Rajnish Mehra

Arizona State University (ASU) - W.P Carey School of Business, Department of Economics

E.N. Basha Arizona Heritage Chair

Tempe, AZ 85287-3806

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

23

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4,932

SSRN CITATIONS
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Top 545

in Total Papers Citations

332

CROSSREF CITATIONS

1,482

Scholarly Papers (23)

1.

Rethinking the Equity Risk Premium

Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1
Number of pages: 164 Posted: 12 Jun 2015 Last Revised: 19 Mar 2016
Capital Group, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF), CFA Institute Research Foundation, Yale School of Management, AQR Capital Management, LLC, University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting, London Business School - Institute of Finance and Accounting, Barclays, BlackRock, Inc - San Francisco, Research Affiliates, LLC, AQR Capital Management, Xi'an Jiaotong - Liverpool University - International Business School Suzhou, BlackRock, Inc, Independent, University of Pennsylvania - Finance Department and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 2,626 (6,111)
Citation 12

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ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson

2.

The Equity Premium in Retrospect

NBER Working Paper No. w9525
Number of pages: 78 Posted: 04 Mar 2003 Last Revised: 12 Jul 2021
Rajnish Mehra and Edward C. Prescott
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics and Arizona State University (ASU) - Economics Department
Downloads 617 (53,585)
Citation 11

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Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle

Number of pages: 36 Posted: 03 Feb 2000
University of Chicago - Booth School of Business, Columbia Business School - Finance and Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 532 (63,740)
Citation 47

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Junior Can&Apos;T Borrow: a New Perspective on the Equity Premium Puzzle

NBER Working Paper No. w6617
Number of pages: 36 Posted: 26 Jul 2000 Last Revised: 31 Jan 2021
University of Chicago - Booth School of Business, Columbia Business School - Finance and Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 45 (499,036)

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The Equity Premium: Why is it a Puzzle?

NBER Working Paper No. w9512
Number of pages: 41 Posted: 26 Feb 2003 Last Revised: 30 Jun 2021
Rajnish Mehra
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 206 (181,283)
Citation 59

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The Equity Premium: Why is it a Puzzle?

Posted: 29 Apr 2003
Rajnish Mehra
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics

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Investment Theory: CAPM, APT, and other pricing theories; Portfolio Management: asset allocation

5.

Auctions: Theory and Possible Applications to Economies in Transition

IMF Working Paper No. 93/12
Number of pages: 32 Posted: 15 Feb 2006
Robert Feldman and Rajnish Mehra
Independent and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 128 (270,766)

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Is Idiosyncratic Risk Conditionally Priced?

Number of pages: 37 Posted: 10 Feb 2016 Last Revised: 24 Apr 2019
Rajnish Mehra, Sunil Wahal and Daruo Xie
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics, Arizona State University (ASU) - Finance Department and Australian National University (ANU)
Downloads 96 (333,070)

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Incomplete markets, Diversification, Idiosyncratic risk

Is Idiosyncratic Risk Conditionally Priced?

NBER Working Paper No. w22016
Number of pages: 37 Posted: 01 Mar 2016 Last Revised: 21 Jun 2021
Rajnish Mehra, Sunil Wahal and Daruo Xie
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics, Arizona State University (ASU) - Finance Department and Australian National University (ANU)
Downloads 11 (721,383)

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The Term Structure of Interest Rates in India

Number of pages: 48 Posted: 23 Feb 2016
Arunima Sinha and Rajnish Mehra
Fordham University and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 79 (376,400)

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Indian Bond markets, Expectations Hypothesis, Excess Volatility

The Term Structure of Interest Rates in India

NBER Working Paper No. w22020
Number of pages: 49 Posted: 01 Mar 2016 Last Revised: 03 Mar 2021
Rajnish Mehra and Arunima Sinha
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics and Fordham University
Downloads 9 (738,227)

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Costly Financial Intermediation in Neoclassical Growth Theory

Number of pages: 60 Posted: 28 Mar 2011
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics, Einaudi Institute for Economics and Finance (EIEF) and Arizona State University (ASU) - Economics Department
Downloads 37 (538,472)
Citation 9

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Aggregate Intermediation, Borrowing, Lending, Equity premium, Government Debt, Life Cycle Savings, Retirement

Costly Financial Intermediation in Neoclassical Growth Theory

NBER Working Paper No. w14351
Number of pages: 61 Posted: 23 Sep 2008 Last Revised: 20 Mar 2021
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics, Einaudi Institute for Economics and Finance (EIEF) and Arizona State University (ASU) - Economics Department
Downloads 20 (649,098)
Citation 1

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9.

Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security

NBER Working Paper No. w8906
Number of pages: 49 Posted: 18 Apr 2002 Last Revised: 03 May 2021
University of Chicago - Booth School of Business, Columbia Business School - Finance and Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 57 (442,371)
Citation 2

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10.

Risk Based Explanations of the Equity Premium

NBER Working Paper No. w13220
Number of pages: 101 Posted: 13 Jul 2007 Last Revised: 17 Aug 2010
John B. Donaldson and Rajnish Mehra
affiliation not provided to SSRN and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 56 (446,036)
Citation 2

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11.

Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion

Number of pages: 71 Posted: 08 Feb 2019
John B. Donaldson and Rajnish Mehra
Columbia Business School - Finance and Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 55 (449,685)

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Mean Reversion, Mean Aversion, Average Crossing Time

12.

The Equity Premium in India

NBER Working Paper No. w12434
Number of pages: 15 Posted: 16 Aug 2006 Last Revised: 24 Jun 2021
Rajnish Mehra
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 53 (457,139)
Citation 7

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13.
Downloads 48 (476,907)

Intermediated Quantities and Returns

Number of pages: 51 Posted: 19 Feb 2009
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics, Einaudi Institute for Economics and Finance (EIEF) and Arizona State University (ASU) - Economics Department
Downloads 48 (485,493)
Citation 11

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Intermediated Quantities and Returns

Posted: 19 Jul 2008
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics, Einaudi Institute for Economics and Finance (EIEF) and Arizona State University (ASU) - Economics Department

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Asset returns, Assets quantities, Life cycle, Bequests, General equilibrium

14.

Demographics and FDI: Lessons From China’s One-Child Policy

Number of pages: 36 Posted: 31 Jan 2018
Columbia Business School - Finance and Economics, Department of Finance, University of Luxembourg, Universite du Luxembourg and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 47 (481,134)

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Lucas Paradox, Capital-Labor Ratio, FDI-Intensity, One-Child Policy

15.

Junior is Rich: Bequests as Consumption

NBER Working Paper No. w11122
Number of pages: 51 Posted: 01 Jun 2006
University of Chicago - Booth School of Business, Columbia Business School - Finance and Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 41 (507,573)
Citation 1

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Demographics and FDI: Lessons from China's One-Child Policy

Center for Financial Studies Working Paper No. 613
Number of pages: 46 Posted: 16 Dec 2018
Columbia Business School - Finance and Economics, Department of Finance, University of Luxembourg, Universite du Luxembourg and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 33 (560,749)

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Lucas paradox, capital-labor ratio, FDI-intensity, one-child policy

Demographics and FDI: Lessons from China&Apos;S One-Child Policy

NBER Working Paper No. w24256
Number of pages: 44 Posted: 29 Jan 2018 Last Revised: 10 May 2021
Columbia Business School - Finance and Economics, Department of Finance, University of Luxembourg, Universite du Luxembourg and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 7 (755,056)

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17.

Recursive Competitive Equilibrium

NBER Working Paper No. w12433
Number of pages: 17 Posted: 16 Aug 2006 Last Revised: 23 Jun 2021
Rajnish Mehra
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 40 (512,304)

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18.

Indian Equity Markets: Measures of Fundamental Value

NBER Working Paper No. w16061
Number of pages: 45 Posted: 07 Jun 2010 Last Revised: 22 May 2021
Rajnish Mehra
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 33 (547,268)

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Asset Pricing Implications of Macroeconomic Interventions: An Application to Climate Policy

Number of pages: 27 Posted: 28 Jun 2013
Rajnish Mehra
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 15 (688,088)

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Asset Pricing, Climate Policy, Macroeconomic Interventions

Asset Pricing Implications of Macroeconomic Interventions an Application to Climate Policy

NBER Working Paper No. w19146
Number of pages: 28 Posted: 21 Jun 2013
Rajnish Mehra
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 9 (738,227)

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Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets

NBER Working Paper No. w24575
Number of pages: 40 Posted: 07 May 2018 Last Revised: 24 Feb 2021
George O. Aragon, Rajnish Mehra and Sunil Wahal
Arizona State University (ASU) - Finance Department, Arizona State University (ASU) - W.P Carey School of Business, Department of Economics and Arizona State University (ASU) - Finance Department
Downloads 17 (672,243)

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Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets

Posted: 08 May 2018 Last Revised: 25 Mar 2020
George O. Aragon, Rajnish Mehra and Sunil Wahal
Arizona State University (ASU) - Finance Department, Arizona State University (ASU) - W.P Carey School of Business, Department of Economics and Arizona State University (ASU) - Finance Department

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VIX futures, volatility risk premium, mean-reversion, momentum

21.

The Equity Premium Puzzle: A Review

Foundations and Trends in Finance, Vol. 2, No. 1, pp. 1-81, 2006
Number of pages: 81 Posted: 15 Jun 2010
Rajnish Mehra
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 8 (717,348)
Citation 133
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equity premium, investment risk, capital markets, asset prices

22.

Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion

NBER Working Paper No. w25519
Number of pages: 72 Posted: 04 Feb 2019 Last Revised: 25 Mar 2021
John B. Donaldson and Rajnish Mehra
Columbia University - Columbia Business School and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 7 (725,207)

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23.

Consumption-Based Asset Pricing Models

Annual Review of Financial Economics, Vol. 4, pp. 385-409, 2012
Posted: 04 Nov 2012
Rajnish Mehra
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics

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Other Papers (1)

Total Downloads: 3
1.

The Demand for Diversification in Incomplete Markets

Number of pages: 54 Posted: 15 Aug 2016
Rajnish Mehra, Sunil Wahal and Daruo Xie
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics, Arizona State University (ASU) - Finance Department and Australian National University (ANU)
Downloads 3

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diversification, cross-section of returns