In this paper we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a more appropriate distribution for the return data. We demonstrate that the high-risk aversion value observed by Mehra and Prescott may be attributable to the problem of fitting a proper distribution to the historical returns and partly caused by poorly fitting the tail of the return distribution. We describe a new distribution that better fits the return distribution and when used to describe historical returns can explain the large equity risk premium and thereby explains the puzzle.

中文翻译：

---

股票溢价之谜还是错误的经济模型？

在本文中，我们重新审视了 Mehra 和 Prescott 在 1985 年报道的股权溢价难题。我们表明，他们报告的大量股权溢价可以通过为回报数据选择更合适的分布来解释。我们证明了 Mehra 和 Prescott 观察到的高风险厌恶值可能归因于历史收益分布拟合的问题，部分原因是收益分布尾部拟合不佳。我们描述了一种更适合回报分布的新分布，当用于描述历史回报时，可以解释大的股权风险溢价，从而解释这个难题。