A test of the intertemporal asset pricing model

"Restrictions that general equilibrium theory place upon average returns are found to be strongly violated by the U.S. data in the 1889-1978 period. This result is robust to model specification and measurement problems. We conclude that equilibrium models which are not Arrow-Debreu economies are needed to rationalize the large average equity premium that prevailed during the last 90 years"--Federal Reserve Bank of Minneapolis web site.