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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. Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 8822, National Bureau of Economic Research, Inc.
  3. 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.
  4. 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.
  5. Fatih Guvenen, 2005. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," Macroeconomics 0507005, EconWPA.
  6. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  7. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
  8. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  9. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, 08.
  10. Andrei SEMENOV, . "Asset Pricing in the Presence of Background Risk," EcoMod2010 259600155, EcoMod.
  11. Jacobs, Kris, 2007. "Consumption-leisure nonseparabilities in asset market participants' preferences," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2131-2138, October.
  12. M. Fatih Guvenen, 2002. "Does Stockholding Provide Perfect Risk Sharing?," RCER Working Papers 490, University of Rochester - Center for Economic Research (RCER), revised Mar 2003.
  13. Kevin X.D. Huang & Zheng Liu & John Q. Zhu, 2013. "Temptation and self-control: some evidence and applications," Working Paper Series 2013-23, Federal Reserve Bank of San Francisco.
  14. 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.
  15. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  16. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  17. Andrei Semenov, 2004. "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," Working Papers 2004_1, York University, Department of Economics.
  18. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  19. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
  20. Hui Guo, 2003. "Limited stock market participation and asset prices in a dynamic economy," Working Papers 2000-031, Federal Reserve Bank of St. Louis.
  21. Andrei SEMENOV, . "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," EcoMod2004 330600126, EcoMod.
  22. 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.
  23. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
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