The Equity Premium: Why is it a Puzzle? / Rajnish Mehra.

Format:

Book

Author/Creator:

Mehra, Rajnish.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w9512.

NBER working paper series no. w9512

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

The Equity Premium

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2003.

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 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

Notes:

Print version record

February 2003.