Handbook of the Equity Risk Premium - Softcover

9780444549839: Handbook of the Equity Risk Premium

Softcover

ISBN 10: 0444549838 ISBN 13: 9780444549839

Publisher: Elsevier Science, 2013

Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.

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Review

"How large is the equity risk premium? Is it consistent with macroeconomic fluctuations? And what are the implications for investors? These are among the most important questions in finance. While the last word certainly hasn't been written, Mehra's "Handbook of the Equity Risk Premium" provides a lucid framework for addressing these questions, reviews the empirical results, and offers a comprehensive view of current thinking about ways to approach the open issues."
Bob Litterman
Goldman Sachs Asset Management

“Mehra and Prescott's equity premium paper was a true classic, stimulating a mountain of interesting research. This valuable book contains some of the most interesting responses, plus an introduction and a new paper by the original authors. This is financial economics at its best.
Robert E. Lucas Jr.
University of Chicago

“The puzzle of the equity risk premium is one of the deepest conundrums of financial economics. This masterful collection put together by its discoverer lucidly displays its central position in modern finance.
Stephen A. Ross
Sloan School, MIT

"Understanding how to interpret and capitalize on the large observed equity premium is a central task of macroeconomics and finance. This book is full of good new ideas about risk taking behavior and finance markets."
Thomas Sargent
NYU and the Hoover Institution, Stanford

About the Author

Kenneth Arrow is the Joan Kenney Professor of Economics and Professor of Operations Research, emeritus; a CHP/PCOR fellow; and an FSI senior fellow by courtesy. He is the joint winner of the Nobel Memorial Prize in Economics with John Hicks in 1972. To date, he is the youngest person to have received this award, at 51. In economics, he is a figure in post-World War II neo-classical economic theory. Many of his former graduate students have gone on to win the Nobel Memorial Prize themselves. His most significant works are his contributions to social choice theory, notably "Arrow's impossibility theorem", and his work on general equilibrium analysis. He has also provided foundational work in many other areas of economics, including endogenous growth theory and the economics of information. He has been co-editor of the Handbooks in Economics series since the mid-1980s.

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