We construct a panel data model to explain the cross-section of individual stock returns, using monthly data for 1,880 large US firms for 1985-2005. Model specification is geared towards multiple explanatory variables, poolability across industries, alternative forecast horizons, and the effects...

None of the attempts to solve the equity premium puzzle has proved to be completely successful. In this paper I argue that implementing the income in the utility function can considerably contribute to the explanation of the equity premium puzzle. Empirical evidence supports this idea. Further...