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A reexamination of the equity-premium puzzle: A robust non-parametric approach

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Author Info
Lim, G.C.
Maasoumi, Esfandiar
Martin, Vance L.

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Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 17 (2006)
Issue (Month): 2 (August)
Pages: 173-189
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Handle: RePEc:eee:ecofin:v:17:y:2006:i:2:p:173-189

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Web page: http://www.elsevier.com/locate/inca/620163

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  1. John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
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  2. Campbell, John Y, 1993. "Intertemporal Asset Pricing without Consumption Data," American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June. [Downloadable!] (restricted)
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  3. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, regulations, and asset prices," Working Papers 610, Federal Reserve Bank of Minneapolis.
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  4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. [Downloadable!] (restricted)
  5. Narayana R. Kocherlakota, 1996. "The Equity Premium: It's Still a Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(1), pages 42-71, March. [Downloadable!] (restricted)
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  6. Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2005. "Consistent Testing for Stochastic Dominance under General Sampling Schemes," Review of Economic Studies, Blackwell Publishing, vol. 72(3), pages 735-765, 07. [Downloadable!] (restricted)
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