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 …

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 …

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 …

Abstract In 'The Equity Risk Premium: A Puzzle', Mehra and Prescott (1985) developed an
Arrow-Debreau asset pricing model. They rejected it because it could not explain high …

This paper evaluates the social gains from international risk sharing in some simple general-
equilibrium models with output uncertainty. A simulation model calibrated to selected …

Ongoing questions on the historical mean and standard deviation of the return on equities
and bonds and on the equilibrium demand for these securities are addressed in the context …

Publisher Summary This chapter summarizes the account of the extension of the classical
general equilibrium model to an infinite dimensional setting. The classical finite dimensional …

Experts define, review, and evaluate economic fluctuations Economic and business
uncertainty dominate today's economic analyses. This new Encyclopedia illuminates the …

This paper identifies restrictions on preferences under which various classes of
“expectations” theories of asset prices—ie, uncertainty models of asset prices which …