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“Recursive Competitive Equilibrium: The Case of Homogeneous Households,” (with E.C. Prescott), Econometrica, 48, September, 1980, pp. 1365-1379. [PDF]
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- Reprinted in Valuation Theory – ed. by S. Bhattacharya and G.M. Constantinides, World Scientific, Singapore, 2005.
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- Reprinted in The Economic Legacy of Robert Lucas, Jr, edited by Kevin D. Hoover, Edward Elgar Publishing Ltd., Brookfield, VT 1998.
- Reprinted as “El ‘Equity Premium’: un Dilema,”Cuadernos Economicos de ICE, 42, November, 1989, pp. 123-37.
- Reprinted in Speculation and Financial Markets, edited by Liam A. Gallagher and Mark P. Taylor., Edward Elgar: Cheltenham, UK, Nothampton, MA 2002.
- Reprinted in Financial Markets and the Real Economy, edited by John Cochrane, Edward Elgar Publishing Ltd., Brookfield, VT 2006
- Reprinted in The International Library of Financial Econometrics, edited by Andrew Lo, Edward Elgar: Cheltenham, UK, Nothampton, MA 2007
- Reprinted in James Tobin, Franco Modigliani, Finn E. Kydland and Edward C. Prescott Pioneering Papers of the Nobel Memorial Laureates in Economics, edited by Howard R. Vane and Chris Mulhearn, Edward Elgar: Cheltenham, UK, Nothampton, MA 2010
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“On Some Computational Aspects of Equilibrium Business Cycle Theory,” (with J.P. Danthine and J.B. Donaldson), Journal of Economic Dynamics & Control, 13, July, 1989, pp. 449- 470. [PDF]
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“El comportamiento de la estructura temporal de los tipos de interés en un modelo de ciclos economicos,” (joint with J.B. Donaldson & T. Johnsen), Cuadernos Economicos de ICE, 49, Fall, 1991, pp. 89-120.
“The Equity Premium and the Allocation of Income Risk,” (joint with J.P. Danthine & J.B. Donaldson), Journal of Economic Dynamics and Control, 16, July/October, 1992, pp. 509-532.
“Auctions: Theory and Applications,” (joint with R.A. Feldman), IMF Staff Papers, 40, September, 1993, pp. 485-511.
“The Stock Market Crash of 1987,” (with A.W. Kleidon) in Business Cycles, Panics and Depressions, David Glassner, ed., Garland Press, New York, 1997.
“The Equity Premium Puzzle,” in Business Cycles, Panics and Depressions, ed. by David Glassner, Garland Press, New York, 1997.
“Dynamic Decentralization,” (with J.B. Donaldson), in Business Cycles, Panics and Depressions, ed. by David Glassner, Garland Press, New York, 1997.
“The Equity Premium,” in The Global Investor Book of Investing Rules ed. by Philip Jenks and Stephen Eckett, Harriman House Ltd., Great Britain, 2001.
“Junior Can’t Borrow: A New Perspective on the Equity Premium Puzzle,” (with G.M. Constantinides and J.B. Donaldson), Quarterly Journal of Economics, 117,February, 2002, pp. 269-96. [PDF]
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“Equity Premium Puzzle,” in Mastering Investments, ed. by James Pickford, FT-Prentice Hall, London, 2002.
“Stocks and Bonds in the Portfolio Life-Cycle,” (joint with S. J Davis), in Mastering Investments, ed. by James Pickford, FT-Prentice Hall, London, 2002.
“Finance 2001,” Journal of Economic Dynamics and Control, 26 6/7, 2002, pp. 1069-1074. [PDF]
“The Equity Premium: Why Is It A Puzzle?” Financial Analysts Journal, January /February 2003, pp 54-69. Awarded a Financial Analysts Foundation Graham and Dodd Scroll for excellence in financial writing. [PDF]
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“Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security,” (with G.M. Constantinides and with J.B. Donaldson), Annals of Finance, 1, January 2005, pp.1-34. [PDF]
“The Equity Premium in India,”Oxford Companion to Economics in India ed. by Kaushik Basu, Oxford University Press, 2007. [PDF]
“Junior is Rich: Bequests as Consumption,” (with G.M. Constantinides and with J.B. Donaldson). Economic Theory Volume 32, 2007, pp 125-155. [PDF]
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"Indian Equity Markets: Measures of Fundamental Value" India Policy Forum, Volume 6, 2010, pp 1-30 [PDF]
"The Equity Premium Puzzle: A Review", Foundations and Trends® in Finance: 2008 Vol. 2: No 1, pp 1-81. [PDF]
“Non Risk Based Explanations of the Equity Premium” (with E.C Prescott) Handbook of Investments: The Handbook of the Equity Risk Premium. ed. by Rajnish Mehra, Elsevier, Amsterdam, 2008, pp 101-215. [PDF]
“Risk Based Explanations of the Equity Premium” (with J.B Donaldson) Handbook of Investments: The Handbook of the Equity Risk Premium. ed. by Rajnish Mehra, Elsevier, Amsterdam, 2008, pp 37- 100. [PDF]
“The Equity Premium: ABCs,” (with E.C. Prescott) The Handbook of the Equity Risk Premium. ed. by Rajnish Mehra, Elsevier, Amsterdam, 2008, pp 1-36. [PDF]
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“The Equity Premium Puzzle Revisited ” in Rethinking the Equity Risk Premium. ed. by P. Brett Hammond, Martin L. Leibowitz, and Laurence B. Siegel, Research Foundation of CFA Institute, Charlottesville, VA. 2011. [PDF]
“Consumption-Based Asset Pricing Models”, Annual Review of Financial Economics 4, 2012 385–409. [PDF]
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"A 21st Century Perspective on Asset Management" (joint with Jean Pierre Danthine and John Donaldson) in Finance in Society edited by Mette Bjorndal, Froystein Gjesdal and Aksel Mjos. Cappelen Damm, 2017, pp 55-68. [PDF]
“Evaluating Macroeconomic Interventions” in Carbon Emission Pricing and Climate Risk Management. Edited by Robert Litterman. Wiley & Sons, 2017. [PDF]
"Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX futures markets" (with George Aragon and Sunil Wahal). Journal of Portfolio Management, 46(7), July 2020, pp.144-159. [PDF]
"Is Idiosyncratic Risk Conditionally Priced?" (with Sunil Wahal and Daruo Xie). Quantitative Economics, Volume 12, May 2021, pp.625-646. [PDF]
"Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion" (with J.B. Donaldson). Quantitative Economics, Volume 12, July 2021, pp.903-944. [PDF]
“Reflections on the Equity Premium” in Revisiting the Equity Risk Premium. Edited by Laurence B. Siegel and Paul McCaffrey. Charlottesville, VA: CFA Institute Research Foundation, 2023. pp.52-57. [PDF]
“Demographics and FDI: Lessons from China's One-Child Policy” (with John Donaldson, Christos Koulovatianos and Jian Li). Macroeconomic Dynamics. 2024, pages 1 - 18. [PDF]
Handbook of the Equity Risk Premium, Elsevier, Amsterdam, 2008.
[Publisher’s link] [Amazon link] [Chapter 1] [Chapter 2] [Chapter 3]
The Equity Premium Puzzle: A Review, Now Publishers Inc, Hanover, MA 2008
[Publisher’s link] [Amazon link]
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- Reprinted in Arabic, Chinese, French, German, Portuguese and Spanish.
“Equity Premium Puzzle,” Financial Times May 28, 2001.
“Stocks and Bonds in the Portfolio Life-Cycle,” (joint with S. J Davis), Financial Times June 4, 2001.
“Equity Risk Premium Forum: Current Estimates and Prospects for Change II,” AIMR On Line Publications."
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“Junior Must Pay: Privatizing Social Security-Costs vs. Benefits” ( joint with G.M Constantinides and J.B Donaldson) Capital Ideas Vol. 5 No. 2 | Fall 2003.
"Discussion of 'India’s Experience with a Pegged Exchange Rate'”. India Policy Forum, Volume 1 2004, pp. 217-224. [PDF]
"Discussion of 'How Applicable is the Inflation Targeting Framework (ITF) for India?' ” India Policy Forum, Volume 2 2005, pp. 164-170. [PDF]
"Discussion of 'Sources of Growth in the Indian Economy' ” India Policy Forum, Volume 3, 2007, pp 53-58. [PDF]
Discussion of “Sources of Corporate Profits in India: Business Dynamism or Advantages of Entrenchment?” India Policy Forum, Volume 7, 2011, pp 85-89. [PDF]
"Discussion of 'The Policy Puzzles of Foreign Currency Borrowing by Indian Firms' ” India Policy Forum, Volume 12, 2015-16 pp 175-178. [PDF]
"Discussion of 'The Indian Household Finance Landscape' " India Policy Forum, Volume 13, 2016 -17. [PDF]
"Discussion of 'Tax Breaks and Household Savings' " India Policy Forum, Volume 14, 2017 -18. [PDF]
"Nobel laureate Edward Prescott, 1940 - 2022," Rajnish Mehra, Centre for Economic Policy Research, February 2023. [Article]
“Pigouvian Cycles and Economic Welfare” (with J.B. Donaldson and Hyung Seok E. Kim), revised May 2024.
“Wealth Inequality, Labor Market Arrangements and the Safe Asset Shortage” (with J.B. Donaldson and Hyung Seok E. Kim), revised Aug 2024.