This paper is a critical review of the literature on the “equity premium puzzle≓. The puzzle,
as originally articulated more than fifteen years ago, underscored the inability of the …

Over two decades ago, Mehra and Prescott (1985) challenged the finance profession with a
poser: the historical US equity premium is an order of magnitude greater than can be …

The equilibrium growth model is modified and used to explain the cyclical variances of a set
of economic time series, the covariances between real output and the other series, and the …

Restrictions that a class of general equilibrium models place upon the average returns of
equity and Treasury bills are found to be strongly violated by the US data in the 1889–1978 …

Three eminent economists provide in this book a rigorous, self-contained treatment of
modern economic dynamics. Nancy L. Stokey, Robert E. Lucas, Jr., and Edward C. Prescott …

In this paper we demonstrate how certain very ordinary economic principles lead
maximizing individuals to choose consumption-production plans that display many of the …

This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

This paper describes a method for estimating and testing nonlinear rational expectations
models directly from stochastic Euler equations. The estimation procedure makes sample …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

The standard theory of decision making under uncertainty advises the decision maker to
form a statistical model linking outcomes to decisions and then to choose the optimal …