Fornari, Fabio - Banca d'Italia - 2002
of static and intertemporal capital asset pricing models; the size of the equity premium is assessed for the US both at …-level. The market premium has had large swings with short-lived peaks over the last 75 years, fluctuating around a mean value of …. In periods of economic expansion the expected premium on the equity return is nearly half the value expected in recession …