Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/197423 
Authors: 
Year of Publication: 
2016
Citation: 
[Journal:] e-Finanse: Financial Internet Quarterly [ISSN:] 1734-039X [Volume:] 12 [Issue:] 1 [Publisher:] University of Information Technology and Management [Place:] Rzeszów [Year:] 2016 [Pages:] 1-11
Publisher: 
University of Information Technology and Management, Rzeszów
Abstract: 
The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the difference between the return on equities and risk-free rate) observed in financial markets cannot be reconciled with theoretical models of financial markets - it is too high ('excessive'). We present the original model from the seminal work of Mehra and Prescott (1985), where this problem has been signaled. The article gives an overview of the main trends in the literature concerning this problem, of the proposed solutions and of the extension to the model. Finally, we consider the problem in the Polish context, estimating the original Mehra-Prescott model using data from the Polish financial market.
Subjects: 
risk premium
Mehra-Prescott model
risk averse
financial markets
general equilibrium
JEL: 
B26
D53
G10
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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