Handbook of the Equity Risk Premium. Handbooks in Finance

Elsevier Science and Technology, December 2007, Pages: 634

Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.

Rajnish Mehra (UCSB), Introduction.
1. Rajnish Mehra (UCSB)and Edward C. Prescott (Arizona State), The Equity Premium: ABCs.
2. John B. Donaldson (Columbia) and Rajnish Mehra (UCSB), Risk Based Explanations of the Equity Premium.
3. Rajnish Mehra (UCSB)and Edward C. Prescott (Arizona State), Non-Risk Based Explanations of the Equity Premium.
4. Andy Abel (Wharton), Equity Premia with Benchmark Levels of Consumption: Closed-Form Results.
5. Ravi Bansal (Duke), Long Run Risks and Risk Compensation in Equity Markets.
6. Nick Barberis (Yale) and Ming Huang (Cornell), The Loss Aversion/Narrow Framing Approach to the Stock Market Pricing and Participation Puzzles.
7. John Cochrane (Chicago), Financial Markets and the Real Economy.
8. George Constantinides (Chicago), Understanding the Equity Risk Premium Puzzle.
9. Gurdip Bakshi (Maryland) and Zhiwu Chen (Yale), Cash Flow Risk and the Equity Premium Puzzle.
10. Jean-Pierre Danthine (Lausanne), John Donaldson (Columbia) and Paolo Siconolfi (Columbia), Distribution Risk and Equity Returns.
11. Elroy Dimson (LBS), Paul Marsh (LBS) and Mike Staunton (LBS), The Worldwide Equity Premium: A Smaller Puzzle.
12. William Goetzmann (Yale) and Roger Ibbotson (Yale), History and the Equity Risk Premium.
13. John Heaton (Chicago) and Debbie Lucas (Northwestern), Can Heterogeneity, Undiversifiable Risk, and Trading Frictions Explain the Equity Premium?
14. Kjetil Storesletten (U Oslo), Chris Telmer (CMU) and Amir Yaron (Wharton), Asset Prices and Intergenerational Risk Sharing: the Role of Idiosyncratic Earnings Shocks.

Mehra, Rajnish

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