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Do self-control preferences help explain the puzzling behavior of asset prices?

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  • DeJong, David N.
  • Ripoll, Marla

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  • DeJong, David N. & Ripoll, Marla, 2007. "Do self-control preferences help explain the puzzling behavior of asset prices?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1035-1050, May.
  • Handle: RePEc:eee:moneco:v:54:y:2007:i:4:p:1035-1050
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    References listed on IDEAS

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    1. Krusell, Per & Kuruscu, Burhanettin & Smith, Anthony Jr., 2002. "Time orientation and asset prices," Journal of Monetary Economics, Elsevier, pages 107-135.
    2. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, pages 145-161.
    3. Krusell, Per & Kuruscu, Burhanettin & Smith, Anthony Jr., 2002. "Equilibrium Welfare and Government Policy with Quasi-geometric Discounting," Journal of Economic Theory, Elsevier, pages 42-72.
    4. Grossman, Sanford J & Shiller, Robert J, 1981. "The Determinants of the Variability of Stock Market Prices," American Economic Review, American Economic Association, pages 222-227.
    5. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, pages 401-421.
    6. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    7. Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," Emory Economics 0507, Department of Economics, Emory University (Atlanta).
    8. Faruk Gul & Wolfgang Pesendorfer, 2004. "Self-Control and the Theory of Consumption," Econometrica, Econometric Society, vol. 72(1), pages 119-158, January.
    9. Ingram, B.F. & Kocherlakota, N.R. & Savin, N.E., 1992. "Explaining Business Cycles : A Multiple Shock Approach," Working Papers 92-09, University of Iowa, Department of Economics.
    10. DeJong, David N., 1992. "Co-integration and trend-stationarity in macroeconomic time series : Evidence from the likelihood function," Journal of Econometrics, Elsevier, vol. 52(3), pages 347-370, June.
    11. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, pages 401-421.
    12. Grossman, Sanford J & Shiller, Robert J, 1981. "The Determinants of the Variability of Stock Market Prices," American Economic Review, American Economic Association, pages 222-227.
    13. Dejong, David N. & Whiteman, Charles H., 1996. "Modeling Stock Prices without Knowing How to Induce Stationarity," Econometric Theory, Cambridge University Press, vol. 12(04), pages 739-740, October.
    14. DeJong, David N & Whiteman, Charles H, 1991. "The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function," American Economic Review, American Economic Association, pages 600-617.
    15. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, pages 421-436.
    16. 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.
    17. Narayana R. Kocherlakota, 1996. "The Equity Premium: It's Still a Puzzle," Journal of Economic Literature, American Economic Association, pages 42-71.
    18. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, pages 421-436.
    19. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
    20. Kocherlakota, N., 1995. "The Equity Premium: It's Still a Puzzle," Working Papers 95-05, University of Iowa, Department of Economics.
    21. Ingram, Beth Fisher & Kocherlakota, Narayana R. & Savin, N. E., 1994. "Explaining business cycles: A multiple-shock approach," Journal of Monetary Economics, Elsevier, pages 415-428.
    22. Narayana R. Kocherlakota, 1996. "The Equity Premium: It's Still a Puzzle," Journal of Economic Literature, American Economic Association, pages 42-71.
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    Citations

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    Cited by:

    1. Berg, Nathan & Kim, Jeong-Yoo, 2010. "Demand for Self Control: A model of Consumer Response to Programs and Products that Moderate Consumption," MPRA Paper 26593, University Library of Munich, Germany.
    2. Cagri Seda Kumru & Athanasios C. Thanopoulos, 2011. "Self-control Preferences and Taxation: A Quantitative Analysis in a Life-cycle Model," Working Papers 201122, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
    3. Kumru, Cagri S. & Tran, Chung, 2012. "Temptation and social security in a dynastic framework," European Economic Review, Elsevier, vol. 56(7), pages 1422-1445.
    4. Tran, Chung, 2016. "Fiscal policy as a temptation control device: Savings subsidy and social security," Economic Modelling, Elsevier, vol. 55(C), pages 254-268.
    5. Marco Cozzi, 2014. "Heterogeneity in Macroeconomics and the Minimal Econometric Interpretation for Model Comparison," Working Papers 1333, Queen's University, Department of Economics.
    6. Kumru, Cagri S. & Thanopoulos, Athanasios C., 2011. "Social security reform with self-control preferences," Journal of Public Economics, Elsevier, pages 886-899.
    7. Airaudo, Marco, 2016. "Endogenous Stock Price Fluctuations with Dynamic Self-Control Preferences," School of Economics Working Paper Series 2016-2, LeBow College of Business, Drexel University.
    8. Kotakorpi, Kaisa & Poutvaara, Panu, 2011. "Pay for politicians and candidate selection: An empirical analysis," Journal of Public Economics, Elsevier, vol. 95(7), pages 877-885.
    9. Tsvetanov, Tsvetan & Segerson, Kathleen, 2013. "Re-evaluating the role of energy efficiency standards: A behavioral economics approach," Journal of Environmental Economics and Management, Elsevier, vol. 66(2), pages 347-363.
    10. Cagri Seda Kumru & Athanasios C. Thanopoulos, 2009. "Social Security Reform and Temptation," CESifo Working Paper Series 2778, CESifo Group Munich.
    11. Monisankar Bishnu & Cagri S. Kumru & Arm Nakornthab, 2016. "Optimal Inheritance Tax under Temptation," ANU Working Papers in Economics and Econometrics 2016-637, Australian National University, College of Business and Economics, School of Economics.
    12. Junjian Miao, 2005. "Option Exercise with Temptation," Boston University - Department of Economics - Working Papers Series WP2005-007, Boston University - Department of Economics.
    13. Jianjun Miao, 2008. "Option exercise with temptation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 473-501.
    14. Kumru, Cagri S. & Thanopoulos, Athanasios C., 2011. "Social security reform with self-control preferences," Journal of Public Economics, Elsevier, pages 886-899.
    15. Airaudo, Marco, 2017. "Temptation and Forward Guidance," School of Economics Working Paper Series 2017-4, LeBow College of Business, Drexel University.
    16. Alonso, Irasema & Prado, Mauricio, 2015. "Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 78-92.
    17. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016. "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 152-178.
    18. Cagri S. Kumru & John Piggott & Athanasios C. Thanopoulos, 2015. "A Note on Resource Testing and Temptation," Working Papers wp340, University of Michigan, Michigan Retirement Research Center.
    19. Kumru, Çagri S. & Thanopoulos, Athanasios C., 2008. "Social security and self control preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 757-778, March.

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