This is the equity premium puzzle. (See that article for references.)
My thoughts are that individual investors are rational to be risk-averse and demand a premium for bearing a type of market risk that cannot be diversified away. This risk is actually worse and more insidious than it appears, because "personal" circumstances tend to correlate in undesirable ways with the market: when times are booming and people have steady incomes and money to invest, it's likely to go into the market at a high, and not much premium is demanded; conversely, when times are a little tougher, with wages and income tight and stagnating, and costs of education, healthcare, gas etc. skyrocketing, people are likely to forgo even a substantial equity premium in favor of a conservative rainy day fund, simply because they feel that money subject to market risk is not likely to be there when they are likely to need it the most, (in the event things get even worse.) In other words, rational investors may be concerned that market crashes correlate with mass layoffs, or other possible losses to their own businesses or livelihoods.
It is puzzling to me that even long-term bonds are to all appearances at negative real yields, when these are more market-determined than affected by central bank policies anyways. It either reflects profoundly low long-term expectations for economic growth, or extreme long-term risk aversion, and the two are almost impossible to tell apart. In fact, substantial losses will be incurred by bondholders if interest rates revert to the mean or rise even moderately, but investors in the long bond must be willing to pay this price for some protection in the event of a Japan-like secular bear market with perpetual ZIRP, and if the bonds do lose value in the medium term, (and they most likely will,) that will most likely be because the economy will have recovered, and with it the stock market, and many other opportunities to recoup those losses.
Despite the Orwellian proclamations of the "new normal" by the elite economic punditry, and even though health care and education are outrageously out of reach of the "middle class" and are still subjected to double-digit cost increases every year, no, they have not always been so exorbitantly expensive, and in fact there was a time when a young man could work his way through college by a summer job, and even see the doctor once in a while, and not even that long ago, there was even a time when you could teach children thrift by the virtues of compound interest without being scoffed at. And even though they say we've always been at war with Eastasia, I believe that tomorrow will bring an even newer normal, and the economy will in time heal. I have to conclude that there is at present a substantial equity risk premium.