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https://ssrn.com/abstract=385025
 
 

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The Equity Premium in Retrospect


Rajnish Mehra


Arizona State University (ASU) - W.P Carey School of Business, Department of Economics; National Bureau of Economic Research (NBER)

Edward C. Prescott


Arizona State University (ASU) - Economics Department; National Bureau of Economic Research (NBER)

March 2003

NBER Working Paper No. w9525

Abstract:     
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.

Number of Pages in PDF File: 78


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Date posted: March 4, 2003  

Suggested Citation

Mehra, Rajnish and Prescott, Edward C., The Equity Premium in Retrospect (March 2003). NBER Working Paper No. w9525. Available at SSRN: https://ssrn.com/abstract=385025

Contact Information

Rajnish Mehra (Contact Author)
Arizona State University (ASU) - W.P Carey School of Business, Department of Economics ( email )
Tempe, AZ 85287-3806
United States
480 965 6335 (Phone)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Edward C. Prescott
Arizona State University (ASU) - Economics Department ( email )
Tempe, AZ 85287-3806
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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