The Equity Premium Puzzle: A Review

Rajnish Mehra1601980647, 9781601980649, 9781601980656

Книга The Equity Premium Puzzle: A Review The Equity Premium Puzzle: A ReviewКниги Экономика Автор: Rajnish Mehra Год издания: 2007 Формат: pdf Издат.:Now Publishers Inc Страниц: 96 Размер: 1,3 ISBN: 1601980647 Язык: Русский0 (голосов: 0) Оценка:The Equity Premium Puzzle reviews the literature on this phenomenon from the original papers by Mehra and Prescott to the present. The author shows that the equity premium — the return earned by a broad market index in excess of that earned by a relatively risk-free security — is not a premium for bearing non-diversifiable risk. The Equity Premium Puzzle · documents the historical equity premium in the United States and in selected countries with significant capital markets. · examines the question, ‘Is the equity premium a premium for bearing non-diversifiable risk?’ · addresses risk and preference based explanations of the equity premium · reviews the nascent literature that takes as given the findings in Mehra and Prescott (1985) and tries to account for the equity premium by factors other than aggregate risk. The Equity Premium Puzzle offers a birds-eye view of the literature explained by one of the authors of the pioneering work in this area. This is must reading for all students and scholars of finance and macroeconomics.

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Table of contents :
Introduction……Page 12
Empirical Facts……Page 14
Variation in the Equity Premium Over Time……Page 17
Is the Equity Premium a Premium for Bearing Non-diversifiable Risk?……Page 18
Standard Preferences……Page 21
The Risk-Free Rate Puzzle……Page 29
The Effect of Serial Correlation in the Growth Rate of Consumption……Page 32
Hansen-Jagannathan Bounds……Page 33
Alternative Preference Structures……Page 36
Habit Formation……Page 38
Resolution……Page 41
The Campbell and Cochrane (1999) Mechanism……Page 43
Idiosyncratic and Uninsurable Income Risk……Page 47
Models Incorporating a Disaster State and Survivorship Bias……Page 49
Behavioral Models……Page 53
Generalized Disappointment Aversion……Page 54
Prospect Theories……Page 57
Borrowing Constraints……Page 64
The Choice of a Riskless Asset……Page 68
The Effect of Government Regulations and Rules……Page 73
Taxes……Page 74
Agent Heterogeneity and Intermediation Costs……Page 79
Concluding Comments……Page 82
Appendix……Page 84
Acknowledgments……Page 86
References……Page 88