Chapter 14 The equity premium in retrospect

By Rajnish Mehra, Edward C. Prescott. 2003

165 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b6bab7a62f4f29854c0a853cdc984f66fa0119ce

Citations in the corpus

• Asset pricing tests with long run risks in consumption growth (2011, unknown): “[33] Mehra, R.”
• Can Rare Events Explain the Equity Premium Puzzle (2008, unknown): “…methodologies we use belong to the Generalized Empirical Likelihood family, and i) are by construction more robust to a rare events problem in the 1However, according to Mehra and Prescott (2003), none of the proposed explanations has been so far fully satisfactory (see also Campbell (1999, 2003)).”
• Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior? (2004, unknown): “…calibrated parameter values of the constant relative risk aversion parameters are, though, in all cases much below the very high values needed in order to explain the Mehra-Prescott equity premium puzzle; cf. Mehra and Prescott (1985, 2003) and the discussion in, e.g., Cochrane (2001), chapter 21.”