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ArticleThe equity premium and the risk-free rate

Stephen G. Cecchetti1993

Article1993

The equity premium and the risk-free rate

Stephen G. Cecchetti · Pok‐sang Lam · Nelson Chung Mark

186 citations·0/0 files stored·Journal of Monetary Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1982Time to Build and Aggregate Fluctuations 1985The equity premium: A puzzle 1978Asset Prices in an Exchange Economy 1987Cointegration and Tests of Present Value Models 1990Habit Formation: A Resolution of the Equity Premium Puzzle 1990Asset Prices under Habit Formation and Catching up with the Joneses 1988The equity risk premium a solution

Cited by

2001Stock price volatility and equity premium 2002Robustness and Pricing with Uncertain Growth 2012Consumption-Based Asset Pricing with Higher Cumulants 2001Structural Breaks, Incomplete Information, and Stock Prices 2001Computational Methods for the Study of Dynamic Economies 1997The implications of first-order risk aversion for asset market risk premiums

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1991The Equity Premium and the Risk Free Rate: Matching the Momentsreport · 20 shared references 1995Chapter 5 Theory and empirical testing of asset pricing modelschapter · 16 shared references 2003Chapter 13 Consumption-based asset pricingchapter · 14 shared references 1999Chapter 19 Asset prices, consumption, and the business cyclechapter · 14 shared references 2003Chapter 14 The equity premium in retrospectchapter · 14 shared references 2008The Equity Premium: ABCschapter · 14 shared references

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Year1993

Typearticle

Published1993-02-01

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations186

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-3932(93)90015-8

openalex_workW3099245154

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2007

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

2006Indirect inference and calibration of dynamic stochastic general equilibrium models