Description
Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.
Chapter
Chapter 2. Risk-Based Explanations of the Equity Premium
pp.：
62 – 126
Chapter 3. Non-Risk-based Explanations of the Equity Premium
pp.：
126 – 142
Chapter 4. Equity Premia with Benchmark Levels of Consumption: Closed-Form Results
pp.：
142 – 183
Discussion: Francisco Gomes (LBS)
pp.：
183 – 192
Chapter 5. Long-Run Risks and Risk Compensation in Equity Markets
pp.：
192 – 219
Discussion: John C. Heaton (Chicago)
pp.：
219 – 224
Chapter 6. The Loss Aversion/Narrow Framing Approach to the Equity Premium Puzzle
pp.：
224 – 255
Discussion: Xavier Gabaix (New York)
pp.：
255 – 260
Discussion: Ravi Jagannathan (Northwestern)
pp.：
260 – 262
Chapter 7. Financial Markets and the Real Economy
pp.：
262 – 351
Discussion: Lars Peter Hansen (Chicago)
pp.：
351 – 356
Chapter 8. Understanding the Equity Risk Premium Puzzle
pp.：
356 – 385
Discussion: Hanno Lustig (UCLA)
pp.：
385 – 402
Chapter 9. Cash Flow Risk, Discounting Risk, and the Equity Premium Puzzle
pp.：
402 – 428
Discussion: Vito D. Gala (LBS)
pp.：
428 – 434
Discussion: Lior Menzly (Proxima)
pp.：
434 – 440
Chapter 10. Distribution Risk and Equity Returns
pp.：
440 – 488
Discussion: Urban J. Jermann (Wharton)
pp.：
488 – 492
Chapter 11. The Worldwide Equity Premium: A Smaller Puzzle
pp.：
492 – 530
Appendix 1: Decomposition of the Equity Premium
pp.：
530 – 532
Appendix 2: Data Sources for the DMS Database
pp.：
532 – 540
Chapter 12. History and the Equity Risk Premium
pp.：
540 – 555
Discussion: Stephen F. LeRoy (UCSB)
pp.：
555 – 560
Chapter 13. Can Heterogeneity, Undiversified Risk, and Trading Frictions Solve the Equity Premium Puzzle
pp.：
560 – 583
Discussion: Kjetil Storesletten (U Oslo)
pp.：
583 – 590
Chapter 14. Asset Prices and Intergenerational Risk Sharing: The Role of Idiosyncratic Earnings Shocks
pp.：
590 – 612
A. Calibration Appendix
pp.：
612 – 615
B. Asset Pricing
pp.：
615 – 616
Discussion: Darrell Duffie (Stanford)
pp.：
616 – 636
Handbook of the Equity Risk Premium
( Handbooks in Finance )
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