A duration-based equity premium

References

• Abel , AB . 1990 . Asset prices under habit formation and catching up with the Joneses . American Economic Review , 80 : 38 – 42 .
   Google Scholar
• Arnott , RD and Bernstein , PL . 2002 . What risk premium is ‘normal’? . Financial Analysts Journal , 58 : 64 – 85 .
   Google Scholar
• Azar , S . Log utility? . Working paper . Haigazian University .
   Google Scholar
• Azar , S . The econometric resolution of two financial puzzles . Working paper . Haigazian University .
   Google Scholar
• Azar , S . 2007 . Conditional confidence intervals for the equity premium and other rates . Applied Financial Economics , forthcoming
   Google Scholar
• Baz , J and Chacko , G . 2004 . Financial Derivatives, Pricing, Applications, and Mathematics , Cambridge : Cambridge University Press .
   Google Scholar
• Campbell , JY and Cochrane , JH . 1999 . By force of habit: a consumption-based explanation of aggregate stock market behavior . Journal of Political Economy , 107 : 205 – 51 .
   Google Scholar
• Cochrane , JH . 2001 . Asset Pricing , Princeton : Princeton University Press .
   Google Scholar
• Constantinides , GM . 1990 . Habit formation: a resolution of the equity premium puzzle . Journal of Political Economy , 98 : 519 – 43 .
   Google Scholar
• Copeland , ET and Weston , JF . 1992 . Financial Policy and Corporate Policy , Reading, MA : Addison-Wesley .
   Google Scholar
• Epstein , LG and Zin , SE . 1989 . Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns I: a theoretical framework . Econometrica , 57 : 937 – 69 .
   Google Scholar
• Epstein , LG and Zin , SE . 1991 . Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns II: an empirical analysis . Journal of Political Economy , 99 : 263 – 86 .
   Google Scholar
• Fama , EF and French , KR . 2002 . The equity premium . Journal of Finance , LVII : 637 – 59 .
   Google Scholar
• Francis , JC . 1991 . Investments, Analysis and Management , 5th edn , London : McGraw Hill .
   Google Scholar
• Gali , J . 1994 . Keeping up with the Joneses: consumption externalities, portfolio choice, and asset prices . Journal of Money, Credit, and Banking , 26 : 1 – 8 .
   Google Scholar
• Gordon , M . 1962 . The Investment, Financing, and Valuation of the Corporation , Homewood, , Illinois : Irwin .
   Google Scholar
• Harper , D . 2003 . The equity risk premium, part one and part two . web site: Investopedia.com
   Google Scholar
• Hyde , S and Sherif , M . 2005 . Don’t break the habit: structural stability tests of consumption asset pricing models in the UK . Applied Economics Letters , 12 : 289 – 96 .
   Google Scholar
• Ibbotson Associates . 2001 . Stocks, Bonds, Bills, and Inflation: 2000 Yearbook , Chicago, IL : Ibbotson Associates .
   Google Scholar
• Ilmanen , A . 2003 . Expected returns on stocks and bonds . The Journal of Portfolio Management , Winter : 7 – 27 .
   Google Scholar
• Kocherlakota , N . 1996 . The equity premium: It's still a puzzle . Journal of Economic Literature , XXXIV : 42 – 71 .
   Google Scholar
• Maki , A and Sonoda , T . 2002 . A solution to the equity premium and riskfree rate puzzles: an empirical investigation using Japanese data . Applied Financial Economics , 12 : 601 – 12 .
   Google Scholar
• McGrattan , ER and Prescott , EC . 2003 . Average debt and equity returns: Puzzling? . American Economic Review , 93 : 392 – 7 .
   Google Scholar
• Mehra , R . 2003 . The equity premium: why is it a puzzle? (corrected) . Financial Analysts Journal , 59 : 1 retrieved from the web page of the Financial Analysts Journal
   Google Scholar
• Mehra , R and Prescott , EC . 1985 . The equity premium: a puzzle . Journal of Monetary Economics , 15 : 145 – 61 .
   Google Scholar
• Mehra , R and Prescott , EC . 2003 . “ The equity premium in retrospect ” . In Handbook of the Economics of Finance , Edited by: Constantinides , G. M. , Harris , M. and Stulz , R. 887 – 936 . North-Holland : Elsevier .
   Google Scholar
• Parker , JA . 2003 . Consumption risk and expected stock returns . American Economic Review , 93 : 376 – 82 .
   Google Scholar
• Ross , SA . 1976 . The arbitrage theory of capital asset pricing . Journal of Economic Theory , 13 : 341 – 60 .
   Google Scholar
• Ross , SA , Westerfield , RW and Jaffe , JF . 2002 . Corporate Finance , 6th edn , Boston : McGraw-Hill Irwin .
   Google Scholar
• Siegel , JJ and Thaler , RH . 1997 . Anomalies: the equity premium puzzle . Journal of Economic Perspectives , 11 : 191 – 200 .
   Google Scholar
• Söderlind , P . 2003 . “ Asset pricing in macroeconomic models ” . In Dynamic Macroeconomic Analysis , Edited by: Altug , S. , Chadha , J. S. and Nolan , C. 406 – 50 . Cambridge University Press .
   Google Scholar
• Taboga , M . 2004 . The equity premium in the long run . Applied Financial Economics , 14 : 645 – 50 .
   Google Scholar
• Wilson , JW and Jones , CP . 2002 . An analysis of the S&P 500 index and Cowles's extensions: price indexes, and stock returns . Journal of Business , 75 : 505 – 33 .
   Google Scholar