The Equity Premium a Puzzle*
نویسندگان
چکیده
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.
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Examination of Equity Premium Puzzle by Consumption Capital Asset Pricing Model with Fuzzy Nested Regimes: Evidence from Iran
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