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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. 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).
  2. Jacobs, Kris, 2007. "Consumption-leisure nonseparabilities in asset market participants' preferences," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2131-2138, October.
  3. 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.
  4. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  5. 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, 06.
  6. Muhammet Fatih Guvenen, 2000. "Does Stockholding Provide Perfect Risk Sharing?," GSIA Working Papers 2000-E48, Carnegie Mellon University, Tepper School of Business.
  7. Hui Guo, 2003. "Limited stock market participation and asset prices in a dynamic economy," Working Papers 2000-031, Federal Reserve Bank of St. Louis.
  8. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  9. Reyno SEYMORE & Margaret MABUGU & Jan VAN HEERDEN, . "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," EcoMod2010 259600155, EcoMod.
  10. 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.
  11. Guvenen, Fatih, 2006. "Reconciling conflicting evidence on the elasticity of intertemporal substitution: A macroeconomic perspective," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1451-1472, October.
  12. 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.
  13. Andrei SEMENOV, . "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," EcoMod2004 330600126, EcoMod.
  14. 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.
  15. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  16. Andrei Semenov, 2004. "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," Working Papers 2004_1, York University, Department of Economics.
  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. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  19. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
  20. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  21. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  22. 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.
  23. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, 08.
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