Equity Premium, the Equity Premium Puzzle, and the Risk‐Free Rate Puzzle

By I. Garrett. 2015

644 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/c37295b685275bd331cfb0ddb6625bca5be86d37

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Citations in the corpus

Asset Pricing in Production Economies with Extrapolative Expectations (2015, methodology): “Following the long-run risk literature, the representative household's preferences over the uncertain consumption stream Ct are described by the Epstein–Zin–Weil recursive utility function (e.g., Epstein and Zin, 1989; Weil, 1989)”
Disaster Risk and its Implications for Asset Pricing (2015, neutral): “Thus β, the rate of time preference, would have to be significantly negative to explain the Treasury Bill rate in the data (Weil (1989)).”
Downside Variance Risk Premium (2015, positive): “…the future consumption stream are characterized by Kreps and Porteus (1978) intertemporal preferences, as formulated by Epstein and Zin (1989) and Weil (1989) Ut = [ (1− δ)C 1−γ θ t + δ ( EtU1−γt+1 ) 1 θ ] θ 1−γ , (12) where Ct is the consumption bundle at time t, δ is the subjective discount…”
Expected Utility with Uncertain Probabilities Theory (2017, neutral): “(26)Notable examples in finance include the fact that individuals tend to hold very small portfolios, 3-4 stocks (Goetzmann and Kumar, 2008), the equity premium puzzle (Mehra and Prescott, 1985), the risk-free rate puzzle (Weil, 1989), the phenomenon of the observed equity volatility being too high ”
YOLO: Mortality Beliefs and Household Finance Puzzles (2015, neutral): “An appealing way to understand this relationship is to argue not that the return on equity is too high, but that historical bond returns are too low (Weil (1989)).”
Good and bad uncertainty: Macroeconomic and financial market implications ☆ (2015, positive): “…agent over the future consumption stream are characterized by the Kreps and Porteus (1978) recursive utility of Epstein and Zin (1989) and Weil (1989): Ut = [ (1− β)C 1−γ θ t + β(EtU 1−γ t+1 ) 1 θ ] θ 1−γ , (2.1) where Ct is consumption, β is the subjective discount factor, γ is the…”
Asset Prices with Heterogeneity in Preferences and Beliefs (2014, neutral): “…model of asset pricing is that, when risk aversion is increased in order to improve the match of the equity risk premium in the model to that in the data, the riskfree interest rate in the model becomes too high relative to the data; this is the “riskfree rate puzzle” identified in Weil (1989).”
Housing, Finance and the Macroeconomy (2014, neutral): “2See, for example, Mankiw and Weil (1989) and Davis, Fisher, and Whited (2014).”