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Citations for "The Equity Premium Puzzle and the Riskfree Rate Puzzle"

by Philippe Weil

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  1. Russel Cooper & Kieran P. Donaghy, 2000. "Risk and Growth: Theoretical Relationships and Preliminary Estimates for South Africa," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0527, Econometric Society.
  2. Christopher Malloy & Tobias Moskowitz, 2005. "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers, Society for Economic Dynamics 123, Society for Economic Dynamics.
  3. Eric Swanson, 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers, Society for Economic Dynamics 1137, Society for Economic Dynamics.
  4. John Y. Campbell & Luis M. Viceira, 2000. "Who Should Buy Long-Term Bonds?," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1895, Harvard - Institute of Economic Research.
  5. Martin Lettau, 2001. "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports, Federal Reserve Bank of New York 130, Federal Reserve Bank of New York.
  6. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economic Institute, Prague wp507, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  7. Maurice Obstfeld, 1992. "Risk-Taking, Global Diversification, and Growth," NBER Working Papers 4093, National Bureau of Economic Research, Inc.
  8. Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée.
  9. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1997. "Habit persistence and asset returns in an exchange economy," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago WP-97-04, Federal Reserve Bank of Chicago.
  10. Quiggin, John, 2004. "Looking back on microeconomic reform: a skeptical viewpoint," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics 151502, University of Queensland, School of Economics.
  11. Li, Jinlu, 2010. "Some solutions to the equity premium and volatility puzzles," MPRA Paper 26833, University Library of Munich, Germany, revised 01 Aug 2010.
  12. Robert J. Hodrick & David Tat-Chee Ng & Paul Sengmueller, 1999. "An International Dynamic Asset Pricing Model," NBER Working Papers 7157, National Bureau of Economic Research, Inc.
  13. Fernando Restoy & Philippe Weil, 1995. "Approximate Equilibrium Asset Prices," Banco de Espa�a Working Papers, Banco de Espa�a 9515, Banco de Espa�a.
  14. Fernando Restoy & Rosa Rodríguez, 2005. "Can fundamentals explain cross-country correlations of asset returns?," Banco de Espa�a Working Papers, Banco de Espa�a 0540, Banco de Espa�a.
  15. 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, Springer, vol. 4(3), pages 305-344, July.
  16. Lloyd-Ellis, Huw & Zhu, Xiaodong, 2001. "Fiscal shocks and fiscal risk management," Journal of Monetary Economics, Elsevier, Elsevier, vol. 48(2), pages 309-338, October.
  17. Johanna Etner, 2006. "A Note on the Relation between Risk Aversion, Intertemporal Substitution and Timing of the Resolution of Uncertainty," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 251-256, November.
  18. Morris A. Davis & Stijn Van Nieuwerburgh, 2014. "Housing, Finance and the Macroeconomy," NBER Working Papers 20287, National Bureau of Economic Research, Inc.
  19. Smith, William T., 1999. "Risk, the Spirit of Capitalism and Growth: The Implications of a Preference for Capital," Journal of Macroeconomics, Elsevier, Elsevier, vol. 21(2), pages 241-262, April.
  20. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
  21. Santiago Budría, 2008. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, International Atlantic Economic Society, International Atlantic Economic Society, vol. 36(3), pages 261-274, September.
  22. Hardouvelis, Gikas A. & Kim, Dongcheol & Wizman, Thierry A., 1996. "Asset pricing models with and without consumption data: An empirical evaluation," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(3), pages 267-301, September.
  23. M. C. Freeman & I. R. Davidson, 1999. "Estimating the equity premium," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(3), pages 236-246.
  24. Pietro Veronesi, . "Belief-dependent Utilities, Aversion to State-Uncertainty and Asset Prices,”," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 529, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  25. Jianjun Miao & NENGJIU JU, 2010. "Ambiguity, Learning, And Asset Returns," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2010-031, Boston University - Department of Economics.
  26. Alpanda, Sami & Woglom, Geoffrey, 2007. "The Case Against Power Utility and a Suggested Alternative: Resurrecting Exponential Utility," MPRA Paper 5897, University Library of Munich, Germany.
  27. Gust, Christopher & López-Salido, J David, 2010. "Monetary Policy and the Cyclicality of Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7727, C.E.P.R. Discussion Papers.
  28. Jack Favilukis, 2007. "Inequality, stock market participation, and the equity premium," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24500, London School of Economics and Political Science, LSE Library.
  29. Ng, David T., 2004. "The international CAPM when expected returns are time-varying," Journal of International Money and Finance, Elsevier, Elsevier, vol. 23(2), pages 189-230, March.
  30. Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001, Society for Computational Economics 41, Society for Computational Economics.
  31. Vít Pošta, 2012. "Estimation of the Time-Varying Risk Premium in the Czech Foreign Exchange Market," Prague Economic Papers, University of Economics, Prague, University of Economics, Prague, vol. 2012(1), pages 3-17.
  32. Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," LERNA Working Papers, LERNA, University of Toulouse 12.28.385, LERNA, University of Toulouse.
  33. Stuart Hyde & Mohamed Sherif, 2005. "Don't break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(5), pages 289-296.
  34. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, Elsevier, vol. 51(7), pages 1509-1549, October.
  35. Paul A. de Hek, 2003. "Endogenous Technological Change under Uncertainty," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade c008_025, DEGIT, Dynamics, Economic Growth, and International Trade.
  36. Pataracchia, B., 2013. "Ambiguity aversion and heterogeneity in financial markets: An empirical and theoretical perspective," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-5905989, Tilburg University.
  37. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 7406, National Bureau of Economic Research, Inc.
  38. Woon Gyu Choi, 2007. "Measuring Interest Rates as Determined by Thrift and Productivity," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 167-195, May.
  39. Albuquerque, Rui & Eichenbaum, Martin & Rebelo, Sérgio, 2012. "Valuation Risk and Asset Pricing," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9262, C.E.P.R. Discussion Papers.
  40. Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002. "Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 17(2), pages 149-174.
  41. Startz Richard & Tsang Kwok Ping, 2012. "Nonexponential Discounting: A Direct Test And Perhaps A New Puzzle," The B.E. Journal of Macroeconomics, De Gruyter, De Gruyter, vol. 12(1), pages 1-35, November.
  42. Chang, Yanqin, 2007. "high level of international risk sharing when the productivity growth contains long run risk," MPRA Paper 4476, University Library of Munich, Germany.
  43. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 42(3), pages 415-448, April.
  44. Bonomo, M. & Garcia, R., 1991. "Consumption and Equilibrium Asset Pricing: an Empirical Assessment," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9126, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  45. Ivan Shaliastovich & George Tauchen, 2009. "Pricing of the Time-Change Risks," Working Papers, Duke University, Department of Economics 10-71, Duke University, Department of Economics.
  46. Pavlov, Vlad, 2006. "The equity premium in an overlapping-generations economy," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 17(2), pages 155-172, August.
  47. Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers, UCLA Department of Economics 299, UCLA Department of Economics.
  48. Garcia, R. & Luger, R. & Renault, E., 2001. "Empirical Assessment of an Intertemporal option Pricing Model with Latent variables," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 2001-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  49. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2008-19, Board of Governors of the Federal Reserve System (U.S.).
  50. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  51. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt3qn115m4, Anderson Graduate School of Management, UCLA.
  52. Brekke, Kjell Arne & Johansson-Stenman, Olof, 2008. "The Behavioural Economics of Climate Change," Working Papers in Economics, University of Gothenburg, Department of Economics 305, University of Gothenburg, Department of Economics.
  53. Xavier Gabaix & David Laibson, 2002. "The 6D Bias and the Equity Premium Puzzle," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1947, Harvard - Institute of Economic Research.
  54. Pommeret, Aude & Smith, William T., 2005. "Fertility, volatility, and growth," Economics Letters, Elsevier, Elsevier, vol. 87(3), pages 347-353, June.
  55. Hui Guo, 2003. "Limited stock market participation and asset prices in a dynamic economy," Working Papers, Federal Reserve Bank of St. Louis 2000-031, Federal Reserve Bank of St. Louis.
  56. Brandt, Michael W. & Wang, Kevin Q., 2003. "Time-varying risk aversion and unexpected inflation," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(7), pages 1457-1498, October.
  57. Stefano G. Athanasoulis & Robert J. Shiller, 2001. "World Income Components: Measuring and Exploiting Risk-Sharing Opportunities," American Economic Review, American Economic Association, American Economic Association, vol. 91(4), pages 1031-1054, September.
  58. Canova, Fabio & Marrinan, Jane, 1996. "Reconciling the term structure of interest rates with the consumption-based ICAP model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 20(4), pages 709-750, April.
  59. Karen K. Lewis & Edith X. Liu, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," NBER Working Papers 17872, National Bureau of Economic Research, Inc.
  60. Beker, Pablo F & Espino, Emilio, 2013. "Too Good to Be True: Asset Pricing Implications of Pessimism," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 1031, University of Warwick, Department of Economics.
  61. Jérôme B. Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers, CIRANO 95s-47, CIRANO.
  62. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset pricing lessons for modeling business cycles," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 95-11, Federal Reserve Bank of Chicago.
  63. Epstein, Larry G & Melino, Angelo, 1995. "A Revealed Preference Analysis of Asset Pricing under Recursive Utility," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 62(4), pages 597-618, October.
  64. Jamet, Stephanie, 2004. "Irreversibility, uncertainty and growth," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(9), pages 1733-1756, July.
  65. Dunbar, Geoffrey, 2013. "Returns-to-scale and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(9), pages 1736-1754.
  66. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc.
  67. Michael, Hatcher, 2013. "Aggregate and welfare effects of long run inflation risk under inflation and price-level targeting," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2013-19, Scottish Institute for Research in Economics (SIRE).
  68. Alexander Zimper & Alexander Ludwig, 2006. "Rational expectations and ambiguity: A comment on Abel (2002)," Economics Bulletin, AccessEcon, vol. 4(2), pages 1-15.
  69. Andrei Semenov, 2008. "Estimation of the consumption CAPM with imperfect sample separation information," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 13(4), pages 333-348.
  70. Fatih Guvenen, 2005. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," Macroeconomics, EconWPA 0507005, EconWPA.
  71. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005, Society for Computational Economics 329, Society for Computational Economics.
  72. Edmond, Chris & Weill, Pierre-Olivier, 2012. "Aggregate implications of micro asset market segmentation," Journal of Monetary Economics, Elsevier, Elsevier, vol. 59(4), pages 319-335.
  73. 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, Faculty of Economics, University of Tokyo CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo.
  74. Xue‐Zhong He & Lei Shi, 2012. "Boundedly rational equilibrium and risk premium," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 71-93, 03.
  75. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad T., 2007. "Euler equations and money market interest rates: A challenge for monetary policy models," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(7), pages 1863-1881, October.
  76. Julien Hugonnier & Florian Pelgrin & Pascal St-Amour, 2010. "A structural analysis of the health expenditures and portfolio choices of retired agents," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 10-29, Swiss Finance Institute.
  77. Jouini, Elyès & Napp, Clotilde, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/78, Paris Dauphine University.
  78. Michael Hatcher, 2013. "Indexed versus nominal government debt under inflation and price-level targeting," Working Papers, Business School - Economics, University of Glasgow 2013_11, Business School - Economics, University of Glasgow.
  79. Casper van Ewijk & Henri L.F. de Groot & Coos Santing, 2010. "A Meta-Analysis of the Equity Premium," Tinbergen Institute Discussion Papers, Tinbergen Institute 10-078/3, Tinbergen Institute.
  80. Mark Fisher & Christian Gilles, 1998. "Consumption and asset prices and recursive preferences," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1998-40, Board of Governors of the Federal Reserve System (U.S.).
  81. 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.
  82. Garcia, R. & Bonomo, M., 1993. "Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9334, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  83. Mordecai Kurz & Maurizio Motolese, . "Endogenous Uncertainty and Market Volatility," Working Papers, Stanford University, Department of Economics 99005, Stanford University, Department of Economics.
  84. Mark Fisher & Christian Gilles, 1999. "Consumption and asset prices with homothetic recursive preferences," Working Paper, Federal Reserve Bank of Atlanta 99-17, Federal Reserve Bank of Atlanta.
  85. Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
  86. Mordecai Kurz, 1997. "Social States of Belief and the Determinants of the Equity Risk Premium in A Rational Belief Equilibrium," Working Papers, Stanford University, Department of Economics 97026, Stanford University, Department of Economics.
  87. Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004. "Consumption equilibrium asset pricing in two Asian emerging markets," Journal of Asian Economics, Elsevier, Elsevier, vol. 15(2), pages 305-319, April.
  88. Fernández-Villaverde, Jesús, 2009. "The Econometrics of DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7157, C.E.P.R. Discussion Papers.
  89. Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Critical Finance Review, now publishers, now publishers, vol. 1(1), pages 141-182, January.
  90. Marcet, Albert & Singleton, Kenneth J., 1999. "Equilibrium Asset Prices And Savings Of Heterogeneous Agents In The Presence Of Incomplete Markets And Portfolio Constraints," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 3(02), pages 243-277, June.
  91. Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini Jr., 1997. "Robust Permanent Income and Pricing," Levine's Working Paper Archive 596, David K. Levine.
  92. Brevik, Frode & d’Addona, Stefano, 2011. "Information Quality and Stock Returns Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 45(06), pages 1419-1446, January.
  93. Alejandro Cuñat & Marco Maffezzoli, 2005. "Can Comparative Advantage Explain the Growth of US Trade?," CEP Discussion Papers, Centre for Economic Performance, LSE dp0669, Centre for Economic Performance, LSE.
  94. Clemens, Christiane & Soretz, Susanne, 1999. "Konsequenzen des Zins- und Einkommensrisikos auf das wirtschaftliche Wachstum," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-221, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  95. Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers, Society for Economic Dynamics 136b, Society for Economic Dynamics.
  96. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks, Collegio Carlo Alberto 315, Collegio Carlo Alberto.
  97. Stephen Turnovsky & Marcelo Bianconi, . "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Working Papers, University of Washington, Department of Economics UWEC-2004-08-P, University of Washington, Department of Economics.
  98. Kim, Jae H. & Ji, Philip Inyeob, 2011. "Mean-reversion in international real interest rates," Economic Modelling, Elsevier, Elsevier, vol. 28(4), pages 1959-1966, July.
  99. Conny Olovsson, 2005. "The Welfare Gains of Improving Risk Sharing in Social Security," 2005 Meeting Papers, Society for Economic Dynamics 584, Society for Economic Dynamics.
  100. Daniel Harenberg & Alexander Ludwig, 2014. "Social Security and the Interactions Between Aggregate and Idiosyncratic Risk," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich 14/193, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  101. Lettau, M. & Uhlig, H., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Discussion Paper, Tilburg University, Center for Economic Research 1995-54, Tilburg University, Center for Economic Research.
  102. Selima Mansour & Elyès Jouini & Clotilde Napp, 2006. "Is There a “Pessimisticâ€\x9D Bias in Individual Beliefs? Evidence from a Simple Survey," Theory and Decision, Springer, Springer, vol. 61(4), pages 345-362, December.
  103. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(1), pages 132-138.
  104. Hideaki Tamura & Yoichi Matsubayashi, 2014. "A New Solution to the Equity Premium Puzzle and the Risk-Free Rate Puzzle: Theory and Evidence," Discussion Papers 1422, Graduate School of Economics, Kobe University.
  105. Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, Elsevier, vol. 58(2), pages 85-118.
  106. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Working Papers 4088, National Bureau of Economic Research, Inc.
  107. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
  108. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings, Econometric Society 130, Econometric Society.
  109. Todd Sarver, 2012. "Optimal Reference Points and Anticipation," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1566, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  110. Andrew B. Abel, 1998. "Risk Premia and Term Premia in General Equilibrium," NBER Working Papers 6683, National Bureau of Economic Research, Inc.
  111. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-," International Review of Finance, International Review of Finance Ltd., International Review of Finance Ltd., vol. 8(3-4), pages 125-157.
  112. Kent D. Daniel & David A. Marshall, 1998. "Consumption-based modeling of long-horizon returns," Working Paper Series, Federal Reserve Bank of Chicago WP-98-18, Federal Reserve Bank of Chicago.
  113. Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006. "Housing, Consumption, and Asset Pricing," NBER Working Papers 12036, National Bureau of Economic Research, Inc.
  114. Edith Liu & Karen Lewis, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," 2012 Meeting Papers, Society for Economic Dynamics 643, Society for Economic Dynamics.
  115. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5245, C.E.P.R. Discussion Papers.
  116. International Monetary Fund, 2007. "A Simple Dge Model for Inflation Targeting," IMF Working Papers, International Monetary Fund 07/197, International Monetary Fund.
  117. Matsen, Egil, 2003. "Habit persistence and welfare gains from international asset trade," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(2), pages 239-260, April.
  118. Hengjie Ai & Dana Kiku, 2008. "A Model of Cross-Section of Equity Returns and Firm Dynamics," 2008 Meeting Papers 1030, Society for Economic Dynamics.
  119. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  120. David N. DeJong & Emilio Espino, 2007. "The Cyclical Behavior of Equity Turnover," Working Papers, University of Pittsburgh, Department of Economics 294, University of Pittsburgh, Department of Economics, revised Oct 2007.
  121. Carmichael, Benoıˆt & Coën, Alain, 2013. "Asset pricing with skewed-normal return," Finance Research Letters, Elsevier, Elsevier, vol. 10(2), pages 50-57.
  122. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 29(3), pages 455-481, September.
  123. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(7), pages 2349-2369, July.
  124. Alessie, R.J.M. & Teppa, F., 2002. "Saving and Habit Formation: Evidence from Dutch Panel Data," Discussion Paper, Tilburg University, Center for Economic Research 2002-62, Tilburg University, Center for Economic Research.
  125. Lei Shi, 2010. "Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9.
  126. Paul Ehling, 2004. "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings, Econometric Society 311, Econometric Society.
  127. Taner Yigit & Neil Arnwine, 2007. "What Fisher Knew About His Relation, We Sometimes Forget," Departmental Working Papers, Bilkent University, Department of Economics 0707, Bilkent University, Department of Economics.
  128. Harenberg, Daniel & Ludwig, Alexander, 2014. "Social security and the interactions between aggregate and idiosyncratic risk," SAFE Working Paper Series 59, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  129. Alexander Ludwig and Alexander Zimper, 2013. "Biased Bayesian Learning with an Application to the Risk-Free Rate Puzzle," Working Papers, Economic Research Southern Africa 390, Economic Research Southern Africa.
  130. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  131. Zhiguang Wang & Prasad V. Bidarkota, 2008. "A Long-Run Risks Model of Asset Pricing with Fat Tails," Working Papers, Florida International University, Department of Economics 0810, Florida International University, Department of Economics.
  132. Masaya Sakuragawa & Kaoru Hosono, 2010. "Fiscal Sustainability Of Japan: A Dynamic Stochastic General Equilibrium Approach," The Japanese Economic Review, Japanese Economic Association, Japanese Economic Association, vol. 61(4), pages 517-537, December.
  133. Andrew B. Abel, 1992. "Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle," NBER Working Papers 4110, National Bureau of Economic Research, Inc.
  134. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers, Society for Economic Dynamics 582, Society for Economic Dynamics.
  135. Yifan Hu & Timothy Kam, 2005. "Ramsey Fiscal And Monetary Policy Under Sticky Prices And Liquid Bonds," CAMA Working Papers 2005-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  136. Mariano Croce & Kai Li & Hengjie Ai, 2010. "Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital," 2010 Meeting Papers, Society for Economic Dynamics 663, Society for Economic Dynamics.
  137. 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).
  138. Jeremy J. Siegel & Richard H. Thaler, 1997. "Anomalies: The Equity Premium Puzzle," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 11(1), pages 191-200, Winter.
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