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| Author: | Hlawitschka, W. Tucker, M. |
| Title: | Asset allocation and the equity premium puzzle |
| Journal: | Journal of Business Finance and Accounting
1995 : APR, VOL. 22:3, p. 397-414 |
| Index terms: | FINANCE ACCOUNTING ASSETS |
| Language: | eng |
| Abstract: | While some recent papers have found that there is a large probability that stocks will underperform bonds over periods of twenty or thirty years, others have found that stocks earn a higher risk-adjusted rate of return than can be explained by the consumption-based capital asset pricing model. In this paper the authors use historical data to compute mean-variance efficient portfolios for the years 1946 to 1991 for investors facing an investment universe of stocks and bonds. |
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