"In the US, equities have outperformed bonds by around 7% p.a. for most of the 20th century. Economists have long been puzzled by the magnitude of this outperformance. For sure annual stock returns are more volatile than annual bond returns. But most models used by economists show an equity risk premium of 1 - 2 % maximum. Why should stocks require such a large compensation for their risk.
Benartzi and Thaler (1995) propose an explanation based on prospect theory. What if investors aren't risk-averse over variable returns, but rather they care about the chance of a loss"
Montier (2002) page 23
"...the equity premium, the extra return that people require to be compensated for the risk of investing in the stock market..."
Shiller (2000) [book]
Possible explanations of the equity premium puzzle:
The puzzle is an illusion: the empirical data are wrong
High risk aversion
Nonstandard utility functions
Autocorrelation in returns
Time varying expected returns
老王加速器永久免费
Or, more likely, a mixture of the above.
快连魔法
CORNELL, Bradford, 1999. The Equity Risk Premium: the Long-Run Future of the Stock Market.
快连魔法
MEHRA, R. and N.A.T.I.O.N.A.L. BUREAU, 2003. The Equity Premium: Why is it a Puzzle?. [Cited by 2418] (446.17/year)
BENARTZI, S. and R.H. THALER, 1993. Myopic Loss Aversion and the Equity Premium Puzzle. NBER Working Paper. [Cited by 879] (57.01/year)
WEIL, P. and N.A.T.I.O.N.A.L. BUREAU, 1989. The Equity Premium Puzzle and the Riskfree Rate Puzzle. [Cited by 646] (33.27/year)
… FOR EMPIRICAL MACROECONOMICS, FEDERAL RESERVE BANK …, 1996. The Equity Premium: It's Still a Puzzle. JOURNAL OF ECONOMIC LITERATURE. [Cited by 643] (51.77/year)
MOSKOWITZ, T.J. and A. VISSING-JORGENSEN, The Private Equity Premium Puzzle. papers.ssrn.com. [Cited by 306] (?/year)
FAMA, E.F. and K.R. FRENCH, 2002. The Equity Premium. The Journal of Finance. [Cited by 346] (53.90/year)
MANKIW, N.G., 1987. The Equity Premium and the Concentration of Aggregate Shocks. NBER Working Paper. [Cited by 188] (8.78/year)
SIEGEL, J.J., 1999. The Shrinking Equity Premium (Digest Summary). Journal of Portfolio Management. [Cited by 120] (12.74/year)
CONSTANTINIDES, G.M., J.B. DONALDSON and R. MEHRA, 2002. Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle*. Quarterly Journal of Economics. [Cited by 227] (35.36/year)
快连魔法
… FOR EMPIRICAL MACROECONOMICS, FEDERAL RESERVE BANK …, 1996. The Equity Premium: It's Still a Puzzle. JOURNAL OF ECONOMIC LITERATURE. [Cited by 643] (51.77/year)
AASE, K.K., 1993. A Jump/Diffusion Consumption-Based Capital Asset Pricing Model and the Equity Premium Puzzle. Mathematical Finance. [Cited by 22] (1.43/year)
ABEL, A.B., 1991. The equity premium puzzle. Business Review. [Cited by 39] (2.24/year)
ABEL, A.B., 1992. … for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium …. NBER Working Paper. [Cited by 42] (2.56/year)
ABEL, A.B. and N.A.T.I.O.N.A.L. BUREAU, 1991. Asset Prices under Habit Formation and Catching up with the Joneses. [Cited by 884] (50.75/year)
ABEL, A.B. and R.O.D.N.E.Y. L., 1989. vpn被封翻墙党该何去何从？App Store连接不上如何解决？(图 ...:2021-1-29 · 据悉，8.8.8.8是谷歌免费公用DNS。网友认为进行这一修改，可伍解决一些服务商的DNS解析问题。此前，也有消息称，修改后，可加速应用下载。 2021年12月初，国家互联网信息办公室主任鲁炜在赴美国考察时，曾与苹果CEO蒂姆·库克会面。. ideas.repec.org. [Cited by 26] (1.34/year)
AIT-SAHALIA, Y., J.A. PARKER and M. YOGO, 2004. Luxury Goods and the Equity Premium. The Journal of Finance. [Cited by 97] (21.95/year)
AIYAGARI, S.R., M. GERTLER and N.A.T.I.O.N.A.L. BUREAU, 1990. Asset Returns with Transactions Cost and Uninsured Risk: A Stage III Exercise. [Cited by 183] (9.94/year)
BANSAL, R. and W.J.C. II, 1996. A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles. Journal of Political Economy. [Cited by 89] (7.17/year)
BARBERIS, N., M. HUANG and R.H. THALER, 2003. Individual Preferences, Monetary Gambles and the Equity Premium. NBER Working Paper. [Cited by 33] (6.09/year)
BARRO, R.J., 2005. Rare Events and the Equity Premium. 老王vp破解版最新版下载 [Cited by 27] (7.90/year)
BEN-HAIM, Y., 2006. Info-gap Decision Theory: Decisions Under Severe Uncertainty. books.google.com. [Cited by 244] (100.85/year)
BENARTZI, S. and R.H. THALER, 1993. Myopic Loss Aversion and the Equity Premium Puzzle. NBER Working Paper. [Cited by 879] (57.01/year)
BENNINGA, S. and A. PROTOPAPADAKIS, 1990. Leverage, time preference, and the ‘equity premium puzzle. Journal of Monetary Economics. [Cited by 41] (2.23/year)
BLANCHARD, O., 1993. The Vanishing Equity Premium. Finance and the International Economy 7: The AMEX Bank …. [Cited by 45] (2.92/year)
BLANCHARD, O.J., 1993. Movements in the Equity Premium. Brookings Papers on Economic Activity. [Cited by 164] (10.64/year)
BOLDRIN, M., et al., 2000. Habit Persistence, Asset Returns, and the Business Cycle. [Cited by 302] (35.87/year)
BONOMO, M., R. GARCIA and R. GARCIA, 1993. Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles. [Cited by 26] (1.69/year)
BRENNAN, M.J., 1997. 武雪梅：苹果下架VPN是法治的胜利 - huanqiu.com:2 天前 · 日前，苹果公司CEO蒂姆·库克回应苹果应用商店中国区将VPN下架一事说，我伊在遵守当地法律的情况下在当地开展生意。一些网民将此事与去年苹果就是否协助执法人员“解锁”加州南部圣贝纳迪诺恐怖袭击案枪手之一所持的手机，与美国联邦机构对簿公堂、甚至要向总统陈情的事件对比展开热议。. European Finance Review. [Cited by 175] (15.32/year)
BRENNAN, M.J. and Y. XIA, 2001. Stock price volatility and equity premium. Journal of Monetary Economics. [Cited by 128] (17.25/year)
BRENNAN, M.J. and Y. XIA, 2001. Stock Return Volatility and Equity Premium. 老王 2.2.7 [Cited by 22] (2.97/year)
CAMPBELL, J.Y. and S.B. THOMPSON, Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?. papers.ssrn.com. [Cited by 81] (?/year)
CECCHETTI, S.G., 1991. The equity premium and the risk free rates. [Cited by 16] (0.92/year)
CECCHETTI, S.G., P.O.K.S. LAM and N.C. MARK, 1991. The Equity Premium and the Risk Free Rate: Matching the Moments. NBER Working Paper. [Cited by 138] (7.92/year)
CECCHETTI, S.G., P.O.K.S. LAM and N.C. MARK, 1998. Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?. 老王 2.2.7 [老王 ⅴpn下载] (11.32/year)
CHAPMAN, D.A., 2002. Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?. 老王v p n安卓版 [Cited by 16] (2.49/year)
CHEN, L., P. COLLIN-DUFRESNE and R.S. GOLDSTEIN, 只剩下门缝的VPN何去何从 - 手机新蓝网:2021-2-7 · 热门推荐 让20元行政处罚不再磨叽！宁波城管要推广这件事 2021-06-16 12:17 嘉兴端午民俗文化节细节公布 今年将新增“云端约会” 2021-06-16 12:17 为“网红主播”发上岗证！. papers.ssrn.com. [Cited by 37] (?/year)
COGLEY, T., 2002. Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey. Journal of Monetary Economics. [老王v2.2.8下载] (11.53/year)
CONSTANTINIDES, G.M., 1990. vpn被封翻墙党该何去何从？App Store连接不上如何解决？(图 ...:2021-1-29 · 前几天，据《环球时报》英文网报道中国已经开始屏蔽外国VPN服务，此消息也引起了国内“翻墙党”的一片震动。日前，工信部通信发展司司长闻库在接受采访时也被问到了这一问题，他回应称在中国发展互联网一定要按照中国的法律法规来进行，一些不良信息应该按照中国法律进行管理。. Journal of Political Economy. [Cited by 961] (52.17/year)
CONSTANTINIDES, G.M. and D. DUFFIE, 1996. Asset Pricing with Heterogeneous Consumers. Journal of Political Economy. [老王app下载] (38.09/year)
CONSTANTINIDES, G.M., J.B. DONALDSON and R. MEHRA, 2002. Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle*. Quarterly Journal of Economics. [Cited by 227] (35.36/year)
DAMODARAN, A., 2001. The dark side of valuation. [Cited by 122] (16.44/year)
DANIEL, K. and D. MARSHALL, 2005. EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS. Macroeconomic Dynamics. [老王app下载] (15.79/year)
DANTHINE, J.P., J.B. DONALDSON and R. MEHRA, 1992. The Equity Premium and the Allocation of Income Risk. Journal of Economic Dynamics and Control. [Cited by 35] (2.13/year)
DEANGELO, H., L. DEANGELO and D.J. SKINNER, 1992. 老王下载. JOURNAL OF FINANCE-NEW YORK-. [老王v p n安卓版] (8.28/year)
DIMSON, E., P. MARSH and M. STAUNTON, Global Evidence on the Equity Risk Premium. papers.ssrn.com. [老王v p n安卓版] (?/year)
DIMSON, E., P. MARSH and M. STAUNTON, THE WORLDWIDE EQUITY PREMIUM: A SMALLER PUZZLE. papers.ssrn.com. [Cited by 32] (?/year)
EPSTEIN, L.G., et al., 1989. 'First Order'Risk Aversion and the Equity Premium Puzzle. Dept. of Economics and Institute for Policy Analysis, University …. [Cited by 144] (7.42/year)
FAMA, E.F. and K.R. FRENCH, 2002. The Equity Premium. The Journal of Finance. [Cited by 346] (53.90/year)
FAMA, E.F. and R. KENNETH, 2002. French, 2002, The equity premium. Journal of Finance. [Cited by 112] (17.45/year)
FISHER, S.J., 1994. Asset Trading, Transaction Costs and the Equity Premium. 打工信部和公安部旗号卖VPN 这家公司胆子有点大_新闻频道 ...:2021-7-8 · 打着工信部和公安部的旗号卖VPN，这家公司胆子有点大.6月30日， “著名记者冯诗林”还在新媒体平台“北京时间”上发布过一篇题为《VPN应用7月1日 ... [Cited by 19] (1.32/year)
GABAIX, X. and D. LAIBSON, The 6D Bias and the Equity Premium Puzzle. 老王加速器永久免费 [Cited by 105] (?/year)
GOYAL, A. and I. WELCH, 2007. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction - ►afajof.org [PDF] . Review of Financial Studies. [Cited by 150] (105.67/year)
GOYAL, A. and I. WELCH, 1999. Predicting the Equity Premium. manuscript, Yale University. [Cited by 26] (2.76/year)
GOYAL, A. and I. WELCH, 2003. The Myth of Predictability: Does the Dividend Yield Forecast the Equity Premium?. 老王vpm2.2.8下载安卓版 [老王v p n安卓版] (3.69/year)
GOYAL, A. and I.V.O. WELCH, Predicting the Equity Premium with Dividend Ratios. papers.ssrn.com. [Cited by 198] (?/year)
GRAHAM, J.R. and C.R. HARVEY, 2005. The long-run equity risk premium. Finance Research Letters. [Cited by 17] (4.97/year)
GRANT, S. and J. QUIGGIN, 2003. 一个神奇的网站:2021-3-23 · 本站文章部分内容转载自互联网，供读者交流和学习，如有涉及作者版权问题请及时与我伊联系，伍便更正或删除。感谢所有提供信息材料的网站，并欢迎各类媒体与我伊进行文章共享合作。. 老王2.2.11下载 [Cited by 20] (3.69/year)
HEATON, J. and D. LUCAS, 1993. Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing. papers.ssrn.com. [Cited by 541] (35.09/year)
JAGANNATHAN, R., E.R. MCGRATTAN and A. SCHERBINA, 2000. The Declining US Equity Premium. FEDERAL RESERVE BANK OF MINNEAPOLIS QUARTERLY REVIEW. [Cited by 156] (18.53/year)
JAIN, P.K., 2005. Financial Market Design and the Equity Premium: Electronic versus Floor Trading. The Journal of Finance. [老王下载] (9.07/year)
JERMANN, U.J., 1998. Asset pricing in production economies. 老王下载 [Cited by 241] (23.13/year)
KAPUR, S., et al., 1999. A Portfolio Approach to Investment and Annuitization during Retirement. DISCUSSION PAPER IN ECONOMICS-BIRKBECK COLLEGE. [Cited by 35] (3.72/year)
KEIM, D.B., 1982. Size Related Anomalies and Stock Return Seasonality: Further Empirical Evidence. ideas.repec.org. [Cited by 602] (22.79/year)
KIM, C.J., J.C. MORLEY and C.R. NELSON, 2004. Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?. Journal of Money, Credit & Banking. [Cited by 21] (4.75/year)
KURZ, M. and A. BELTRATTI, The Equity Premium is No Puzzle. papers.ssrn.com. [老王vp破解版最新版下载] (?/year)
KURZ, M. and M. MOTOLESE, 2001. Endogenous uncertainty and market volatility. Economic Theory. [老王 2.2.7] (11.19/year)
LABADIE, P., I.N.S.T.I.T.U.T.E. FOR and &.h.e.l.l.i.p.;. , 1989. Stochastic Inflation and the Equity Premium. [Cited by 60] (3.09/year)
LETTAU, M., 2002. … Risk and Volatility Bounds, or Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?. Review of Economics and Statistics. [Cited by 21] (3.27/year)
LETTAU, M., S. LUDVIGSON and J.A. WACHTER, 2004. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?. 老王 2.2.7 [Cited by 81] (18.33/year)
LI, H. and Y. XU, 2002. Survival Bias and the Equity Premium Puzzle. The Journal of Finance. [Cited by 32] (4.98/year)
LONGSTAFF, F.A. and M. PIAZZESI, 2004. Corporate earnings and the equity premium. Journal of Financial Economics. [老王vp破解版最新版下载] (6.56/year)
LUCAS, D.J., 1994. 工信部回应“整顿翻墙软件”：合法经营不受影响 ...- 新京报网:2021-7-25 · 新京报网伍文字、图片、视频等全媒体形式，为用户提供全天候热点新闻，涵盖突发新闻、时事、财经、娱乐、体育，伍及评论、杂志和博客等，新 .... Journal of Monetary Economics. [Cited by 160] (11.10/year)
LYNCH, A.W., 1996. Decision Frequency and Synchronization Across Agents: Implications for Aggregate Consumption and …. JOURNAL OF FINANCE-NEW YORK-. [Cited by 50] (4.03/year)
MANKIW, N.G., 1987. The Equity Premium and the Concentration of Aggregate Shocks. 老王 ⅴpn下载 [Cited by 188] (8.78/year)
MANKIW, N.G. and S.P. ZELDES, 1991. The Consumption of Stockholders and Nonstockholders. Journal of Financial Economics. [Cited by 526] (30.20/year)
MCGRATTAN, E.R. and E.C. PRESCOTT, 2003. 只剩下门缝的VPN何去何从 - 手机新蓝网:2021-2-7 · 热门推荐 让20元行政处罚不再磨叽！宁波城管要推广这件事 2021-06-16 12:17 嘉兴端午民俗文化节细节公布 今年将新增“云端约会” 2021-06-16 12:17 为“网红主播”发上岗证！. American Economic Review. [Cited by 78] (14.39/year)
MEHRA, R. and E. PRESCOTT, 2002. The Equity Premium Puzzle in Retrospect. Handbook of Economics of Finance (Amsterdam: North Holland). [Cited by 20] (3.12/year)
MEHRA, R. and E. PRESCOTT, 1985. HThe Equity Premium: A Puzzle,”. Journal of Monetary Economics. [Cited by 16] (0.68/year)
MEHRA, R. and E.C. PRESCOTT, 2003. The Equity Premium in Retrospect. 老王下载 [Cited by 132] (24.36/year)
MEHRA, R. and E.C. PRESCOTT, 1988. The Equity Risk Premium: A Solution?. Journal of Monetary Economics. [老王app官方下载] (1.86/year)
MEHRA, R. and E.C. PRESCOTT, 1985. The Equity Premium. Journal of Monetary Economics. [Cited by 35] (1.49/year)
MEHRA, R. and E.C. PRESCOTT, 1988. The Equity Premium: A Solution?. 老王 ⅴpn下载 [Cited by 25] (1.22/year)
MEHRA, R. and E.C. PRESCOTT, 1985. The Equity Premium: A Puzzle [J]. 老王v p n安卓版 [Cited by 21] (0.90/year)
MEHRA, R. and N.A.T.I.O.N.A.L. BUREAU, 2003. The Equity Premium: Why is it a Puzzle?. [Cited by 2418] (446.17/year)
MELINO, A. and A.X. YANG, 2003. State-dependent preferences can explain the equity premium puzzle. Review of Economic Dynamics. [老王加速器永久免费] (5.72/year)
MEYER, D.J. and J. MEYER, 2005. Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation …. 老王 2.2.7 [Cited by 17] (4.97/year)
MOSKOWITZ, T.J. and A. VISSING-JORGENSEN, The Private Equity Premium Puzzle. papers.ssrn.com. [Cited by 306] (?/year)
NASON, J.M. and B.O.A.R.D. OF, 1988. The Equity Premium and Time-varying Risk Behavior. ideas.repec.org. [老王vpm2.2.8下载安卓版] (0.78/year)
OTROK, C., B. RAVIKUMAR and C.H. WHITEMAN, 2002. Habit formation: a resolution of the equity premium puzzle?. Journal of Monetary Economics. [Cited by 52] (8.10/year)
PANETTA, F., R. VIOLI and B.A.N.C.A. D'ITALIA, 1999. Is there an equity premium puzzle in Italy?: a look at asset returns, consumption and financial …. ideas.repec.org. [老王vpm2.2.8下载安卓版] (2.76/year)
PASTOR, L. and R.F. STAMBAUGH, 2001. The Equity Premium and Structural Breaks. The Journal of Finance. [Cited by 120] (16.17/year)
POLK, C., S. THOMPSON and T. VUOLTEENAHO, 2006. Cross-sectional forecasts of the equity premium. Journal of Financial Economics. [Cited by 46] (19.01/year)
POLK, C.K., S.B. THOMPSON and T. VUOLTEENAHO, New Forecasts of the Equity Premium. papers.ssrn.com. [Cited by 16] (?/year)
POLKOVNICHENKO, V., 2004. Limited stock market participation and the equity premium. Finance Research Letters. [Cited by 29] (6.56/year)
RABIN, M. and R.H. THALER, 2007. Anomalies: Risk Aversion. INTERNATIONAL LIBRARY OF CRITICAL WRITINGS IN ECONOMICS. [Cited by 219] (154.28/year)
RAJNISH, M. and E. PRESCOTT, 1985. The Equity Premium: A Puzzle. Journal of Monetary Economics. [Cited by 21] (0.90/year)
RIETZ, T.A., 1988. The Equity Premium: A Solution. Journal of Monetary Economics. [Cited by 46] (2.25/year)
RIETZ, T.A., 1988. The equity premium puzzle: A solution. Journal of Monetary Economics. [Cited by 21] (1.03/year)
SIEGEL, J.J., 1999. The Shrinking Equity Premium (Digest Summary). Journal of Portfolio Management. [Cited by 120] (12.74/year)
SIEGEL, J.J., 1992. The Equity Premium: Stock and Bond Returns Since 1802. Financial Analysts Journal. [老王v p n安卓版] (5.85/year)
SIEGEL, J.J. and R.H. THALER, 1997. Anomalies: The Equity Premium Puzzle. JOURNAL OF ECONOMIC PERSPECTIVES. [Cited by 97] (8.49/year)
SIEGEL, J.J. and R.H. THALER, 1997. 老王v p n安卓版. The Journal ofEconomic Perspectives. [Cited by 38] (3.33/year)
VUOLTEENAHO, T., 2000. Understanding the aggregate book-to-market ratio and its implications to current equity-premium …. Unpublished paper, Harvard University. [Cited by 45] (5.34/year)
WEIL, P. and N.A.T.I.O.N.A.L. BUREAU, 1989. 工信部回应“整顿翻墙软件”：合法经营不受影响 ...- 新京报网:2021-7-25 · 新京报快讯(记者李丹丹)近期伍来，中国政府对VPN(虚拟专用网络)的管理成为外界关注焦点。在今日国新办的发布会上，工业和信息化部新闻发言人 .... [Cited by 646] (33.27/year)
WELCH, I., 2000. Views of Financial Economists on the Equity Premium and on Professional Controversies*. The Journal of Business. [老王v2.2.8下载] (17.22/year)
WELCH, I., 2000. Views of Financial Economists on the Equity Premium and Other Issues. Journal of Business. [Cited by 30] (3.56/year)
WELCH, I.V.O., The Equity Premium Consensus Forecast Revisited. 老王加速器永久免费 [Cited by 82] (?/year)
YAN, H., 1998. Estimation uncertainty and the equity premium. [老王2.2.11下载] (1.34/year)