The Equity Premium Puzzle

THE NEW PALGRAVE DICTIONARY OF MONEY AND FINANCE, pp. 771-773, Macmillan, 1992

4 Pages Posted: 7 Mar 2012 Last revised: 6 Nov 2012

See all articles by A. Craig Burnside

A. Craig Burnside

Duke University - Department of Economics; University of Glasgow - Department of Economics; National Bureau of Economic Research (NBER)

Thomas H. McCurdy

University of Toronto - Rotman School of Management; Center for Interuniversity Research and Analysis on Organization (CIRANO)

Date Written: 1992

Abstract

The phrase 'equity premium puzzle' refers to the apparent inability of the standard asset-pricing paradigm to explain the average size of the equity premium in US data. In order to describe this failure it is useful to outline the essential features of the basic intertemporal equilibrium model which has been used to price assets. We then consider various extensions of that model, as well as some econometric issues, in the context of possible explanations for the 'puzzle'.

Suggested Citation

Burnside, Craig and McCurdy, Thomas H., The Equity Premium Puzzle (1992). THE NEW PALGRAVE DICTIONARY OF MONEY AND FINANCE, pp. 771-773, Macmillan, 1992, Available at SSRN: https://ssrn.com/abstract=2017897

Craig Burnside

Duke University - Department of Economics ( email )

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University of Glasgow - Department of Economics

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National Bureau of Economic Research (NBER)

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Thomas H. McCurdy (Contact Author)

University of Toronto - Rotman School of Management ( email )

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HOME PAGE: http://www-2.rotman.utoronto.ca/~tmccurdy

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