The Equity Premium in Retrospect
E802232
"The Equity Premium in Retrospect" is a highly influential paper by John Cochrane that surveys and analyzes the historical equity premium puzzle and its implications for asset pricing theory.
All labels observed (1)
| Label | Occurrences |
|---|---|
| The Equity Premium in Retrospect canonical | 1 |
Statements (47)
| Predicate | Object |
|---|---|
| instanceOf |
academic paper
ⓘ
finance research article ⓘ |
| addresses |
calibration of asset pricing models
ⓘ
difference between stock returns and risk-free returns ⓘ empirical validation of asset pricing theories ⓘ |
| aimsTo |
assess implications for macroeconomic modeling
ⓘ
clarify the magnitude of the equity premium ⓘ evaluate proposed resolutions of the equity premium puzzle ⓘ |
| analyzes |
consumption-based models
ⓘ
historical equity premium data ⓘ implications for asset pricing theory ⓘ representative agent models ⓘ |
| author | John H. Cochrane NERFINISHED ⓘ |
| citedFor |
comprehensive overview of the equity premium puzzle
ⓘ
critical evaluation of asset pricing models ⓘ |
| concludes |
risk aversion required by standard models is implausibly high
ⓘ
standard models struggle to match observed equity premium ⓘ |
| discusses |
habit formation models
ⓘ
implications for macro-finance models ⓘ implications for portfolio choice ⓘ long-run risk models ⓘ market incompleteness ⓘ measurement issues in historical returns ⓘ rare disaster models ⓘ survivorship bias in return data ⓘ |
| field |
asset pricing
ⓘ
financial economics ⓘ macroeconomics ⓘ |
| focusesOn | U.S. historical return data ⓘ |
| genre |
survey article
ⓘ
theoretical analysis ⓘ |
| hasInfluenceOn |
asset pricing theory
ⓘ
macroeconomic asset pricing models ⓘ subsequent equity premium research ⓘ |
| influencedBy |
Mehra and Prescott equity premium puzzle
ⓘ
consumption-based CAPM literature ⓘ |
| language | English ⓘ |
| mainTopic |
asset pricing puzzles
ⓘ
consumption-based asset pricing ⓘ equity premium puzzle ⓘ equity risk premium ⓘ historical stock returns ⓘ risk-free rate ⓘ |
| proposes | interpretations of the equity premium puzzle ⓘ |
| surveys |
empirical evidence on equity returns
ⓘ
literature on the equity premium puzzle ⓘ theoretical explanations of the equity premium ⓘ |
Referenced by (1)
Full triples — surface form annotated when it differs from this entity's canonical label.