Anomalies: The Equity Premium Puzzle

Journal of Economic Perspectives - Tập 11 Số 1 - Trang 191-200 - 1997
Jeremy J. Siegel1, Richard H. Thaler2
1Professor of Finance, Wharton School, University of Pennsylvania, Philadelphia, Pennsylvania.
2Robert 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.

Tóm tắt

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.

Từ khóa


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Thông tin
Thông tin xuất bản

Journal of Economic Perspectives

Tập 11 Số 1

191-200

Thông tin tác giả