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The Equity Premium: Why is it a Puzzle?

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  1. Kalyvitis Sarantis & Panopoulou Ekaterini, 2013. "Estimating C-CAPM and the equity premium over the frequency domain," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 551-571, December.
  2. Guglielmo Maria Caporale & Michael Donadelli & Alessia Varani, 2014. "International Capital Markets Structure, Preferences and Puzzles: The US-China Case," Discussion Papers of DIW Berlin 1362, DIW Berlin, German Institute for Economic Research.
  3. Siddiqi, Hammad, 2015. "Anchoring and Adjustment Heuristic: A Unified Explanation for Equity Puzzles," MPRA Paper 68729, University Library of Munich, Germany.
  4. Mirakhor, Abbas, 2010. "Whither Islamic Finance? Risk Sharing in An Age of Crises," MPRA Paper 56341, University Library of Munich, Germany.
  5. Xiaofeng Liu, 2019. "A Contribution to Theory of Factor Income Distribution, Cambridge Capital Controversy and Equity Premium Puzzle," Papers 1911.12490, arXiv.org, revised Dec 2019.
  6. Eckhard Platen, 2005. "An Alternative Interest Rate Term Structure Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 717-735.
  7. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  8. G. M. Constantinides & J. B. Donaldson & R. Mehra, 2005. "Junior must pay: pricing the implicit put in privatizing Social Security," Annals of Finance, Springer, vol. 1(1), pages 1-34, January.
  9. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
  10. Mark Kamstra & Rpbert J. Shiller, 2008. "The Case for Trills: Giving Canadians and their Pension Funds a Stake in the Wealth of the Nation," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 271, August.
  11. Yosef Bonaparte & Frank J Fabozzi, 2017. "A flexible approach to estimate the equity premium," Applied Economics, Taylor & Francis Journals, vol. 49(59), pages 5940-5950, December.
  12. Mark J. Kamstra & Robert J. Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Cowles Foundation Discussion Papers 1717, Cowles Foundation for Research in Economics, Yale University.
  13. Ming Chen, James, 2018. "Baryonic Beta Dynamics: An Econophysical Model of Systematic Risk/Dinámica de la Beta Bariónica: Un modelo Econofísico de Riesgo Sistemático," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 36, pages 263-276, Enero.
  14. Lim, G.C. & Maasoumi, Esfandiar & Martin, Vance L., 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 173-189, August.
  15. Dean Corbae & Pablo D'Erasmo, 2010. "A Quantitative Model of Banking Industry Dynamics," 2010 Meeting Papers 268, Society for Economic Dynamics.
  16. Almeida, Caio & Engel, Pedro & Valente, Joao Paulo, 2019. "Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(2), January.
  17. Shackman, Joshua D., 2006. "The equity premium and market integration: Evidence from international data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 155-179, April.
  18. Córdoba, Juan Carlos & Ripoll, Marla, 2013. "What explains schooling differences across countries?," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 184-202.
  19. van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos), 2012. "A meta-analysis of the equity premium," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 819-830.
  20. Rajnish Mehra, 2006. "The Equity Premium in India," NBER Working Papers 12434, National Bureau of Economic Research, Inc.
  21. Liu, Liqun, 2012. "Inferring the rate of pure time preference under uncertainty," Ecological Economics, Elsevier, vol. 74(C), pages 27-33.
  22. DeLong, J. Bradford & Magin, Konstantin A., 2008. "The U.S. Equity Return Premium: Past, Present and Future," Department of Economics, Working Paper Series qt7vq683mh, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  23. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
  24. Hultkrantz, Lars & Mantalos, Panagiotis, 2018. "Hedging with trees: Tail-hedge discounting of long-term forestry returns," Journal of Forest Economics, Elsevier, vol. 30(C), pages 52-57.
  25. Chichilnisky, Graciela, 2011. "Catastrophic Risks with Finite or Infinite States," MPRA Paper 88760, University Library of Munich, Germany.
  26. Pablo Fernández & Andrada Bilan, 2013. "110 Common Errors in Company Valuations," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 33-78.
  27. Mark Kamstra & Robert Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Yale School of Management Working Papers amz2418, Yale School of Management.
  28. Philippe Bacchetta & Eric Van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Cahiers de Recherches Economiques du Département d'économie 17.05, Université de Lausanne, Faculté des HEC, Département d’économie.
  29. Salomons, Roelof, 2004. "Expert something sensible: putting US returns in an international perspective," Research Report 04E02, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  30. Mr. Abbas Mirakhor & Mr. S. Nuri Erbas, 2007. "The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality," IMF Working Papers 2007/230, International Monetary Fund.
  31. Fielding, David & Stracca, Livio, 2007. "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Journal of Economic Behavior & Organization, Elsevier, vol. 64(2), pages 250-268, October.
  32. Andrés Mauricio Gómez Sánchez & José Gabriel Astaiza Gómez, 2015. "Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 7(1), pages 109-129, January.
  33. Rubens Penha Cysne, 2005. "Equity-Premium Puzzle: Evidence From Brazilian Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 088, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  34. Grant, Simon & Quiggin, John, 2003. "The Risk Premium for Equity: Implicatiosn for Resource Allocation, Welfare adn Policy," Working Papers 2003-14, Rice University, Department of Economics.
  35. Carvajal, Andrés & Zhou, Hang, 2024. "Idiosyncratic risk and the equity premium," Journal of Mathematical Economics, Elsevier, vol. 113(C).
  36. Marc Oliver Rieger & Thorsten Hens & Mei Wang, 2013. "International Evidence on the Equity Premium Puzzle and Time Discounting," Multinational Finance Journal, Multinational Finance Journal, vol. 17(3-4), pages 149-163, September.
  37. Juan Carlos Cordoba, 2015. "Children, Dynastic Altruism and the Wealth of Nations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(4), pages 774-791, October.
  38. Simon Grant & John Quiggin, 2006. "The Risk Premium For Equity: Implications For Resource Allocation, Welfare And Policy," Australian Economic Papers, Wiley Blackwell, vol. 45(3), pages 253-268, September.
  39. Siddiqi, Hammad, 2016. "Anchoring and Adjustment Heuristic: A Unified Explanation for Asset-Return Puzzles," Risk and Sustainable Management Group Working Papers 229607, University of Queensland, School of Economics.
  40. Chichilnisky, Graciela, 2009. "The topology of fear," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 807-816, December.
  41. Gürtler, Marc & Hartmann, Nora, 2004. "The equity premium puzzle and emotional asset pricing," Working Papers FW10V3, Technische Universität Braunschweig, Institute of Finance.
  42. Huang Xian Yu, 2017. "Capital Asset Pricing Model – investigation and Testing," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-5.
  43. Marco Taboga, 2002. "The realized equity premium has been higher than expected: further evidence," Finance 0210004, University Library of Munich, Germany.
  44. Katja Funke & Georg Stadtmann, 2004. "Operations of a Pension Fund after the Asian Crisis: The Thai Experience," Asian Economic Journal, East Asian Economic Association, vol. 18(4), pages 439-470, December.
  45. Michael Dempsey, 2015. "Stock Markets, Investments and Corporate Behavior:A Conceptual Framework of Understanding," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p1007.
  46. Pepin Dominique, 2016. "The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model," Economics Bulletin, AccessEcon, vol. 36(2), pages 931-935.
  47. Christophe Faugere & Julian Van Erlach, 2003. "A General Theory of Stock Market Valuation and Return," Finance 0311005, University Library of Munich, Germany, revised 17 May 2004.
  48. repec:dgr:rugsom:04e02 is not listed on IDEAS
  49. Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.
  50. Maier, Johannes & Rüger, Maximilian, 2010. "Measuring Risk Aversion Model-Independently," Discussion Papers in Economics 11873, University of Munich, Department of Economics.
  51. Meyer-Gohde, Alexander, 2021. "On the accuracy of linear DSGE solution methods and the consequences for log-normal asset pricing," IMFS Working Paper Series 154, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  52. Dean Baker & J. Bradford Delong & Paul R. Krugman, 2005. "Asset Returns and Economic Growth," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 36(1), pages 289-330.
  53. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
  54. G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
  55. Javier Lopez Bernardo, 2016. "A post-Keynesian theory for the yield on equity markets," Working Papers PKWP1613, Post Keynesian Economics Society (PKES).
  56. Aleksandar Andonov & Joshua D Rauh, 2022. "The Return Expectations of Public Pension Funds," The Review of Financial Studies, Society for Financial Studies, vol. 35(8), pages 3777-3822.
  57. Nicholas Apergis & James E. Payne, 2018. "Monetary policy rules and the equity risk premium: Evidence from the US experience," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 287-299, October.
  58. Mirakhor, Abbas, 2012. "Islamic Finance, Risk Sharing and Macroeconomic Policies," MPRA Paper 56338, University Library of Munich, Germany.
  59. Robert Goldberg, 2015. "A methodology for computing and comparing implied equity and corporate-debt Sharpe Ratios," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 733-754, May.
  60. Rochon, Mathieu & Desrosiers, Stéphanie & L’Her, Jean-François, 2004. "Révision à la baisse de la prime sur les actions au Canada," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(1), pages 137-170, Mars.
  61. Roelof Salomons, 2008. "A Theoretical And Practical Perspective On The Equity Risk Premium," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 299-329, April.
  62. Mark J. Kamstra & Robert J. Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Cowles Foundation Discussion Papers 1717, Cowles Foundation for Research in Economics, Yale University.
  63. Fernandez, Pablo, 2003. "75 common and uncommon errors in company valuation," IESE Research Papers Db/515, IESE Business School.
  64. Berg, Tobias & Kaserer, Christoph, 2008. "Linking credit risk premia to the equity premium," CEFS Working Paper Series 2008-01, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
  65. Jules Tinang & Nour Meddahi, 2016. "GMM estimation of the Long Run Risks model," 2016 Meeting Papers 1107, Society for Economic Dynamics.
  66. Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
  67. Elie Appelbaum & Parantap Basu, 2010. "A new methodology for studying the equity premium," Annals of Operations Research, Springer, vol. 176(1), pages 109-126, April.
  68. Tsvetanka Karagyozova, 2007. "Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints," Working papers 2007-46, University of Connecticut, Department of Economics, revised Sep 2008.
  69. Donald T. Wargo & Norman A. Baglini & Katherine A. Nelson, 2010. "The New Millennium’s First Global Financial Crisis: The Neuroeconomics of Greed, Self-interest, Deception, False Trust, Overconfidence and Risk Perception," Chapters, in: Angela A. Stanton & Mellani Day & Isabell M. Welpe (ed.), Neuroeconomics and the Firm, chapter 5, Edward Elgar Publishing.
  70. Mosolygó, Zsuzsa, 2010. "A tőkefedezeti rendszer alapkérdéseinek új megközelítése [A new approach to the basic issues raised by the PAYE system]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 612-633.
  71. DeLong, J. Bradford & Magin, Konstantin, 2008. "The U.S. Equity Return Premium: Past, Present and Future," Department of Economics, Working Paper Series qt2827m1qc, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  72. Kenc, Turalay & Dibooglu, Sel, 2007. "The spirit of capitalism, asset pricing and growth in a small open economy," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1378-1402, December.
  73. Atilla Aras, 2021. "Solution to the Equity Premium Puzzle Using the Sufficiency Factor of the Model," Papers 2110.14405, arXiv.org, revised Sep 2022.
  74. Marija Đorđević, 2016. "Consumption-Based Macroeconomic Models Of Asset Pricing Theory," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 61(211), pages 7-28, October -.
  75. Yadav, Jayant, 2020. "Flight to Safety in Business cycles," MPRA Paper 104093, University Library of Munich, Germany.
  76. Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2017. "Commodity Markets, Long-Run Predictability, and Intertemporal Pricing," Review of Finance, European Finance Association, vol. 21(3), pages 1159-1188.
  77. Shu, Hui-Chu, 2010. "Investor mood and financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 76(2), pages 267-282, November.
  78. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032, ZEW - Leibniz Centre for European Economic Research.
  79. Jow-Ran Chang & Hsu-Hsien Chu, 2015. "Elucidating Equity Premium Using Corporate Dividends And Habit Formation," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-20, December.
  80. Konstantin Magin, 2015. "Equity risk premium and insecure property rights," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 3(2), pages 213-222, October.
  81. Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009.
  82. Li, Jinlu, 2010. "Some solutions to the equity premium and volatility puzzles," MPRA Paper 26833, University Library of Munich, Germany, revised 01 Aug 2010.
  83. Almeida, Caio & Engel, Pedro & Valente, Joao Paulo, 2018. "Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(2).
  84. Kim, Yun-Yeong, 2021. "Composite-asset-risk approach to solving the equity premium puzzle," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 200-216.
  85. James D. Shilling, 2003. "Is There a Risk Premium Puzzle in Real Estate?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(4), pages 501-525, December.
  86. Fernandez, Pablo, 2004. "Most common errors in company valuation," IESE Research Papers D/565, IESE Business School.
  87. Michael Dempsey & Abeyratna Gunasekarage & Thanh Tan Truong, 2020. "Stock market volatility: friend or foe?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3477-3492, December.
  88. Ferhan Salman, 2005. "Risk Aversion, Sovereign Bonds and Risk Premium," Working Papers 0514, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  89. Marco Mele, 2014. "On Asset Allocation’ Studies for Sovereign Wealth Funds," International Journal of Financial Economics, Research Academy of Social Sciences, vol. 2(4), pages 169-180.
  90. Filippo Taddei, 2007. "Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth?," Carlo Alberto Notebooks 67, Collegio Carlo Alberto.
  91. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
  92. Christophe Faugere & Julian Van Erlach, 2003. "The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance," Finance 0311004, University Library of Munich, Germany.
  93. Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(4), pages 324-346, September.
  94. Caporale, Guglielmo Maria & Donadelli, Michael & Varani, Alessia, 2015. "International capital markets structure, preferences and puzzles: A “US–China World”," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 85-99.
  95. Marco Mele, 2014. "Open-End Fund Performance Persistence: A Study on KC Libra Fund," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 3(1), pages 1-8.
  96. Aras, Atilla, 2020. "Solution to the Equity Premium Puzzle Using the Sufficiency Factor of the Model," OSF Preprints b9afj, Center for Open Science.
  97. Helene Hamisultane, 2010. "Utility-based pricing of weather derivatives," The European Journal of Finance, Taylor & Francis Journals, vol. 16(6), pages 503-525.
  98. Aras, Atilla, 2021. "Solution to the Equity Premium Puzzle," OSF Preprints gj3n2, Center for Open Science.
  99. Meyer-Gohde, Alexander, 2023. "Numerical stability analysis of linear DSGE models: Backward errors, forward errors and condition numbers," IMFS Working Paper Series 193, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  100. Lee, Ji Hyung & Phillips, Peter C.B., 2016. "Asset pricing with financial bubble risk," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 590-622.
  101. Fernandez, Pablo, 2004. "80 common and uncommon errors in company valuation," IESE Research Papers D/550, IESE Business School.
  102. Marc Gürtler & Nora Hartmann, 2007. "The Equity Premium Puzzle And Emotional Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(06), pages 939-965.
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