A test of the intertemporal asset pricing model
By: Rajnish Mehra, Edward C. Prescott
Contributors: Prescott, Edward C..
Edition: Rev.
Series: Federal Reserve Bank of Minneapolis, Research Department staff report -- 81; Staff report (Federal Reserve Bank of Minneapolis. Research Department : Online) -- 81.
Publisher: Federal Reserve Bank of Minneapolis
Published: 1982
Place of publication: Minneapolis, Minn.]
Language: eng
Format: [electronic resource] /
Subjects: Rate of return; Mathematical models; Equilibrium (Economics)
Description: "Restrictions that general equilibrium theory place upon average returns are found to be strongly violated by the U.S.  data in the 1889-1978 period.  This result is robust to model specification and measurement problems.  We conclude that equilibrium models which are not Arrow-Debreu economies are needed to rationalize the large average equity premium that prevailed during the last 90 years"--Federal Reserve Bank of Minneapolis web site.
Notes: Title from PDF file as viewed on 10/26/2007.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.