Brav, Alon; Constantinides, George M.; Geczy, Christopher C. - In: Journal of Political Economy 110 (2002) 4, pp. 793-824
We present evidence that the equity premium and the premium of value stocks over growth stocks are consistent in the 198296 period with a stochastic discount factor calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible...