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The equity premium is the difference between the average returns on stocks and bonds. The equity premium puzzle is the fact that standard models are unable to match the empirically observed difference between the average returns on stocks and bonds. We examine the extent to which variation in investment fees, in the presence of imperfect information about these fees, can explain the equity premium puzzle. Uncertainty over investment fees introduces additional subjective 'meta-uncertainty' over the returns to investment in stock which decreases the demand for stock while increasing the demand for bonds, and thus increases the implied equity premium.
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