%0 Unpublished work %T The Equity Premium Puzzle and the Riskfree Rate Puzzle %+ Observatoire français des conjonctures économiques (Sciences Po) (OFCE) %A Weil, Philippe %8 1989-01 %D 1989 %Z Humanities and Social Sciences/Economics and FinancePreprints, Working Papers, ... %X This paper studies the implications for general equilibrium asset pricing of a recently introduced class of Kreps-Porteus non-expected utility preferences, which is characterized by a constant intertemporal elasticity of substitution and a constant, but unrelated, coefficient of relative risk aversion. It is shown that the solution to the "equity premium puzzle" documented by Mehra and Prescott [1985] cannot be found, for plausibly calibrated parameter values, by simply separating risk aversion from intertemporal substitution. Rather, relaxing the parametric restriction on tastes implicit in the time-addictive expected utility specification and adopting Kreps-Porteus preferences in the direction of "more realism" is likely to add a "riskfree rate puzzle" to Mehra's and Prescott's "equity premium puzzle." %G English %L hal-03399133 %U https://sciencespo.hal.science/hal-03399133 %~ SHS %~ SCIENCESPO %~ AO-ECONOMIE %~ OFCE %~ SCPO-REPEC