The market price of risk and the equity premium: A legacy of the Great Depression?
- 30 April 2008
- journal article
- Published by Elsevier in Journal of Monetary Economics
- Vol. 55 (3) , 454-476
- https://doi.org/10.1016/j.jmoneco.2008.01.006
Abstract
No abstract availableThis publication has 28 references indexed in Scilit:
- Equilibrium stock return dynamics under alternative rules of learning about hidden statesJournal of Economic Dynamics and Control, 2004
- Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing TheoryThe Review of Economic Studies, 2004
- A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model DetectionJournal of the European Economic Association, 2003
- An exploration of the effects of pessimism and doubt on asset returnsJournal of Economic Dynamics and Control, 2002
- Robustness and Pricing with Uncertain GrowthThe Review of Financial Studies, 2002
- Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?American Economic Review, 2000
- By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market BehaviorJournal of Political Economy, 1999
- Where is the Market Going? Uncertain Facts and Novel TheoriesPublished by National Bureau of Economic Research ,1998
- Why Does the Stock Market Fluctuate?The Quarterly Journal of Economics, 1993
- Movements in the Equity PremiumBrookings Papers on Economic Activity, 1993