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THE EQUITY PREMIUM
A Puzzle*
Rajnish MEHRA
Columbia University, New York, NY 10027, USA
Edward C. PRESCOTT
Federal Reserve Bank of Minneapolis
University of Minnesota, Minneapolis, MN 5545.5, USA.
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.
1. Introduction
Historically the average return on equity has far exceeded the average return
on short-term virtually default-free debt. Over the ninety-year period 1889-1978
the average real annual yield on the Standard and Poor 500 Index was seven
percent, while the average yield on short-term debt was less than one percent.
The question addressed in this paper is whether this large differential in
average yields can be accounted for by models that abstract from transactions
costs, liquidity constraints and other frictions absent in the Ar~ow-Debreu
set-up. Our finding is that it cannot be, at least not for the class of economies
considered. Our conclusion is that most likely some equilibrium model with a
*This research was initiated at the University of Chicago where Mehra was a visiting scholar at
the Graduate School of Business and Prescott a Ford foundation visiting professor at the
Department of Economics. Earlier versions of this paper, entitled 'A Test of the Intertemporal
Asset Pricing ModeF, were presented at the University of Minnesota, University of Lausanne,
Harvard University, NBER Conference on Intertemporal Puzzles in Macroeconomics, and the
American Finance Meetings. We wish to thank the workshop participants, George Coustantinides,
Eugene Fama, Merton Miller, and particularly an anonymous referee, Fischer Black, Stephen
LeRoy and Charles Plosser for helpful discussions and constructive criticisms. We gratefully
acknowledge financial support from the Faculty Research Fund of the Graduate School of
Business, Columbia University, the National Sdence Foundation and the Federal Reserve Bank of
Minneapolis.
0304-3923/85/$3.30©1985, Elsevier Science Publishers B.V. (North-Holland)

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