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The Equity Premium Is No Puzzle

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Author Info
Kurz, M.
Beltratti, A.
Abstract

We examine the equity premium pizzle with the prespective of the theory of Rational Beliefs Equilibrium (RBE) and show that from the perspective of this theory there is no puzzle.

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Publisher Info
Paper provided by Banca Italia - Servizio di Studi in its series Papers with number 282.

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Length: 57 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:banita:282

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Postal: Banca d'Italia-Servizio Studi-Divisione Biblioteca e Pubblicazioni - Via N azionale, 91 -00184 Rome, Italy.
Web page: http://www.bancaditalia.it/
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Related research
Keywords: FINANCIAL MARKET; RISK;

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Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

Cited by:
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  1. Christophe Faugere & Julian Van Erlach, 2003. "The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance," Finance 0311004, EconWPA. [Downloadable!]
  2. Eric F.Y. Lam & Gregory C. Chow, 2003. "Asset Pricing Model with Robust Control: Recourse in Pessimism to Equity Premium," Finance Working Papers 204, East Asian Bureau of Economic Research. [Downloadable!]
  3. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, Regulations, and Asset Prices," NBER Working Papers 8623, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Ellen R. McGrattan & Edward C. Prescott, 2001. "Is the Stock Market Overvalued?," NBER Working Papers 8077, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2009-11-20.

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