Rajnish Mehra

The equity premium: a puzzle

Abstract Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 1889–1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equilibrium model which is not an Arrow-Debreu economy will be the one that simultaneously rationalizes both historically observed large average equity return and the small average risk-free return.

Recursive Competitive Equilibrium: The Case of Homogeneous Households

AbstractRecursive equilibrium theory is extended and generalized. Optimality of equilibria and supportability of optima are established in a direct way. Four economic applications are reformulated as recursive competitive equilibria and analyzed.(This abstract was borrowed from another version of this item.)

The equity risk premium: A solution?☆

Abstract This paper responds to Rietzs (1988) proposed solution to the Equity Premium Puzzle. We explain why we do not consider his proposed solution to be a resolution of the puzzle and clarify what constitutes a possible solution.

Mood fluctuations, projection bias, and volatility of equity prices

This paper focuses on the potential e2ects of small

Handbook of the Equity Risk Premium

uctuations in investors’ subjective preferences (speci5cally, their discount factors and attitudes towards risk) on the volatility of equity prices. We brie

Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model

y summarize some of the arguments and evidence regarding the

On the term structure of interest rates

uctuations in subjective preferences. Our analysis indicates that such

RECURSIVE COMPETITIVE EQUILIBRIUM: THE CASE OF HOMOGENEOUS HOUSEHOLDS

uctuations may have signi5cant implications for understanding the volatility of the prices of 5nancial assets. We derive a closed-form expression for equilibrium equity prices, and use this expression to map the

Stochastic growth with correlated production shocks

uctuations in investors’ subjective preferences to the

The Equity Premium Puzzle: A Review

uctuations in equity prices. Our analysis suggests that small