The equity-premium puzzle is not the only aspect of the behavior of financial asset prices that is difficult to reconcile with economic theory or experience in related markets. A second puzzle is the "credit-spread puzzle."
The spread between a corporate bond and a similar-maturity Treasury bond compensates an investor for the risk that the bond’s issuer will default and recoveries on the defaulted bond will be low. Credit-risk spreads vary substantially over the cycle, and right now they are on the low side of historical experience.