The equity premium: A puzzle Export

@article{mehra-prescott-85, abstract = {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 U.S. data in the 1889-1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equilibrium model which is not an Arrow-Debreu economy will be the one that simultaneously rationalizes both historically observed large average equity return and the small average risk-free return.}, author = {Mehra, Rajnish and Prescott, Edward C.}, citeulike-article-id = {117301}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/0304-3932(85)90061-3}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6VBW-4D5NXWG-X/2/a312ece0f2adfec0212068ee616f68c2}, doi = {10.1016/0304-3932(85)90061-3}, journal = {Journal of Monetary Economics}, keywords = {aarmacro, asset\_pricing, macroeconomics}, month = {March}, number = {2}, pages = {145--161}, posted-at = {2005-03-08 13:10:51}, priority = {3}, title = {The equity premium: A puzzle}, url = {http://dx.doi.org/10.1016/0304-3932(85)90061-3}, volume = {15}, year = {1985} }

TY - JOUR ID - mehra-prescott-85 L3 - citeulike-article-id:117301 N2 - 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 U.S. data in the 1889-1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equilibrium model which is not an Arrow-Debreu economy will be the one that simultaneously rationalizes both historically observed large average equity return and the small average risk-free return. IS - 2 JF - Journal of Monetary Economics EP - 161 TI - The equity premium: A puzzle VL - 15 SP - 145 KW - aarmacro KW - asset_pricing KW - macroeconomics AU - Mehra, Rajnish AU - Prescott, Edward PY - 1985/03// UR - http://dx.doi.org/10.1016/0304-3932(85)90061-3 ER -