Conference Paper
The declining equity premium: what role does macroeconomic risk play?
Lettau, Martin; Wachter, Jessica A.; Ludvigson, Sydney (2005)
Proceedings

Working Paper
What is the chance that the equity premium varies over time? evidence from predictive regressions
Warusawitharana, Missaka; Wachter, Jessica A. (2009)
We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. Departing from previous studies, we allow the regressor to be stochastic. When we apply our methods to the dividend-price ratio and payout yield, we find that even investors who are quite skeptical about the existence of predictability sharply modify their views in favor of predictability when confronted by the historical time series of returns and predictor variables. We find that taking into account the ...
Finance and Economics Discussion Series , Paper 2009-26