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Rational Asset Prices
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As found by EconAcademics.org, the blog aggregator for Economics research:- What's bad about recession?
by chris dillow in Stumbling and Mumbling on 2008-01-23 17:55:33
Citations
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Cited by:
- Turnovsky, Stephen J. & Bianconi, Marcelo, 2005.
"Welfare Gains From Stabilization In A Stochastically Growing Economy With Idiosyncratic Shocks And Flexible Labor Supply,"
Macroeconomic Dynamics, Cambridge University Press, vol. 9(3), pages 321-357, June.
- Stephen Turnovsky & Marcelo Bianconi, "undated". "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Working Papers UWEC-2004-08-P, University of Washington, Department of Economics.
- Marcelo Bianconi, 2004. "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Discussion Papers Series, Department of Economics, Tufts University 0413, Department of Economics, Tufts University.
- Marcelo Bianconi & Stephen J. Turnovsky, 2003. "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Computing in Economics and Finance 2003 277, Society for Computational Economics.
- Fielding, David & Stracca, Livio, 2007.
"Myopic loss aversion, disappointment aversion, and the equity premium puzzle,"
Journal of Economic Behavior & Organization, Elsevier, vol. 64(2), pages 250-268, October.
- Stracca, Livio & Fielding, David, 2003. "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Working Paper Series 203, European Central Bank.
- Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
- Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014.
"International capital flows, returns and world financial integration,"
Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
- Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc.
- Martin D D Evans & Viktoria Hnatkovska, 2006. "International Capital Flows Returns and World Financial Integration," 2006 Meeting Papers 60, Society for Economic Dynamics.
- Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "International Capital Flows, Returns and World Financial Integration," Working Papers gueconwpa~05-05-17, Georgetown University, Department of Economics.
- Krebs, Tom, 2005. "Fundamentals, information, and international capital flows: A welfare analysis," European Economic Review, Elsevier, vol. 49(3), pages 579-598, April.
- Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
- Kevin X.D. Huang & Zheng Liu & John Qi Zhu, 2015.
"Temptation and Self‐Control: Some Evidence and Applications,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(4), pages 581-615, June.
- Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006. "Temptation and self-control: some evidence and applications," Staff Report 367, Federal Reserve Bank of Minneapolis.
- Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2013. "Temptation and Self-Control: Some Evidence and Applications," Working Paper Series 2013-23, Federal Reserve Bank of San Francisco.
- 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.
- Martínez, Miguel Ángel & Nieto, Belén & Rubio, Gonzalo & Tapia, Mikel, 2002.
"Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market,"
DEE - Working Papers. Business Economics. WB
wb026022, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Rubio Irigoyen, Gonzalo & Martínez Sedano, Miguel Ángel & Nieto, Belén, 2002. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
- George M. Constantinides & Anisha Ghosh, 2011.
"Asset Pricing Tests with Long-run Risks in Consumption Growth,"
The Review of Asset Pricing Studies, Oxford University Press, vol. 1(1), pages 96-136.
- Constantinides, George M. & Ghosh, Anisha, 2008. "Asset pricing tests with long run risks in consumption growth," LSE Research Online Documents on Economics 24428, London School of Economics and Political Science, LSE Library.
- Anisha Ghosh & George Constantinides, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," FMG Discussion Papers dp609, Financial Markets Group.
- George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
- Malliaris, A.G. & Malliaris, Mary E., 2008. "Investment principles for individual retirement accounts," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 393-404, March.
- Sean Campbell & Canlin Li, 2003. "Per Capita Consumption, Luxury Consumption and the Presidential Puzzle: A Partial Resolution," Working Papers 2003-18, Brown University, Department of Economics.
- Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Qiang Zhang, 2004. "Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing," CIRJE F-Series CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo.
- Avdis, Efstathios & Wachter, Jessica A., 2017. "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, Elsevier, vol. 125(3), pages 589-609.
- Morris A. Davis & Robert F. Martin, 2005. "Housing, house prices, and the equity premium puzzle," Finance and Economics Discussion Series 2005-13, Board of Governors of the Federal Reserve System (U.S.).
- Martinez, Miguel A. & Nieto, Belen & Rubio, Gonzalo & Tapia, Mikel, 2005. "Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 81-103.
- Mehra, Rajnish & Prescott, Edward C., 2003.
"The equity premium in retrospect,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938,
Elsevier.
- Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
- Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
- Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
- Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2006. "International risk sharing is better than you think, or exchange rates are too smooth," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 671-698, May.
- 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.
- Kris Jacobs & Michel A. Robe & Stéphane Pallage, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO.
- Kris Jacobs & Stephane Pallage & Michel A. Robe, 2005. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," Computing in Economics and Finance 2005 47, Society for Computational Economics.
- Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(3), pages 461-503, March.
- Gurdip Bakshi & Dilip Madan, 2006. "A Theory of Volatility Spreads," Management Science, INFORMS, vol. 52(12), pages 1945-1956, December.
- Krebs, Tom, 2004. "Testable implications of consumption-based asset pricing models with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 191-206, February.
- Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
- Krebs, Tom & Wilson, Bonnie, 2004.
"Asset returns in an endogenous growth model with incomplete markets,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 28(4), pages 817-839, January.
- Tom Krebs, 2002. "Asset Returns in an Endogenous Growth Model with Incomplete Markets," Working Papers 2002-18, Brown University, Department of Economics.
- George M. Constantinides, 2006.
"Market Organization And The Prices Of Financial Assets,"
Manchester School, University of Manchester, vol. 74(s1), pages 1-23, September.
- Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
- Paul Scanlon, 2008. "New Goods and Asset Prices," 2008 Meeting Papers 927, Society for Economic Dynamics.
- Hauser, Shmuel & Kedar-Levy, Haim, 2018. "Liquidity might come at cost: The role of heterogeneous preferences," Journal of Financial Markets, Elsevier, vol. 39(C), pages 1-23.
- Rajnish Mehra, 2006. "The Equity Premium in India," NBER Working Papers 12434, National Bureau of Economic Research, Inc.
- Douglas W. Blackburn & Andrey D. Ukhov, 2013. "Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond," Management Science, INFORMS, vol. 59(2), pages 470-484, August.
- Stracca, Livio, 2004. "Behavioral finance and asset prices: Where do we stand?," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 373-405, June.
- Li, Yuming & Zhong, Maosen, 2005. "Consumption habit and international stock returns," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 579-601, March.
- Shamsuddin, Abul F. M. & Hillier, John R., 2004. "Fundamental determinants of the Australian price-earnings multiple," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 565-576, November.