I wish to thank James Morley for making me aware of this subject. I am very grateful to Charles Nelson for his numerous encouragements. I thank Pok-sang Lam (the editor) and an anonymous referee for their insightful comments, which have substantially improved the paper. This paper is derived from one chapter of the author's doctoral dissertation at the University of Washington. I gratefully acknowledge financial support from the Grover and Creta Ensley Fellowship at the University of Washington. I wish to thank Ravi Bansal, John Cochrane, Drew Creal, Michael Dueker, Walter Enders, Scott Gilbert, Dick Startz, Byron Tsang, Stephen Turnovsky, Mark Wohar, and Eric Zivot for helpful comments. I alone am responsible for any error.
Long-Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework
Article first published online: 22 JAN 2013
© 2013 The Ohio State University
Journal of Money, Credit and Banking
Volume 45, Issue 1, pages 121–145, February 2013
How to Cite
MA, J. (2013), Long-Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework. Journal of Money, Credit and Banking, 45: 121–145. doi: 10.1111/j.1538-4616.2012.00564.x
- Issue published online: 22 JAN 2013
- Article first published online: 22 JAN 2013
- Received September 27, 2007; and accepted in revised form March 23, 2012.
Options for accessing this content:
- If you have access to this content through a society membership, please first log in to your society website.
- If you would like institutional access to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
- New Users: Please register, then proceed to purchase the article.
Type your institution's name in the box below. If your institution is a Wiley customer, it will appear in the list of suggested institutions and you will be able to log in to access content. Some users may also log in directly via OpenAthens.
Please note that there are currently a number of duplicate entries in the list of institutions. We are actively working on fixing this issue and apologize for any inconvenience caused.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!