Fisher, Stephen J - In: Journal of Applied Econometrics 9 (1994) S, pp. 71-94
A model is developed that attempts to explain the historical size of the U.S. equity premium by distinguishing between gross and net returns accruing to agents. The model derived by Mehra and Prescott (1985) is augmented with a bid-ask spread, calibrated and simulated. Equity premia in the order...