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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. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  2. 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.
  3. Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
  4. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
  5. Andrei Semenov, 2017. "Background risk in consumption and the equity risk premium," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 407-439, February.
  6. Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006. "Temptation and self-control: some evidence and applications," Staff Report 367, Federal Reserve Bank of Minneapolis.
  7. 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.
  8. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  9. 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.
  10. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  11. Muhammet Fatih Guvenen, 2000. "Does Stockholding Provide Perfect Risk Sharing?," GSIA Working Papers 2000-E48, Carnegie Mellon University, Tepper School of Business.
  12. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  13. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  14. Hui Guo, 2003. "Limited stock market participation and asset prices in a dynamic economy," Working Papers 2000-031, Federal Reserve Bank of St. Louis.
  15. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  16. Kevin X.D. Huang & Zheng Liu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," 2005 Meeting Papers 770, Society for Economic Dynamics.
  17. Reyno SEYMORE & Margaret MABUGU & Jan VAN HEERDEN, "undated". "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," EcoMod2010 259600155, EcoMod.
  18. Jacobs, Kris, 2007. "Consumption-leisure nonseparabilities in asset market participants' preferences," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2131-2138, October.
  19. 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.
  20. Andrei SEMENOV, "undated". "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," EcoMod2004 330600126, EcoMod.
  21. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  22. Andrei Semenov, 2004. "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," Working Papers 2004_1, York University, Department of Economics.
  23. 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.
  24. 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.
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