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Citations for "The equity premium: it's still a puzzle"

by Narayana R. Kocherlakota

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  1. Falato, Antonio, 2009. "Happiness maintenance and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1247-1262, June.
  2. Rui Castro & Daniele Coen-Pirani, 2008. "WHY HAVE AGGREGATE SKILLED HOURS BECOME SO CYCLICAL SINCE THE MID-1980s?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 49(1), pages 135-185, 02.
  3. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  4. Lloyd-Ellis, Huw & Zhu, Xiaodong, 2001. "Fiscal shocks and fiscal risk management," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 309-338, October.
  5. Castaneda, Ana & Diaz-Gimenez, Javier & Rios-Rull, Jose-Victor, 1998. "Exploring the income distribution business cycle dynamics," Journal of Monetary Economics, Elsevier, vol. 42(1), pages 93-130, June.
  6. Richard W. Evans & Laurence J. Kotlikoff & Kerk L. Phillips, 2012. "Game Over: Simulating Unsustainable Fiscal Policy," NBER Chapters, in: Fiscal Policy after the Financial Crisis, pages 177-202 National Bureau of Economic Research, Inc.
  7. Stephen G. Cecchetti & Pok-Sang Lam & Nelson Mark, 1998. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 98-04, Ohio State University, Department of Economics.
  8. Córdoba, Juan Carlos & Verdier, Geneviève, 2008. "Inequality and growth: Some welfare calculations," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1812-1829, June.
  9. M. J. Roche, 2005. "The equity premium puzzle and decreasing relative risk aversion," Economics, Finance and Accounting Department Working Paper Series n1510205, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  10. Zheng Liu & Jianjun Miao & Tao Zha, 2013. "Land prices and unemployment," Working Paper Series 2013-22, Federal Reserve Bank of San Francisco.
  11. Brian J. Hall & Jeffrey B. Liebman, 1998. "Are CEOs Really Paid Like Bureaucrats?," The Quarterly Journal of Economics, MIT Press, vol. 113(3), pages 653-691, August.
  12. van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos), 2012. "A meta-analysis of the equity premium," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 819-830.
  13. Bini Smaghi, Lorenzo, 2007. "Global imbalances and monetary policy," Journal of Policy Modeling, Elsevier, vol. 29(5), pages 711-727.
  14. Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO.
  15. Lence, Sergio H., 2008. "Do Futures Benefit Farmers?," Staff General Research Papers 12919, Iowa State University, Department of Economics.
  16. George M. Constantinides & Anisha Ghosh, 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.
  17. Kris Jacobs & Stephane Pallage & Michel A. Robe, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO.
  18. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 249-283, April.
  19. Gomez-Limon, Jose A. & Arriaza, Manuel & Riesgo, Laura, 2003. "An MCDM analysis of agricultural risk aversion," European Journal of Operational Research, Elsevier, vol. 151(3), pages 569-585, December.
  20. Meyer, Jack, 2007. "Representing Risk Preferences in Expected Utility Based Decision Models," SCC-76 Meeting, March 15-17, 2007, Gulf Shores, Alabama 9380, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources.
  21. Athanasoulis, Stefano G., 2005. "Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 423-447, March.
  22. S. Rao Aiyagari & Stephen D. Williamson, 1998. "Money, Credit, and Allocation Under Complete Dynamic Contracts and Incomplete Markets," Game Theory and Information 9802003, EconWPA.
  23. Narayana Kocherlakota & Luigi Pistaferri, 2009. "Asset Pricing Implications of Pareto Optimality with Private Information," Journal of Political Economy, University of Chicago Press, vol. 117(3), pages 555-590, 06.
  24. Amartya Lahiri & Mikko Puhakka, 1996. "Habit Persistence in Overlapping Generations Economies Under Pure Exchange," UCLA Economics Working Papers 754, UCLA Department of Economics.
  25. Charles Ka-yui Leung & Dandan Feng, 2004. "Testing Alternative Theories of Property Price-Trading Volume with Commercial Real Estate Market Data," Departmental Working Papers _159, Chinese University of Hong Kong, Department of Economics.
  26. Startz, Richard & Tsang, Kwok Ping, 2012. "Nonexponential Discounting: A Direct Test And Perhaps A New Puzzle," University of California at Santa Barbara, Economics Working Paper Series qt8pw4h6vk, Department of Economics, UC Santa Barbara.
  27. Mark Weder, 2008. "Sticky Prices and Indeterminacy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 1073-1082, 08.
  28. Ferre De Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2008. "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Working Paper Research 150, National Bank of Belgium.
  29. Hugo Benítez-Silva, 2003. "Labor Supply Flexibility and Portfolio Choice: An Empirical Analysis," Working Papers wp056, University of Michigan, Michigan Retirement Research Center.
  30. Head, Charles Keith & Mayer, Thierry & Ries, John, 2002. "Revisiting Oligopolistic Reaction: Are FDI Decisions Strategic Complements?," CEPR Discussion Papers 3327, C.E.P.R. Discussion Papers.
  31. Francis Longstaff & Monika Piazzesi, 2003. "Corporate Earnings and the Equity Premium," NBER Working Papers 10054, National Bureau of Economic Research, Inc.
  32. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3qn115m4, Anderson Graduate School of Management, UCLA.
  33. Jean-Pierre Danthine & John B. Donaldson & Paolo Siconolfi, 2005. "Distribution Risk and Equity Returns," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 05.10, Université de Lausanne, Faculté des HEC, DEEP.
  34. Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
  35. Miquel Faig, 1997. "INVESTMENT IRREVERSIBILITY IN GENERAL EQUILIBRIUM: Capital Accumulation, Interest Rates, and the Risk Premium," Working Papers faig-97-01, University of Toronto, Department of Economics.
  36. Cifarelli, Giulio & Paladino, Giovanna, 2005. "Volatility linkages across three major equity markets: A financial arbitrage approach," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 413-439, April.
  37. Yili Chien & Junsang Lee, 2009. "Why Tax Capital?," CAMA Working Papers 2009-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  38. Misina, Miroslav, 2006. "Equity premium with distorted beliefs: A puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1431-1440, August.
  39. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
  40. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.
  41. Christensen, Bent Jesper & Raahauge, Peter, 2004. "Latent Utility Shocks in a Structural Empirical Asset Pricing Model," Working Papers 2004-7, Copenhagen Business School, Department of Finance.
  42. Odegaard, Bernt Arne, 2014. "Empirics of the Oslo Stock Exchange. Basic, descriptive, results 1980-2013," UiS Working Papers in Economics and Finance 2014/1, University of Stavanger.
  43. Antonio Falato, 2003. "Happiness Maintenance and Asset Prices," Finance 0310003, EconWPA.
  44. Campbell, John Y., 2003. "Consumption-based asset pricing," 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 13, pages 803-887 Elsevier.
  45. Alma Cohen & Liran Einav, 2005. "Estimating Risk Preferences from Deductible Choice," Discussion Papers 04-031, Stanford Institute for Economic Policy Research.
  46. Thomas Dohmen & Armin Falk & David Huffman & Uwe Sunde & Jurgen Schupp & Gert Wagner, 2005. "Individual risk attitudes: New evidence from a large, representative, experimentally-validated survey," Framed Field Experiments 00140, The Field Experiments Website.
  47. David Laibson & Andrea Repetto & Jeremy Tobacman, 2005. "Estimating Discount Functions with Consumption Choices over the Lifecycle," Levine's Bibliography 784828000000000643, UCLA Department of Economics.
  48. Martin Browning & Thomas F. Crossley, 2001. "The lifecycle model of consumption and saving," IFS Working Papers W01/15, Institute for Fiscal Studies.
  49. Kenneth J. Arrow, . "Intergenerational Equity and the Rate of Discount in Long-Term Social Investment," Working Papers 97005, Stanford University, Department of Economics.
  50. Kevin X.D. Huang, 2005. "Specific factors meet intermediate inputs : implications for strategic complementarities and persistence," Research Working Paper RWP 04-06, Federal Reserve Bank of Kansas City.
  51. GOLLIER Christian, 2008. "Discounting with fat-tailed economic growth," LERNA Working Papers 08.19.263, LERNA, University of Toulouse.
  52. Raphael Bergoeing & Felipe Morandé & Raimundo Soto, 2002. "Asset Prices in Chile: Facts and Fads," Central Banking, Analysis, and Economic Policies Book Series, in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (S (ed.), Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 8, pages 235-278 Central Bank of Chile.
  53. Hall, Brian J. & Murphy, Kevin J., 2002. "Stock options for undiversified executives," Journal of Accounting and Economics, Elsevier, vol. 33(1), pages 3-42, February.
  54. Coleman Bazelon & Kent Smetters, 1999. "Discounting Inside the Washington D.C. Beltway," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 213-228, Fall.
  55. H. Youn Kim & Keith R. McLaren & K.K. Gary Wong, 2014. "Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis," Monash Econometrics and Business Statistics Working Papers 4/14, Monash University, Department of Econometrics and Business Statistics.
  56. Brekke, Kjell Arne & Johansson-Stenman, Olof, 2008. "The Behavioural Economics of Climate Change," Working Papers in Economics 305, University of Gothenburg, Department of Economics.
  57. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns (Subsequently published in "Eastern Economic Journal", 2007, 33,(2), pp. 231-255. )," CARF F-Series CARF-F-056, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  58. Kazuo Nishimura & Carine Nourry & Thomas Seegmuller & Alain Venditti, 2013. "Destabilizing Balanced-Budget Consumption Taxes in Multi-Sector Economies," AMSE Working Papers 1312, Aix-Marseille School of Economics, Marseille, France, revised Sep 2012.
  59. Salyer, Kevin D., 1998. "Crash states and the equity premium: Solving one puzzle raises another," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 955-965, June.
  60. Kfir Eliaz & Debraj Ray & Ronny Razin, 2006. "Choice Shifts in Groups: A Decision-Theoretic Basis," American Economic Review, American Economic Association, vol. 96(4), pages 1321-1332, September.
  61. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
  62. Christian Baker & Jeremy Bejarano & Richard W. Evans & Kenneth L. Judd & Kerk L. Phillips, 2014. "A Big Data Approach to Optimal Sales Taxation," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-03, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  63. Christian Belzil & Jörgen Hansen, 2002. "Unobserved Ability and the Return to Schooling," CIRANO Working Papers 2002s-19, CIRANO.
  64. Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
  65. Jouini, Elyès & Napp, Clotilde, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Economics Papers from University Paris Dauphine 123456789/78, Paris Dauphine University.
  66. Martin Feldstein & Elena Ranguelova & Andrew Samwick, 2001. "The Transition to Investment-Based Social Security When Portfolio Returns and Capital Profitability Are Uncertain," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 41-90 National Bureau of Economic Research, Inc.
  67. Kent Smetters, 2001. "The Effect of Pay-When-Needed Benefit Guarantees on the Impact of Social Security Privatization," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 91-112 National Bureau of Economic Research, Inc.
  68. John H. Cochrane, 1998. "Where is the Market Going? Uncertain Facts and Novel Theories," NBER Working Papers 6207, National Bureau of Economic Research, Inc.
  69. Douch, Mohamed, 2004. "Equity Premiums In Small Open Economy," MPRA Paper 14613, University Library of Munich, Germany.
  70. Pérez Kakabadse, Alonso & Palacios Huerta, Ignacio, 2013. "Consumption and portfolio rules whit stochastic hyperbolic discounting," IKERLANAK Ikerlanak;2013-72, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
  71. George Constantinides & John Donaldson & Rajnish Mehra, 2007. "Junior is rich: bequests as consumption," Economic Theory, Springer, vol. 32(1), pages 125-155, July.
  72. 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.
  73. Atsushi Kajii & Chiaki Hara, 2003. "On the Range of the Risk-Free Interest Rate in Incomplete Markets," Levine's Bibliography 666156000000000383, UCLA Department of Economics.
  74. Dirk Krueger & Hanno Lustig, 2006. "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?," NBER Working Papers 12634, National Bureau of Economic Research, Inc.
  75. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
  76. Aase, Knut K., 2014. "Recursive utility with dependence on past consumption; the continuous-time model," Discussion Papers 2014/3, Department of Business and Management Science, Norwegian School of Economics.
  77. Charles Ka Yui Leung & Nan-Kuang Chen, 2006. "Intrinsic Cycles of Land Price: A Simple Model," Journal of Real Estate Research, American Real Estate Society, vol. 28(3), pages 293-320.
  78. Alain Abou & Georges Prat, 1986. "Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level," Post-Print halshs-00172883, HAL.
  79. Gollier, Christian, 2010. "Ecological discounting," Journal of Economic Theory, Elsevier, vol. 145(2), pages 812-829, March.
  80. Gerald T. Garvey & Todd T. Milbourn, 2001. "Market-Indexed Executive Compensation: Strictly for the Young," Claremont Colleges Working Papers 2001-19, Claremont Colleges.
  81. Olesen, Jan Overgaard & Risager, Ole, 2000. "On The Predictability Of The Danish Equity Premium," Working Papers 05-2001, Copenhagen Business School, Department of Economics.
  82. Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics.
  83. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  84. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g8o1o6tag is not listed on IDEAS
  85. Otrok, C. & Ravikumar, B. & Whiteman, C., 1998. "Habit Formation: A Resolution of the Equity Premium Puzzle?," Working Papers 98-04, University of Iowa, Department of Economics.
  86. Louis Kaplow, 2005. "The Value of a Statistical Life and the Coefficient of Relative Risk Aversion," Journal of Risk and Uncertainty, Springer, vol. 31(1), pages 23-34, July.
  87. repec:att:wimass:9725 is not listed on IDEAS
  88. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  89. Liu, Ludan, 2008. "It takes a model to beat a model: Volatility bounds," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 80-110, January.
  90. Pascal St-Amour, 2005. "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series rp136, International Center for Financial Asset Management and Engineering.
  91. Edward Schlee & Christian Gollier, . "Information and the Equity Premium," Working Papers 2133505, Department of Economics, W. P. Carey School of Business, Arizona State University.
  92. Tom Krebs, 2002. "Asset Returns in an Endogenous Growth Model with Incomplete Markets," Working Papers 2002-18, Brown University, Department of Economics.
  93. Arrow, Kenneth J. & Cropper, Maureen L. & Gollier, Christian & Groom, Ben & Heal, Geoffrey M. & Newell, Richard G. & Nordhaus, William D. & Pindyck, Robert S. & Pizer, William A. & Portney, Paul R. & , 2012. "How Should Benefits and Costs Be Discounted in an Intergenerational Context? The Views of an Expert Panel," Discussion Papers dp-12-53, Resources For the Future.
  94. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.
  95. Orazio Attanasio & James Banks & Sarah Tanner, 1998. "Asset Holding and Consumption Volatility," NBER Working Papers 6567, National Bureau of Economic Research, Inc.
  96. 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.
  97. Albuquerque, Rui & Eichenbaum, Martin & Rebelo, Sérgio, 2012. "Valuation Risk and Asset Pricing," CEPR Discussion Papers 9262, C.E.P.R. Discussion Papers.
  98. Hanno Lustig, . "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics.
  99. Kramer, Charles, 1999. "Noise trading, transaction costs, and the relationship of stock returns and trading volume," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 343-362, November.
  100. Robert E. Lucas Jr., 2003. "Macroeconomic Priorities," American Economic Review, American Economic Association, vol. 93(1), pages 1-14, March.
  101. Grant, Simon & Quiggin, John, 2003. "Noise Trader and the Welfare Effects of Privatization," Working Papers 2003-03, Rice University, Department of Economics.
  102. Grant, S. & Quiggin, J., 2001. "The Risk Premium for Equity: Explanations and Implications," Discussion Paper 2001-89, Tilburg University, Center for Economic Research.
  103. Perrakis, Stylianos & Boloorforoosh, Ali, 2013. "Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3157-3168.
  104. Marquering, Wessel & Verbeek, Marno, 1999. "An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 243-265, September.
  105. Aase, Knut K., 2014. "Heterogeniety and limited stock market Participation," Discussion Papers 2014/5, Department of Business and Management Science, Norwegian School of Economics.
  106. Frey, Bruno S. & Gallus, Jana, 2013. "Aggregate effects of behavioral anomalies: A new research area," Economics Discussion Papers 2013-51, Kiel Institute for the World Economy.
  107. Belzil, Christian & Leonardi, Marco, 2006. "Can Risk Aversion Explain Schooling Attainments? Evidence from Italy," IZA Discussion Papers 2123, Institute for the Study of Labor (IZA).
  108. Christian Gollier, 2005. "The Consumption-Based Determinants of the Term Structure of Discount Rates," CESifo Working Paper Series 1375, CESifo Group Munich.
  109. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  110. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  111. Anne Epaulard & Aude Pommeret, 2003. "Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(3), pages 672-684, July.
  112. Paul Ehling, 2004. "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings 311, Econometric Society.
  113. Eva Carceles-Poveda & Chryssi Giannitsarou, 2008. "Asset Pricing with Adaptive Learning," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 629-651, July.
  114. Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118.
  115. Kevin A. Hassett & Gilbert E. Metcalf, 1997. "Measuring the Energy Savings from Home Improvements Investments: Evidence from Monthly Billing Data," Discussion Papers Series, Department of Economics, Tufts University 9701, Department of Economics, Tufts University.
  116. Ebrahim, M. Shahid & Mathur, Ike, 2007. "Pricing home mortgages and bank collateral: A rational expectations approach," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1217-1244, April.
  117. Santiago Budria & Antonia Diaz, 2006. "Term Premium And Equity Premium In Economies With Habit Formation," Economics Working Papers we065522, Universidad Carlos III, Departamento de Economía.
  118. Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
  119. Miguel Ampudia Fraile, 2013. "Stockholding in Spain," SERIEs, Spanish Economic Association, vol. 4(4), pages 415-435, November.
  120. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
  121. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  122. King, Robert G. & Rebelo, Sergio T., 1999. "Resuscitating real business cycles," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 14, pages 927-1007 Elsevier.
  123. Ellen R. McGrattan & Edward C. Prescott, 2000. "Is the stock market overvalued?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 20-40.
  124. David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
  125. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  126. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns," CIRJE F-Series CIRJE-F-396, CIRJE, Faculty of Economics, University of Tokyo.
  127. M. C. Freeman & I. R. Davidson, 1999. "Estimating the equity premium," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 236-246.
  128. Ludwig, Alexander & Zimper, Alexander, 2014. "Biased Bayesian learning with an application to the risk-free rate puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 79-97.
  129. Liu, Liqun, 2012. "Inferring the rate of pure time preference under uncertainty," Ecological Economics, Elsevier, vol. 74(C), pages 27-33.
  130. James Bullard & Steve Russell, 1998. "Monetary steady states in a low real interest rate economy," Working Papers 1994-012, Federal Reserve Bank of St. Louis.
  131. 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.
  132. James F. Moore, 1999. "Tail Estimation and Catastrophe Security Pricing: Can We Tell What Target We Hit if We Are Shooting in the Dark?," Center for Financial Institutions Working Papers 99-14, Wharton School Center for Financial Institutions, University of Pennsylvania.
  133. Hartley, Roger & Lanot, Gauthier & Walker, Ian, 2005. "Who Really Wants to be a Millionaire : Estimates of Risk Aversion from Game Show Data," The Warwick Economics Research Paper Series (TWERPS) 719, University of Warwick, Department of Economics.
  134. George Chacko & Luis M. Viceira, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," NBER Working Papers 7377, National Bureau of Economic Research, Inc.
  135. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
  136. Louis Kaplow, 2003. "Concavity of Utility, Concavity of Welfare, and Redistribution of Income," NBER Working Papers 10005, National Bureau of Economic Research, Inc.
  137. Chiaki Hara, 2013. "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs," KIER Working Papers 862, Kyoto University, Institute of Economic Research.
  138. Grande, Giuseppe & Ventura, Luigi, 2002. "Labor income and risky assets under market incompleteness: Evidence from Italian data," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 597-620, March.
  139. Dreze, Jacques H, 2000. " Economic and Social Security in the Twenty-First Century, with Attention to Europe," Scandinavian Journal of Economics, Wiley Blackwell, vol. 102(3), pages 327-48, June.
  140. Cysne, Rubens Penha, 2005. "Equity-Premium Puzzle: Evidence From Brazilian Data," Economics Working Papers (Ensaios Economicos da EPGE) 586, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  141. Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina., 2000. "The declining U.S. equity premium," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-19.
  142. Ville, Simon, 2006. "The Equity Premium Puzzle: Australia and the United States in Comparative Perspective," Economics Working Papers wp06-25, School of Economics, University of Wollongong, NSW, Australia.
  143. Nicolas Abad & Thomas Seegmuller & Alain Venditti, 2012. "Aggregate Instability under Labor Income Taxation and Balanced-Budget Rules: Preferences Matter," AMSE Working Papers 1217, Aix-Marseille School of Economics, Marseille, France, revised Apr 2012.
  144. 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.
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