Unexplained economic puzzles? Science is full of apparent puzzles and paradoxes, some of which still remain unexplained. Economics is not an exception. 

It would be interesting to get a list of  unresolved puzzles in Economics. By unresolved I mean there is a considerable divergence of opinions and evidence on what explains the puzzle, or perhaps not sufficient evidence to provide a clear explanation to the puzzle.

As always with these type of question, one puzzle/paradox per answer would be ideal. When doing so, please back up your answer with references that certify that the issue is currently a puzzle/paradox among academics and researchers. Resolved puzzles are off-topic (another thread for that might be appropriate).
An important field in current research is the yet unexplained

Equity premium puzzle

originally published by Mehra, Prescott (1985). Considere a multiperiod investment consumption equilibrium model (CCAPM) with its important result:
$$E_t\left[m_{t,j}\right]=\frac1{\left(1+R_{F,t+j}\right)}$$
where $E_t\left[m_{t,j}\right]$ donates the expected value of a stochastic discount factor (sometimes also referred to as a pricing kernel) and $R_{F,t+j}$ a riskless rate of return.

The model states, that the maximized Sharpe-Ratio $SR_{max}$ can be represented as the ratio of the standard deviation of the optimal stochastic discount factor $\sigma_{m^*}$ to its mean:

$$SR_{max}=\frac{\sigma_{m^*}}{\overline m}$$ 

Linking this result with common time separable power utility function shows, that the above equation is approximately the risk-aversion coefficient times the standard deviation of the logarithm of consumption.

The problem

The average risk premium of the market measured in units of risk is far too high to be explained by any consumption-based representation of the stochastic discount factor. As Cochrane(2001) notes, the Sharpe ratio measured in real terms has been about 0.5 on the basis of the past fifty years (in the US). This implies, that investors are very risk averse, with a coefficient of risk aversion at least 50.

What does that number mean? Suppose an individual faced with a 50-50 gamble of doubling or halving his savings. With a level of risk aversion of 50, he would pay 49% of his savings to avoid the loss of 50%. This individual would forgo a 50% chance of doubling his money and accept a certain loss of 49$ to avoid losing an additional 1% more.