The time-varying equity premium and the s&p 500 in the twentieth century

I present a new hindcast stock market index for the United States over the twentieth century. This is constructed by calibrating a rational asset pricing model that allows for a time-varying equity premium driven by heteroskedasticity in consumption growth. By incorporating this variation in risk, t...

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Bibliographic Details

Main Author:	Mark Freeman
Format:	Default Article
Published:	2011
Subjects:	Other commerce, management, tourism and services not elsewhere classified untagged Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/15033
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