Survival bias and the equity premium puzzle

Journal of Finance

Volumn 57, Issue 5, 2002, Pages 1981-1995

  Li, Haitao ^a   Xu, Yuewu ^a  

^a The Samuel Curtis Johnson Graduate School of Management   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0041669481     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00486     Document Type: Article

References (22)

1. Abramowitz, Milton, and Irene Stegun, 1970, Handbook of Mathematical Functions (U.S. Government Printing Office, Washington, DC).
2. Brémaud, Pierre, 1981, Point Processes and Queues: Martingale Dynamics (Springer-Verlag, New York).
3. Brown, Stephen, William Goetzmann, and Stephen Ross, 1995, Survival, Journal of Finance 50, 853-873.
4. Campbell, John, Andrew Lo, and Craig MacKinlay, 1997, The Econometrics of Financial Markets (Princeton Press, Princeton, NJ).
5. Collin-Dufresne, Pierre, and Robert Goldstein, 1999, Do credit spreads reflect stationary leverage ratios? Reconciling structural and reduced-form frameworks, Working paper, Carnegie Mellon University.
6. Cox, John, Jonathan Ingersoll, and Stephen Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-407.
7. Duffie, Darrell, and David Lando, 2001, Term structure of credit spreads with incomplete accounting information, Econometrica 69, 633-664.
8. Duffie, Darrell, and Kenneth Singleton, 1999, Modeling term structures of defaultable bonds, Review of Financial Studies 12, 687-720.
9. Erdelyi, Arthur, 1954, Tables of Integral Transforms (McGraw-Hill, New York).
10. Fama, Eugene, and Kenneth French, 1988, Permanent and temporary components of stock prices, Journal of Political Economy 96, 246-273.
11. Fleming, Thomas, and David Harrington, 1991, Counting Processes and Survival Analysis (John Wiley & Sons, Inc., New York).
12. Goetzmann, William, and Phillipe Jorion, 1999, Global stock markets in the twentieth century, Journal of Finance 54, 953-980.
13. Grandell, Jan, 1976, Doubly Stochastic Poisson Processes (Springer-Verlag, New York).
14. ngersoll, Jonathan Jr., 1987, Theory of Financial Decision Making (Rowman and Littlefield, Totowa, NJ).
15. Jarrow, Robert, David Lando, and Stuart Turnbull, 1997, A Markov model for the term structure of credit spreads, Review of Financial Studies 10, 481-523.
16. Jarrow, Robert, and Stuart Turnbull, 1995, Pricing options on financial securities subject to default risk, Journal of Finance 50, 53-86.
17. Karatzas, Ioannis, and Steven Shreve, 1991, Brownian Motion and Stochastic Calculus (Springer-Verlag, New York).
18. Mehra, Rajnish, and Edward Prescott, 1985, The equity premium: A puzzle, Journal of Monetary Economics 15, 145-161.
19. Merton, Robert C., 1974, On the pricing of corporate debt: The risk structure of interest rates, Journal of Finance 29, 449-470.
20. Protter, Philip, 1990, Stochastic Integration and Differential Equations (Springer-Verlag, New York).
21. Ross, Philip, 1997, History, as written by the winners, Forbes, June 16, 206-214.
22. Siegel, Jeremy, 1998, Stocks For The Long Run (McGraw-Hill, New York).