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 …

The paper develops a procedure for finding a discrete-valued Markov chain whose sample
paths approximate well those of a vector autoregression. The procedure has applications in …

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 …

This paper develops a continuous time general equilibrium model of a simple but complete
economy and uses it to examine the behavior of asset prices. In this model, asset prices and …

This paper studies the time-series behavior of asset returns and aggregate consumption.
Using a representative consumer model and imposing restrictions on preferences and the …

Research problems on the boundary of finance and macroeconomics are rapidly emerging
as central to the evolution of each field. In finance it is now well established that expected …

The paper develops a discrete state space solution method for a class of nonlinear rational
expectations models. The method works by using numerical quadrature rules to …

This paper provides a simulated moments estimator (SME) of the parameters of dynamic
models in which the state vector follows a time-homogeneous Markov process. Conditions …