Anomalies
The Equity Premium Puzzle
Bibliographic Data
| ID | 4862730 |
|---|---|
| Authors | Jeremy J Siegel (Professor of Finance, Wharton School, University of Pennsylvania, Philadelphia, Pennsylvania.), Richard H Thaler (0000-0001-7550-2855, Robert P. Gwinn Professor of Economics and Behavioral Science, Graduate School of Business, University of Chicago, Chicago, Illinois, and Research Associate, National Bureau of Economic Research, Cambridge, Massachusetts.) |
| Year | 1997 |
| Volume | 11 |
| Issue | 1 |
| Pages | 191-200 |
| Publication date | 1997-02-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Journal of Economic Perspectives (JOURNAL) |
| Journal identifiers | ISSN: 0895-3309 • E-ISSN: 1944-7965 |
| Publisher | American Economic Association (PUBLISHER • US) |
| DOI | 10.1257/jep.11.1.191 |
| OpenAlex | W2115661130 |
| Language | EN |
| Citations received | 13 |
| References cited | 16 |
The equity premium is the difference in returns between equities and fixed income securities, such as Treasury bills. The puzzle refers to the fact that the premium has historically been very large--about 6 percent per year--too large to be easily explained by risk aversion. The authors document the evidence for the puzzle and find that is exists in many countries, over long time periods, and does not seem to be explained by survivorship bias. They also summarize several theoretical explanations. The authors conclude that it is difficult to explain the equity premium without incorporating some kind of irrationality
Bond · Economics · Equity premium puzzle · Financial economics · Fixed income · Irrationality · Liquidity premium · Liquidity risk · Market liquidity · Monetary economics · Risk premium · Treasury · Financial Literacy, Pension, Retirement Analysis · Financial Markets and Investment Strategies · Monetary Policy and Economic Impact · Finance
How Many Authors Does It Take to Publish an Article? Trends and Patterns in Political Science
Discounting Inside the Washington D.C. Beltway
The Predicament of Population Aging
With a Bang, not a Whimper
The Effect of Myopia and Loss Aversion on Risk Taking
Behavioral Macroeconomics and Macroeconomic Behavior
Familiarity Breeds Investment
Richard H. Thaler
Low-Frequency Movements in Stock Prices
Behavioral finance and asset prices
Gains–loss asymmetry of jobs, income, and risk‐taking behaviors
The Logic of Funding European Pension Restructuring and the Dangers of Financialisation
A Theory of the Consumption Function, With and Without Liquidity Constraints
| Unique citing works | 13 |
|---|---|
| Citations per year | 0,45 |
| Citation span | 1997 - 2024 (28) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 9 |