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Asset Pricing Implications of Real Market Frictions

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Author Info

  • Danthine, J.P.
  • Donaldson, J.B.

Abstract

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Bibliographic Info

Paper provided by Columbia - Graduate School of Business in its series Papers with number 95-04.

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Length: 52 pages
Date of creation: 1994
Date of revision:
Handle: RePEc:fth:colubu:95-04

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Postal: U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A
Phone: (212) 854-5553
Web page: http://www.columbia.edu/cu/business/
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Keywords: FINANCIAL MARKET; PRICING;

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Cited by:
  1. Canova, Fabio & De Nicolo', Gianni, 1995. "Stock returns and real activity: A structural approach," European Economic Review, Elsevier, Elsevier, vol. 39(5), pages 981-1015, May.
  2. Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001. "Habit Persistence, Asset Returns, and the Business Cycle," American Economic Review, American Economic Association, American Economic Association, vol. 91(1), pages 149-166, March.
  3. Basak, Suleyman, 1999. "On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 23(7), pages 1029-1064, June.
  4. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset Pricing Lessons for Modeling Business Cycles," NBER Working Papers 5262, National Bureau of Economic Research, Inc.
  5. Andreas Hornstein & Harald Uhlig, 1999. "What is the real story for interest rate volatility?," Working Paper, Federal Reserve Bank of Richmond 99-09, Federal Reserve Bank of Richmond.
  6. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, Elsevier, vol. 41(2), pages 257-275, April.
  7. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "Solving General Equilibrium Models with Incomplete Markets and Many Assets," Working Papers, Georgetown University, Department of Economics gueconwpa~05-05-18, Georgetown University, Department of Economics.
  8. Bottazzi, Laura & Pesenti, Paolo & van Wincoop, Eric, 1996. "Wages, profits and the international portfolio puzzle," European Economic Review, Elsevier, Elsevier, vol. 40(2), pages 219-254, February.
  9. Viktoria Hnatkovska & Martin Evans, 2005. "International Capital Flows in a World of Greater Financial Integration," Computing in Economics and Finance 2005, Society for Computational Economics 419, Society for Computational Economics.
  10. Tom Krebs, 2002. "Asset Returns in an Endogenous Growth Model with Incomplete Markets," Working Papers 2002-18, Brown University, Department of Economics.
  11. Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, Elsevier, vol. 92(1), pages 14-33.

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