This chapter surveys research on agent-based models used in finance. It will concentrate on
models where the use of computational tools is critical for the process of crafting models …

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 …

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 potential for rare economic disasters explains a lot of asset-pricing puzzles. I calibrate
disaster probabilities from the twentieth century global history, especially the sharp …

The equity premium puzzle, identified by Mehra and Prescott, states that, for plausible
values of the risk aversion coefficient, the difference of the expected rate of return on the …

This paper studies the implications for general equilibrium asset pricing of a class of Kreps-
Porteus nonexpected utility preferences characterized by a constant intertemporal elasticity …

Only one-fourth of US families own stock. This paper examines whether the consumption of
stockholders differs from the consumption of nonstockholders and, if so, whether these …

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 …

This article incorporates a time-varying severity of disasters into the hypothesis proposed by
and Barro (2006) that risk premia result from the possibility of rare large disasters. During a …

OVER THE LAST one hundred years, the average real return to stocks in the United States
has been about six percent per year higher than that on Treasury bills. At the same time, the …