Campbell and Cochrane meet Melino and Yang: reverse engineering the surplus ratio in a Mehra-Prescott economy
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References listed on IDEAS
- Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- Bryan R. Routledge & Stanley E. Zin, 2010.
"Generalized Disappointment Aversion and Asset Prices,"
Journal of Finance,
American Finance Association, vol. 65(4), pages 1303-1332, August.
- Bryan R. Routledge & Stanley E. Zin, 2003. "Generalized Disappointment Aversion and Asset Prices," NBER Working Papers 10107, National Bureau of Economic Research, Inc.
- Angelo Melino & Alan X. Yang, 2003.
"State Dependent Preferences Can Explain the Equity Premium Puzzle,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 806-830, October.
- Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics.
More about this item
KeywordsFinancial markets; Asset pricing;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-29 (All new papers)
- NEP-DGE-2012-07-29 (Dynamic General Equilibrium)
- NEP-UPT-2012-07-29 (Utility Models & Prospect Theory)
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