The Equity Premium Puzzle: Australia and the United States in Comparative Perspective
AbstractThe equity risk premium puzzle has received regular attention by economists since it was first invoked by Mehra and Prescott (1985) twenty years ago. In a recent paper, they revisit the question and reject many of the explanations offered but we are left with no clear alternative account. The current paper seeks to do two things. We provide matching historical evidence of the equity premium for Australia and compare the results for the two nations. Resulting from this, we argue that a closer understanding of phases of economic history helps to explain the puzzle.
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Bibliographic InfoPaper provided by School of Economics, University of Wollongong, NSW, Australia in its series Economics Working Papers with number wp06-25.
Length: 11 pages
Date of creation: 2006
Date of revision:
Contact details of provider:
Postal: School of Economics, University of Wollongong, Northfields Avenue, Wollongong NSW 2522 Australia
Phone: +612 4221-3659
Fax: +612 4221-3725
Web page: http://business.uow.edu.au/econ/index.html
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Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- N2 - Economic History - - Financial Markets and Institutions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-20 (All new papers)
- NEP-FMK-2007-07-20 (Financial Markets)
- NEP-HIS-2007-07-20 (Business, Economic & Financial History)
- NEP-RMG-2007-07-20 (Risk Management)
- NEP-UPT-2007-07-20 (Utility Models & Prospect Theory)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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18-80, Wharton School Rodney L. White Center for Financial Research.
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- R. Mehra & E. Prescott, 2010.
"The equity premium: a puzzle,"
Levine's Working Paper Archive
1401, David K. Levine.
- Narayana R. Kocherlakota, 1995.
"The equity premium: it's still a puzzle,"
Discussion Paper / Institute for Empirical Macroeconomics
102, Federal Reserve Bank of Minneapolis.
- Casper van Ewijk & Henri L.F. de Groot & Coos Santing, 2010.
"A Meta-Analysis of the Equity Premium,"
Tinbergen Institute Discussion Papers
10-078/3, Tinbergen Institute.
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