The interaction between the equity premium and the risk-free rate

Economics Letters

Volumn 69, Issue 1, 2000, Pages 71-79

  Grant, Simon ^a   Quiggin, John ^a  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

E62; Equity premium puzzle; Risk free rate puzzle; Undiversifiable labor income

Indexed keywords

EID: 0034402042     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(00)00280-9     Document Type: Article

References (5)

1. Grant, S., Quiggin, J., 1999. The risk premium for equity: implications for Clinton's proposed diversification of the social security trust fund, ANU Working Papers in Economics and Econometrics, No. 368.
2. Mankiw N.G. The equity premium and the concentration of aggregate shocks. Journal of Financial Economics. 17:1986;211-219.
3. Mehra R., Prescott E.C. The equity premium: a puzzle. Journal of Monetary Economics. 15:1985;145-161.
4. Lucas R.E. Asset prices in an exchange economy. Econometrica. 46:1978;1429-1446.
5. Weil P. Equilibrium asset prices with undiversifiable labor income risk. Journal of Economic Dynamics and Control. 16:1992;769-790.