NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio

Jessica A. Wachter, Missaka Warusawitharana

NBER Working Paper No. 17334
Issued in August 2011

---- Acknowledgements -----

This paper previously circulated under the title "What is the chance that the equity premium varies over time? Evidence from predictive regressions." We are grateful to Sean Campbell, Mark Fisher, Michael Johannes, Matthew Pritsker, Robert Stambaugh, Stijn van Nieuwerburgh, Jonathan Wright, Moto Yogo, Hao Zhou and seminar participants at the 2008 meetings of the American Finance Association, the 2007 CIRANO Financial Econometrics Conference, the 2007 Winter Meeting of the Econometric Society, the 2010 Federal Reserve Conference on Financial Markets, the Federal Reserve Board, the University of California at Berkeley and the Wharton School for helpful comments. We are grateful for financial support from the Aronson+Johnson+Ortiz fellowship through the Rodney L. White Center for Financial Research. This manuscript does not reflect the views of the Board of Governors of the Federal Reserve System, its staff, or the National Bureau of Economic Research.

return to bibliography page

 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us