Here is a thought-provoking piece: "The Great Stock Myth" by Megan Mcardle of The Atlantic.
http://www.theatlantic.com/magazine/print/2010/09/the-great-stock-myth/8178/
A section of the article deals with the "equity premium puzzle". As noted by Megan Mcardle, "[s]ince the late 19th century, stock investments in America had generated returns that were 6 percent higher than what economists call “the risk-free rate"—the yield on an investment for which there is virtually no risk of losing your principal. The low-risk investments, such as short-term U.S. government debt, had yielded less than 1 percent.Those “excess” stock-market returns, which include both price appreciation and dividends, are much higher than you would expect if they simply reflected the risk of losing your investment"
However, as many of us have come to realize, the return on equities during the past decade has been woeful. This has led some to wonder whether equity premium may be shrinking or even disappearing.
Meanwhile, Bill Gross and Mohamed El-Erian of Pimco apparently prefer stocks over bonds:
http://www.bloomberg.com/news/print/2010-06-24/gross-vows-this-time-different-with-el-erian-leading-push-in-global-stocks.html
Are financial markets different from goods markets?
http://www.economist.com/node/16792858?story_id=16792858&CFID=145057713&CFTOKEN=71578004