF title page (viewed Jan. 24, 2008).

Offprint. Foundations and trends in finance (Online). Vol. 2, no. 1 (2006).

Includes bibliographical references.

Published in
Boston
Series
Foundations and trends in finance -- v. 2, no. 1, Foundations and trends in finance -- v. 2, no. 1.

Classifications

Dewey Decimal Class
332.63/22
Library of Congress
HG4661 .M44 2008eb

The Physical Object

Format
[electronic resource] :
Pagination
1 online resource (ix, 85 p.)
Number of pages
85

ID Numbers

Open Library
OL27036879M
Internet Archive
equitypremiumpuz00mehr
ISBN 10
1601980655
ISBN 13
9781601980656, 9781601980649
OCLC/WorldCat
191111976

Source records

Internet Archive item record
Better World Books record

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History

Download catalog record: RDF / JSON / OPDS | Wikipedia citation
May 25, 2022 Edited by ImportBot import existing book
June 30, 2019 Created by MARC Bot Imported from Internet Archive item record