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Citations for "Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Result from Aggregation Problems?"

by Kris Jacobs

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  1. Hunter, John & Wu, Feng, 2014. "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, vol. 36(C), pages 557-565.
  2. Muhammet Fatih Guvenen, 2000. "Does Stockholding Provide Perfect Risk Sharing?," GSIA Working Papers 2000-E48, Carnegie Mellon University, Tepper School of Business.
  3. M. Fatih Guvenen, 2002. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," RCER Working Papers 491, University of Rochester - Center for Economic Research (RCER), revised Mar 2003.
  4. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  5. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  6. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, 08.
  7. Kevin X.D. Huang & Zheng Liu & John Q. Zhu, 2007. "Temptation and Self-Control: Some Evidence and Applications," Vanderbilt University Department of Economics Working Papers 0711, Vanderbilt University Department of Economics.
  8. Jacobs, Kris & Pallage, Stéphane & Robe, Michel A., 2013. "Market incompleteness and the equity premium puzzle: Evidence from state-level data," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 378-388.
  9. Jürgen Maurer & André Meier, 2005. "Do the "Joneses" really matter? Peer-group versus correlated effects in intertemporal consumption choice," IFS Working Papers W05/15, Institute for Fiscal Studies.
  10. Kevin X.D. Huang & Zheng Liu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," 2005 Meeting Papers 770, Society for Economic Dynamics.
  11. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
  12. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  13. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  14. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  15. Hui Guo, 2003. "Limited stock market participation and asset prices in a dynamic economy," Working Papers 2000-031, Federal Reserve Bank of St. Louis.
  16. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  17. Balduzzi, Pierluigi & Yao, Tong, 2007. "Testing heterogeneous-agent models: an alternative aggregation approach," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 369-412, March.
  18. Jacobs, Kris, 2007. "Consumption-leisure nonseparabilities in asset market participants' preferences," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2131-2138, October.
  19. Andrei Semenov, 2004. "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," Working Papers 2004_1, York University, Department of Economics.
  20. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
  21. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.