References
- Barberis , N , Huang , M and Santos , T . 2001 . Prospect theory and asset prices . The Quarterly Journal of Economics , 116 : 1 – 53 .
- Barberis , N and Thaler , R . 2003 . “ A survey of behavioral finance ” . In The Handbook of the Economics of Finance , Edited by: Constantinides , G , Harris , M and Stulz , R . 1053 – 121 . Amsterdam : North-Holland .
- Bernatzi , S and Thaler , R . 1995 . Myopic loss aversion and the equity premium puzzle . Quarterly Journal of Economics , 110 : 73 – 92 .
- Campbell , JY and Cochrane , J . 1999 . By force of habit: a consumption-based explanation of aggregate stock market behavior . Journal of Political Economy , 107 : 205 – 51 .
- Campbell , JY and Vuolteenaho , T . 2004 . Inflation illusion and stock prices . American Economic Review, Papers and Proceedings , 94 : 19 – 23 .
- Constantinides , GM . 1990 . Habit formation: a resolution of the equity premium puzzle . Journal of Political Economy , 98 : 519 – 43 .
- Constantinides , GM and Duffie , D . 1996 . Asset prices with heterogeneous consumers . Journal of Political Economy , 104 : 219 – 40 .
- Durand , RB , Lloyd , P and Tee , HW . 2004 . Myopic loss aversion and the equity premium puzzle reconsidered . Finance Research Letters , 1 : 171 – 7 .
- Epstein , LG and Zin , SE . 1989 . Substitution, risk aversion and the temporal behaviour of consumption and asset returns: a theoretical framework . Econometrica , 57 : 937 – 69 .
- Fama , EF and French , KR . 2002 . The equity premium . Journal of Finance , 57 : 637 – 59 .
- Grinblatt , M and Titman , S . 2002 . Financial Markets and Corporate Strategy , New York : McGraw-Hill .
- Haigh , M and List , JA . 2005 . Do professional traders exhibit myopic loss aversion? An experimental analysis . The Journal of Finance , 60 : 523 – 34 .
- He , H and Modest , DM . 1995 . Market frictions and consumption-based asset pricing . Journal of Political Economy , 103 : 94 – 117 .
- Kahnemann , D and Tversky , A . 1992 . Advances in prospect theory, cumulative representation of uncertainty . Journal of Risk and Uncertainty , 5 : 297 – 323 .
- Madsen , JB and Dzhumashev , R . 2008 . The equity premium puzzle and the ex post bias . Applied Financial Economics , (forthcoming)
- Maki , A and Sonoda , T . 2002 . A solution to the equity premium and risk-free rate puzzles: an empirical investigation using Japanese data . Applied Financial Economics , 12 : 601 – 12 .
- McGrattan , ER and Prescott , EC . 2003 . Average debt and equity returns: puzzling? . American Economic Review: Papers and Proceedings , 93 : 392 – 7 .
- Mehra , R and Prescott , E . 1985 . The equity premium: a puzzle? . Journal of Monetary Economics , 15 : 145 – 61 .
- Mehra , R and Prescott , E . 2003 . “ The equity premium in retrospect ” . In The Handbook of the Economics of Finance , Edited by: Constantinides , G , Harris , M and Stulz , R . 888 – 936 . Amsterdam : North-Holland .
- Modigliani , F and Cohn , RA . 1979 . Inflation, rational valuation and the market . Financial Analysts Journal , 35 : 24 – 44 .
- Taboga , M . 2004 . The equity premium in the long-run . Applied Financial Economics , 14 : 645 – 50 .