The declining U.S. equity premium

By Ravi Jagannathan, Ellen R Mcgrattan, A. Scherbina. 2000

196 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7c2b780cb02f436c03fbd2d983d03372e0786557

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Citations in the corpus

• The Myth of Long-Horizon Predictability (2005, unknown): “One explanation for the lack of predictive power in these regressions is that the relation is nonstationary [e.g., Jagannathan, McGrattan, and Scherbina (2000) and Lettau and Van Nieuwerburgh (2006)].”
• Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2004, unknown): “Jagannathan, McGrattan, and Scherbina (2000) provide evidence pertaining to the issue of dividends, and show that alternative measures of dividends have even higher volatility.”
• The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (2008, unknown): “One possible explanation is that the equity premium has declined (e.g., Blanchard (1993); Jagannathan, McGrattan, and Scherbina (2000); Fama and French (2002)).”
• A Comprehensive Look at the Empirical Performance ofEquity Premium Prediction II (2008, unknown): “The possibility that the underlying model has changed(oftenthroughregimeshifts)hasalsobeenexploredinsucharticles as Heaton and Lucas (2000), Jagannathan, McGrattan and Scherbina (2000) , Bansal, Tauchan and Zhou (2003), and Kim, Morley, and Nelson (2005), and Lettau and Nieuwerburgh (2005).”
• What Drives Stock Price Movements (2013, unknown): “Following Jagannathan, McGrattan, and Scherbina (2000), a linearized version of Equation (9) yields: ICCt ≈ ( y−g 1+g )⎡⎣2+g−(y−g) Pt Dt + ∞∑ j=1 ωjEt ( Dt+j )⎤⎦ (10) Dt+j = Dt+j Dt+j−1 −1 ωj = ( 1+g 1+y )j−1 , where g is the mean expected dividend growth rates, and y is the mean ICC.”
• Behavioral Heterogeneity in Stock Prices (2007, background): “This could be related to the empirical evidence provided by Kandel and Pearson (1995) who find a significant relation between heterogeneity of analysts expectations and abnormal trading volume.”
• Inequality, stock market participation, and the equity premium (2013, unknown): “A more extreme estimate is provided by Jagannathan, McGrattan, and Scherbina (2001) who argue that the equity premium has fallen from 7% prior to 1970 to 0.7% since that time.”
• The Expected Value Premium (2008, unknown): “Second, our estimated equity premium has also declined over time, consistent with Fama and French (2002) (see also Jagannathan, McGrattan, and Scherbina 2000).”
• The Market Price of Risk and the Equity Premium (2005, unknown): “The model equity premium falls as agents learn, in accordance with evidence reported by Blanchard (1993), Jagannathan, McGratten, and Scherbina (2000) , Fama and French (2002), DeSantis (2004), and others that the actual equity premium is declining.”