Macro-finance models featuring an infinitely-lived, representative agent typically imply that (a) the equity premium reflects compensation for aggregate risk and (b) the long-run, risk-adjusted growth rate of consumption is smaller than the risk-free rate (``transversality condition''). The international historical experience with growth-indexed bonds suggests that these bonds, which isolate the risk premium of aggregate fluctuations, command only a moderate risk premium. Equity investments that that are hedged against aggregate fluctuations still command a sizable equity premium, suggesting that the equity premium is not just compensation for aggregate risk. In addition, the risk-adjusted GDP-growth rate is roughly the same (and slightly higher) than the risk-free rate, which calls into question one of the basic tenets of standard macro-finance models. The findings have potential implications for some recent puzzles pertaining to the pricing of government debt.