@techreport{NBERw6683,
 title = "Risk Premia and Term Premia in General Equilibrium",
 author = "Andrew B. Abel",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "6683",
 year = "1998",
 month = "August",
 URL = "http://www.nber.org/papers/w6683",
 abstract = {The equity premium consists of a term premium reflecting the longer maturity of equity relative to short-term bills, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on reckless bills.  This paper analyzes term premia and the risk premia in a general equilibrium model with catching up with the Joneses preferences and a novel formulation of leverage.  Closed-form solutions for moments of asset returns are derived.  First-order approximations illustrate the effects of parameters and provide an algorithm to match the means and variances of the riskless rate and the rate of return on equity.},
}