NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Maximum likelihood estimation of the equity premium

Efstathios Avdis, Jessica A. Wachter

NBER Working Paper No. 19684
Issued in November 2013

---- Acknowledgements -----

We are grateful to Kenneth Ahern, John Campbell, Ian Dew-Becker, Adlai Fisher, Robert Hall, Jonathan Wright, Motohiro Yogo and seminar participants at the University of Alberta, the Wharton School and at the NBER Forecasting & Empirical Methods Workshop for helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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