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CHAPTER 1
The Equity Premium: ABCs
Rajnish Mehra
University of California, Santa Barbara, and NBER
and
Edward C. Prescott
Arizona State University and Federal Reserve Bank of Minneapolis
1. Introduction 2
1.1. An Important Preliminary Issue 2
1.2. Data Sources 3
1.3. Estimates of the Equity Premium 6
1.4. Variation in the Equity Premium over Time 9
2. Is the Equity Premium due to a Premium for Bearing Non-Diversifiable Risk? 11
2.1. Standard Preferences 14
References 25
Appendix A 29
Appendix B 29
Appendix C 35
Appendix D 35
JEL Classification: G10, G12, D9
Keywords: asset pricing, equity risk premium, CAPM, consumpt
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