  Equity premium, the surplus returns of stocks over bonds, has been an
enduring puzzle. While numerous prior works approach the problem assuming the
utility of money is invariant across contexts, our approach implies that in
efficient markets the utility of money is polymorphic, with risk aversion
dependent on the information available in each context, i.e. the discount on
each future cash flow depends on all information available on that cash flow.
Specifically, we prove that in efficient markets, informed investors maximize
return on volatility by being risk-neutral with riskless bonds, and risk-averse
with equities, thereby resolving the puzzle. We validate our results on
historical data with surprising consistency.
  JEL Classification: C58, G00, G12, G17
