The Equity Premium Puzzle

By J. Siegel, Richard H. Thaler. 2001

4,935 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d015f79a3b7ceedf991b7d61197d2fc89c599206

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Citations in the corpus

The innovative enterprise and corporate governance (2000, background): “These theoretical frameworks thus preclude any real understanding of the nature of corporate governance required for innovation.”
What is an Asset Price Bubble? An Operational Definition (2003, background): “But there is substantial economic theory, initiated by the work of Mehra and Prescott (1985), that claims a significantly smaller return for stocks is warranted based on the risks found in the overall economy.”
Consumption Risk and the Cross Section of Expected Returns (2005, unknown): “19 19Parker and Julliard (2003) reports another check on the results.”
Long-Run Stock Returns: Participating in the Real Economy (2003, background): “…investments, as in the Ibbotson, Diermeier, and Siegel (1984) demand framework and, especially, in the large body of literature following the seminal work of Mehra and Prescott (1985).2 The fourth group has relied on opinions of investors and financial professionals garnered from broad surveys.”
Displacement Risk and Asset Returns (2012, background): “We also contribute to the vast literature on the equity-premium puzzle, (e.g., Mehra and Prescott (1985), Campbell and Cochrane (1999)).”
Asset Pricing in Production Economies with Extrapolative Expectations (2015, background): “Mehra and Prescott (1985) suggest that the conventional range of risk aversion should be less than 10.”
The Logic of Funding European Pension Restructuring and the Dangers of Financialisation (2003, background): “…Mehra and Prescott argued that the net èquity premium', or the rate by which risky equities are alleged to outperform safe assets such as government bonds, was too high to explain with standard microeconomic assumptions about the risk aversion of rational agents (Mehra and Prescott, 1985).”
Multifactor models and their consistency with the ICAPM (2012, unknown): “2 The Merton (1973) ICAPM does not directly identify the state variables.”
Behavioral Economics: Past, Present and Future (2016, unknown): “But Mehra and Prescott ( 1985 ) showed that the standard model cannot simultaneously explain the low historical risk-free rate and an equity premium in the neighborhood of 6 percent—the largest value they could justify was 0.35 percent.”
Using Markets to Inform Policy: The Case of the Iraq War (2009, unknown): “Some studies have calculated that much higher levels of risk aversion would be necessary to rationalize the equity premium (e.g. Mehra and Prescott 1985), the purchase of very disadvantageous forms of insurance (e.g. Ciochetti and Dubin 1994) or the high average prices of deep-out-of-the-money puts…”