History of the Equity Premium Puzzle

Rajnish Mehra, Arizona State University, September 18, 2025 at Swedish House of Finance - Stockholm School of Economics.

Course Description:

This mini-course will be held on September 18. In the morning session (2 hours), I will provide an overview of the background and motivation that led Ed Prescott and me to write our paper “The Equity Premium: A Puzzle”, followed by a detailed discussion of the paper itself and its significance. The afternoon session (3 hours) will focus on the subsequent literature, reviewing the major attempts to resolve the equity premium puzzle. 

References:

The primary reference for the course is my volume The Handbook of the Equity Risk Premium (Elsevier, Amsterdam, 2008). I retain the copyright to the first three chapters; they are available on Rajnish website: https://rajnishmehra.com/publications/#tab-id-3. The remainder of the volume can be accessed through ScienceDirect.