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1、JournalofMonetaryEconomics15(1985)145-161.North-HollandTHEEQUITYPREMIUMAPuzzle*RajnishMEHRAColumbiaUniversity,NewYork,NY10027,USAEdwardC.PRESCOTTFederalReserveBankofMinneapolisUniversityofMinnesota,Minneapolis,MN5545.5,USA.Restrictionsthataclassofgeneralequilibriummode
2、lsplaceupontheaveragereturnsofequityandTreasurybillsarefoundtobestronglyviolatedbytheU.S.datainthe1889-1978period.Thisresultisrobusttomodelspecificationandmeasurementproblems.Weconcludethat,mostlikely,anequilibriummodelwhichisnotanArrow-DebreueconomywillbetheonethatSim
3、ultaneouslyrationalizesbothhistoricallyobservedlargeaverageequityreturnandthesmallaveragerisk-freereturn.1.IntroductionHistoricallytheaveragereturnonequityhasfarexceededtheaveragereturnonshort-termvirtuallydefault-freedebt.Overtheninety-yearperiod1889-1978theaveragerea
4、lannualyieldontheStandardandPoor500Indexwassevenpercent,whiletheaverageyieldonshort-termdebtwaslessthanonepercent.Thequestionaddressedinthispaperiswhetherthislargedifferentialinaverageyieldscanbeaccountedforbymodelsthatabstractfromtransactionscosts,liquidityconstraints
5、andotherfrictionsabsentintheAr~ow-Debreuset-up.Ourfindingisthatitcannotbe,atleastnotfortheclassofeconomiesconsidered.Ourconclusionisthatmostlikelysomeequilibriummodelwitha*ThisresearchwasinitiatedattheUniversityofChicagowhereMehrawasavisitingscholarattheGraduateSchoolo
6、fBusinessandPrescottaFordfoundationvisitingprofessorattheDepartmentofEconomics.Earlierversionsofthispaper,entitled'ATestoftheIntertemporalAssetPricingModeF,werepresentedattheUniversityofMinnesota,UniversityofLausanne,HarvardUniversity,NBERConferenceonIntertemporalPuzzl
7、esinMacroeconomics,andtheAmericanFinanceMeetings.Wewishtothanktheworkshopparticipants,GeorgeCoustantinides,EugeneFama,MertonMiller,andparticularlyananonymousreferee,FischerBlack,StephenLeRoyandCharlesPlosserforhelpfuldiscussionsandconstructivecriticisms.Wegratefullyack
8、nowledgefinancialsupportfromtheFacultyResearchFundoftheGraduateSchoolofBusiness,ColumbiaUniversity,theNationalSdenceF
