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, John Cochrane, Frank Diebold, Greg Duffee, Ian Dew- Becker, Adlai Fisher, Robert Hall, Soohun Kim, Ilaria Piatti, Jonathan Wright, Motohiro Yogo and seminar participants at the University of Alberta, the Wharton School, the NBER Forecasting & Empirical Methods Workshop, the SFS Cavalcade, the SoFiE Conference and the EFA Conference 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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