A test of the intertemporal asset pricing model

Restrictions that general equilibrium theory place upon average returns 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 equilibrium models which are not Arrow-Debreu economies are needed to rationalize the large average equity premium that prevailed during the last 90 years.

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Year of publication:	1982
Authors:	Mehra, Rajnish ; Prescott, Edward C.
Institutions:	Federal Reserve Bank of Minneapolis

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Extent:	application/pdf
Series:	Staff Report.
Type of publication:	Book / Working Paper
Notes:	Published in Journal of Monetary Economics (Vol. 15, n.2, March 1985, pp.145-161) Number 81
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005367673