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Applied Financial Economics Letters Volume 4, 2008 - Issue 6
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Original Articles

The equity premium and inflation

John Beirne Economics and Finance Department, Brunel University, Uxbridge, Middlesex, UB8 3PH, United KingdomCorrespondence[email protected]
&
Gabe de Bondt Capital Markets and Financial Structure Division, European Central Bank, Kaiserstrasse 29, Frankfurt am Main, 60311, Germany
Pages 439-442 | Published online: 18 Oct 2008

References

  • Azar , S. A. 2007 . A duration-based equity premium . Applied Financial Economics Letters , 3 : 409 – 14 .
  • Campbell , J. Y. Estimating the equity premium . NBER Working Paper, 13423 . 2007 .
  • Claus , J. and Thomas , J. 2001 . Equity premia as low as three percent? Evidence from analysts’ earnings forecasts for domestic and international stock markets . Journal of Finance , 56 : 1629 – 66 .
  • Fama , E. F. and French , K. R. 2002 . The equity premium . Journal of Finance , 57 : 637 – 59 .
  • Jagannathan , R. , McGrattan , E. R. and Scherbina , A. 2000 . The declining U.S. equity premium . Federal Reserve Bank of Minneapolis Quarterly Review , 24 : 3 – 19 .
  • Kyriacou , K. , Madsen , J. B. and Mase , B. 2006 . Does inflation exaggerate the equity premium? . Journal of Economic Studies , 33 : 344 – 56 .
  • Mehra , R. and Prescott , E. 1985 . The equity premium: a puzzle . Journal of Monetary Economics , 15 : 145 – 61 .
  • Siegel , J. J. 1999 . The shrinking equity premium . Journal of Portfolio Management , 26 : 10 – 7 .
  • Tristani , O. Model misspecification, the equilibrium natural interest rate and the equity premium . ECB Working Paper 808 . 2007 .

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