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
Version of Record 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 online: 22 JAN 2013
- Version of Record online: 22 JAN 2013
- Received September 27, 2007; and accepted in revised form March 23, 2012.
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