The Equity Premium in Retrospect / Rajnish Mehra, Edward C. Prescott.

Format:

Book

Author/Creator:

Mehra, Rajnish.

Contributor:

National Bureau of Economic Research.

Prescott, Edward C.

Series:

Working Paper Series (National Bureau of Economic Research) no. w9525.

NBER working paper series no. w9525

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2003.

Summary:

This article takes a critical look at the literature on 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 and the research efforts to enhance the model's ability to replicate the empirical data are summarized.

Notes:

Print version record

March 2003.