Abstract
Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills 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, most likely, an equilibrium model which is not an Arrow-Debreu economy will be the one that simultaneously rationalizes both historically observed large average equity return and the small average risk-free return.
Original language | English (US) |
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Pages (from-to) | 145-161 |
Number of pages | 17 |
Journal | Journal of Monetary Economics |
Volume | 15 |
Issue number | 2 |
DOIs | |
State | Published - Mar 1985 |
Externally published | Yes |
ASJC Scopus subject areas
- Finance
- Economics and Econometrics