487 - The risk premium on stocks in the European Union

Wetenschappelijke publicatie
Date 6 January 1997

This study empirically shows that the well-known equity premium puzzle (Mehra and Prescott, 1985) also holds for five EU-countries, which are very much likely to join a core-EMU. The author claims that this result does not represent an anomaly, but rather that the underlying theory is not able to fit the data properly. The report advocates that, at least, a better theoretic foundation is required.