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Citations for "The equity premium: a puzzle"

by R. Mehra & E. Prescott

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  1. Caballe, Jordi & Pomansky, Alexey, 1997. "Complete monotonicity, background risk, and risk aversion," Mathematical Social Sciences, Elsevier, vol. 34(3), pages 205-222, October.
  2. Orazio P. Attanasio & Monica Paiella, 2011. "Intertemporal consumption choices, transaction costs and limited participation in financial markets: reconciling data and theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(2), pages 322-343, March.
  3. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
  4. Skander J. van den Heuvel, 2008. "Temporal risk aversion and asset prices," Finance and Economics Discussion Series 2008-37, Board of Governors of the Federal Reserve System (U.S.).
  5. Günter Bamberg & Michael Krapp, 2016. "Is time consistency compatible with risk aversion?," Review of Managerial Science, Springer, vol. 10(2), pages 195-211, March.
  6. Christian Baker & Jeremy Bejarano & Richard W. Evans & Kenneth L. Judd & Kerk L. Phillips, 2014. "A Big Data Approach to Optimal Sales Taxation," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-03, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  7. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.
  8. Cecchetti, Stephen G. & Lam, Pok-sang & Mark, Nelson C., 1993. "The equity premium and the risk-free rate : Matching the moments," Journal of Monetary Economics, Elsevier, vol. 31(1), pages 21-45, February.
  9. M. Fatih Guvenen, 2003. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity?," RCER Working Papers 499, University of Rochester - Center for Economic Research (RCER).
  10. Hayakawa, Hiroaki, 2000. "Bounded rationality, social and cultural norms, and interdependence via reference groups," Journal of Economic Behavior & Organization, Elsevier, vol. 43(1), pages 1-34, September.
  11. S. Rebelo., 2010. "Real Business Cycle Models: Past, Present, and Future," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 10.
  12. John H. Cochrane, 1997. "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, issue Nov, pages 3-37.
  13. Smith, William T., 1999. "Risk, the Spirit of Capitalism and Growth: The Implications of a Preference for Capital," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 241-262, April.
  14. James M. Poterba & Julio J. Rotemberg, 1986. "Money in the Utility Function: An Empirical Implementation," Working papers 408, Massachusetts Institute of Technology (MIT), Department of Economics.
  15. Diaz, Antonia & Pijoan-Mas, Josep & Rios-Rull, Jose-Victor, 2003. "Precautionary savings and wealth distribution under habit formation preferences," Journal of Monetary Economics, Elsevier, vol. 50(6), pages 1257-1291, September.
  16. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  17. Massimiliano De Santis, 2005. "Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?," Money Macro and Finance (MMF) Research Group Conference 2005 5, Money Macro and Finance Research Group.
  18. Karen K. Lewis, 1999. "Trying to Explain Home Bias in Equities and Consumption," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 571-608, June.
  19. Abel, Andrew B, 1990. "Asset Prices under Habit Formation and Catching Up with the Joneses," American Economic Review, American Economic Association, vol. 80(2), pages 38-42, May.
  20. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated," Journal of Finance, American Finance Association, vol. 62(5), pages 2123-2167, October.
  21. Selima Ben Mansour & Elyès Jouini & Jean-Michel Marin & Clotilde Napp & Christian Robert, 2008. "Are risk-averse agents more optimistic? A Bayesian estimation approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(6), pages 843-860.
  22. Monica Paiella, 2007. "The Forgone Gains of Incomplete Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1623-1646, 2007 13.
  23. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
  24. Hanno Lustig, 2004. "Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance," UCLA Economics Online Papers 300, UCLA Department of Economics.
  25. Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012. "No good deals—no bad models," Staff Reports 589, Federal Reserve Bank of New York.
  26. B. Ravikumar & Enchuan Shao, 2005. "Search Frictions and Asset Price Volatility," 2005 Meeting Papers 227, Society for Economic Dynamics.
  27. Håkan Eggert & Peter Martinsson, 2004. "Are Commercial Fishers Risk-Lovers?," Land Economics, University of Wisconsin Press, vol. 80(4).
  28. George Chacko & Luis M. Viceira, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1369-1402.
  29. Williamson, Stephen D., 1996. "Real business cycle research comes of age: A review essay," Journal of Monetary Economics, Elsevier, vol. 38(1), pages 161-170, August.
  30. Gerhard Illing & Ulrich Klüh, 2005. "Vermögenspreise und Konsum: Neue Erkenntnisse, amerikanische Erfahrungen und europäische Herausforderungen," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 6(1), pages 1-22, 02.
  31. Gong, Liutang & Zou, Heng-fu, 2002. "Direct preferences for wealth, the risk premium puzzle, growth, and policy effectiveness," Journal of Economic Dynamics and Control, Elsevier, vol. 26(2), pages 247-270, February.
  32. Martin Bodenstein, 2008. "International Asset Markets and Real Exchange Rate Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 688-705, July.
  33. Pasquale Lucio Scandizzo, 2014. "The social rate of discount, climate change and real options," CEIS Research Paper 309, Tor Vergata University, CEIS, revised 18 Feb 2014.
  34. Mordecai Kurz & Maurizio Motolese, "undated". "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
  35. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
  36. Heaton, John & Lucas, Deborah, 1995. "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 1-32, June.
  37. Danyang Xie, 2000. "Power Risk Aversion Utility Functions," Annals of Economics and Finance, Society for AEF, vol. 1(2), pages 265-282, November.
  38. Abbas Mirakhor & S. Nuri Erbas, 2007. "The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality," IMF Working Papers 07/230, .
  39. Clemens, Christiane & Soretz, Susanne, 1999. "Konsequenzen des Zins- und Einkommensrisikos auf das wirtschaftliche Wachstum," Hannover Economic Papers (HEP) dp-221, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  40. David A. Love & Paul A. Smith & David W. Wilcox, 2009. "Should risky firms offer risk-free DB pensions?," Finance and Economics Discussion Series 2009-20, Board of Governors of the Federal Reserve System (U.S.).
  41. Camilo Alvis & Cristian Castrillón, 2013. "Tamaño óptimo del gasto público colombiano: una aproximación desde la teoría del crecimiento endógeno," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, December.
  42. António Antunes & Tiago Cavalcanti & Anne Villamil, 2010. "Intermediation Costs and Welfare," Centre for Growth and Business Cycle Research Discussion Paper Series 142, Economics, The Univeristy of Manchester.
  43. Peter Bossaerts & Charles Plott, 2004. "Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets," Review of Finance, European Finance Association, vol. 8(2), pages 135-169.
  44. Nyberg, Peter & Vaihekoski, Mika, 2011. "Descriptive analysis of Finnish equity, bond and money market returns," Research Discussion Papers 14/2011, Bank of Finland.
  45. YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
  46. Alexei Deviatov & Igor Dodonov, 2006. "Exchange-rate volatility, exchange-rate disconnect, and the failure of volatility conservation," Working Papers w0079, Center for Economic and Financial Research (CEFIR).
  47. Ornthanalai, Chayawat, 2014. "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, vol. 112(1), pages 69-90.
  48. Argandoña, Antonio, 2013. "Irving Fisher: un gran economista," IESE Research Papers D/1082, IESE Business School.
  49. Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée.
  50. Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
  51. Chiaki Hara & Toshiki Honda, 2016. "Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio," KIER Working Papers 943, Kyoto University, Institute of Economic Research.
  52. Marco Antonio Bonomo & Rene Garcia, 1993. "Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles," Textos para discussão 308, Department of Economics PUC-Rio (Brazil).
  53. Anup K. Basu & Michael E. Drew, 2009. "The Case for Gender-Sensitive Superannuation Plan Design," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 42(2), pages 177-189.
  54. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
  55. Thomas Philippon, 2015. "Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," American Economic Review, American Economic Association, vol. 105(4), pages 1408-1438, April.
  56. Danthine, Jean-Pierre & Donaldson, John B. & Mehra, Rajnish, 1992. "The equity premium and the allocation of income risk," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 509-532.
  57. Campbell, John Y. & Nosbusch, Yves, 2007. "Intergenerational risksharing and equilibrium asset prices," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2251-2268, November.
  58. Woodward, Richard T., 1998. "Should Agricultural And Resource Economists Care That The Subjective Expected Utility Hypothesis Is False?," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20941, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  59. Thomas Hintermaier & Winfried Koeniger, 2016. "Debt Portfolios and Homestead Exemptions," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(4), pages 103-141, October.
  60. John V. Duca, 2005. "Why Have U.S. Households Increasingly Relied On Mutual Funds To Own Equity?," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 51(3), pages 375-396, 09.
  61. Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
  62. Söderlind, Paul, 2005. "C-CAPM without Ex Post Data," SIFR Research Report Series 39, Institute for Financial Research.
  63. Ravi Bansal & Marcelo Ochoa, 2011. "Welfare Costs of Long-Run Temperature Shifts," NBER Working Papers 17574, National Bureau of Economic Research, Inc.
  64. Roger E.A. Farmer, 2016. "Pricing Assets in an Economy with Two Types of People," NBER Working Papers 22228, National Bureau of Economic Research, Inc.
  65. Seppälä, Juha, 2000. "The term structure of real interest rates : Theory and evidence form UK index-linked bonds," Research Discussion Papers 22/2000, Bank of Finland.
  66. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc.
  67. José L. Fillat & Stefania Garetto, 2015. "Risk, Returns, and Multinational Production," The Quarterly Journal of Economics, Oxford University Press, vol. 130(4), pages 2027-2073.
  68. Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper 73246, University Library of Munich, Germany.
  69. Gomes, Joao & Greenwood, Jeremy & Rebelo, Sergio, 2001. "Equilibrium unemployment," Journal of Monetary Economics, Elsevier, vol. 48(1), pages 109-152, August.
  70. Axel Börsch-Supan & Alexander Ludwig & Joachim Winter, 2006. "Ageing, Pension Reform and Capital Flows: A Multi-Country Simulation Model," Economica, London School of Economics and Political Science, vol. 73(292), pages 625-658, November.
  71. Christian Julliard, 2007. "Labor income risk and asset returns," LSE Research Online Documents on Economics 4811, London School of Economics and Political Science, LSE Library.
  72. Anthony Heyes & Matthew Neidell & Soodeh Saberian, 2016. "The Effect of Air Pollution on Investor Behavior: Evidence from the S&P 500," NBER Working Papers 22753, National Bureau of Economic Research, Inc.
  73. Richard W. Evans & Laurence J. Kotlikoff & Kerk L. Phillips, 2012. "Game Over: Simulating Unsustainable Fiscal Policy," NBER Chapters, in: Fiscal Policy after the Financial Crisis, pages 177-202 National Bureau of Economic Research, Inc.
  74. Epstein, Larry G. & Zin, Stanley E., 1990. "'First-order' risk aversion and the equity premium puzzle," Journal of Monetary Economics, Elsevier, vol. 26(3), pages 387-407, December.
  75. Burnside, Craig, 1998. "Solving asset pricing models with Gaussian shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 329-340, March.
  76. Alan Gregory, 2011. "The Expected Cost of Equity and the Expected Risk Premium in the UK," Review of Behavioral Finance, Emerald Group Publishing, vol. 3(1), pages 1-26, April.
  77. Orazio P. Attanasio, 1998. "Consumption Demand," NBER Working Papers 6466, National Bureau of Economic Research, Inc.
  78. Michael S. Haigh & John A. List, 2005. "Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis," Journal of Finance, American Finance Association, vol. 60(1), pages 523-534, 02.
  79. Barth, Daniel, 2014. "The costs and beliefs impliedby direct stock ownership," Working Paper Series 1657, European Central Bank.
  80. Casey B. Mulligan, 2002. "Capital, Interest, and Aggregate Intertemporal Substitution," NBER Working Papers 9373, National Bureau of Economic Research, Inc.
  81. Smoluk, H. J. & Neveu, Raymond P., 2002. "Consumption and asset prices: An analysis across income groups," Review of Financial Economics, Elsevier, vol. 11(1), pages 47-62.
  82. Angelo Melino, 2010. "Measuring the cost of economic fluctuations with preferences that rationalize the equity premium," Canadian Journal of Economics, Canadian Economics Association, vol. 43(2), pages 405-422, May.
  83. Yosef Bonaparte, 2006. "Why do Wealthy Investors have a Higher Return on their Stocks?," 2006 Meeting Papers 286, Society for Economic Dynamics.
  84. Strebulaev, Ilya A. & Whited, Toni M., 2012. "Dynamic Models and Structural Estimation in Corporate Finance," Foundations and Trends(R) in Finance, now publishers, vol. 6(1–2), pages 1-163, November.
  85. Julio Dávila & Jay H. Hong & Per Krusell & José‐Víctor Ríos‐Rull, 2012. "Constrained Efficiency in the Neoclassical Growth Model With Uninsurable Idiosyncratic Shocks," Econometrica, Econometric Society, vol. 80(6), pages 2431-2467, November.
  86. Shiller, Robert J., 1999. "Social security and institutions for intergenerational, intragenerational, and international risk-sharing," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 50(1), pages 165-204, June.
  87. Smith, Peter & Wickens, Michael, 2002. " Asset Pricing with Observable Stochastic Discount Factors," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 397-446, July.
  88. Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, 06.
  89. Krzysztof DRACHAL, 2015. "The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis," Expert Journal of Economics, Sprint Investify, vol. 3(2), pages 136-142.
  90. Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007. "Housing, consumption and asset pricing," Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
  91. Kelly, Morgan, 1997. "Do Noise Traders Influence Stock Prices?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 351-363, August.
  92. Grossmann, Volker & Steger, Thomas & Trimborn, Timo, 2013. "Dynamically optimal R&D subsidization," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 516-534.
  93. Coudert, Virginie & Mignon, Valérie, 2013. "The “forward premium puzzle” and the sovereign default risk," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 491-511.
  94. R. de O. Cavalcanti & P. K. Monteiro, 2016. "Enriching information to prevent bank runs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 477-494, August.
  95. repec:kap:iaecre:v:17:y:2011:i:2:p:169-180 is not listed on IDEAS
  96. Juan Carlos Hatchondo, 2005. "A quantitative study of the role of wealth inequality on asset prices," Working Paper 05-12, Federal Reserve Bank of Richmond.
  97. Andrew B. Abel & N. Gregory Mankiw & Lawrence H. Summers & Richard J. Zeckhauser, 1989. "Assessing Dynamic Efficiency: Theory and Evidence," Review of Economic Studies, Oxford University Press, vol. 56(1), pages 1-19.
  98. Hui Guo & Robert F. Whitelaw, 2006. "Uncovering the Risk-Return Relation in the Stock Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1433-1463, 06.
  99. Grant, S. & Quiggin, J., 2001. "Noise Trader Risk and the Political Economy of Privatization," Discussion Paper 2001-104, Tilburg University, Center for Economic Research.
  100. Ajello, Andrea, 2010. "Financial intermediation, investment dynamics and business cycle fluctuations," MPRA Paper 32447, University Library of Munich, Germany, revised Mar 2011.
  101. Robert J. Barro & Tao Jin, 2011. "On the Size Distribution of Macroeconomic Disasters," Econometrica, Econometric Society, vol. 79(5), pages 1567-1589, 09.
  102. Korkut Erturk, "undated". "A Note on the Tobin Tax," Working Paper Series, Department of Economics, University of Utah 2003_05, University of Utah, Department of Economics.
  103. Maria Sandsmark & Haakon Vennemo, 2007. "A portfolio approach to climate investments: CAPM and endogenous risk," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 37(4), pages 681-695, August.
  104. Kothari, S. P. & Shanken, Jay, 1997. "Book-to-market, dividend yield, and expected market returns: A time-series analysis," Journal of Financial Economics, Elsevier, vol. 44(2), pages 169-203, May.
  105. Cheung, K.C. & Chong, W.F. & Yam, S.C.P., 2015. "The optimal insurance under disappointment theories," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 77-90.
  106. David Ho & Kwame Addae-Dapaah & John Glascock, 2015. "International Direct Real Estate Risk Premiums in a Multi-Factor Estimation Model," The Journal of Real Estate Finance and Economics, Springer, vol. 51(1), pages 52-85, July.
  107. Faruk Gul & Wolfgang Pesendorfer & Tomasz Strzalecki, 2017. "Coarse Competitive Equilibrium and Extreme Prices," American Economic Review, American Economic Association, vol. 107(1), pages 109-137, January.
  108. Mankiw, N. Gregory & Zeldes, Stephen P., 1991. "The consumption of stockholders and nonstockholders," Journal of Financial Economics, Elsevier, vol. 29(1), pages 97-112, March.
  109. Marrero, Gustavo A., 2008. "Revisiting The Optimal Stationary Public Investment Policy In Endogenous Growth Economies," Macroeconomic Dynamics, Cambridge University Press, vol. 12(02), pages 172-194, April.
  110. Anthony Diercks, 2016. "The Equity Premium, Long-Run Risk, and Optimal Monetary Policy," 2016 Meeting Papers 207, Society for Economic Dynamics.
  111. Justin van de Ven, 2013. "The Influence of Decision Costs on Investments in Indivudual Savings Accounts," Melbourne Institute Working Paper Series wp2013n19, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  112. Bohn, Henning, 2011. "Should public retirement plans be fully funded?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 10(02), pages 195-219, April.
  113. Jonathan A. Parker, 2001. "The Consumption Risk of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(2), pages 279-348.
  114. Chen, Ming-Hsiang, 2003. "Risk and return: CAPM and CCAPM," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 369-393.
  115. Barberis, Nicholas & Thaler, Richard, 2003. "A survey of behavioral finance," 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 18, pages 1053-1128 Elsevier.
  116. Blavatskyy, Pavlo & Pogrebna, Ganna, 2009. "Myopic loss aversion revisited," Economics Letters, Elsevier, vol. 104(1), pages 43-45, July.
  117. Yasuo Nishiyama, 2006. "The Asian Financial Crisis and Investors’ Risk Aversion," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(3), pages 181-205, September.
  118. van de Ven, Justin, 2011. "A structural dynamic microsimulation model of household savings and labour supply," Economic Modelling, Elsevier, vol. 28(4), pages 2054-2070, July.
  119. Raj Chetty, 2006. "A New Method of Estimating Risk Aversion," American Economic Review, American Economic Association, vol. 96(5), pages 1821-1834, December.
  120. Caliendo, Frank & Aadland, David, 2007. "Short-term planning and the life-cycle consumption puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1392-1415, April.
  121. David Dillenberger, 2008. "Preferences for One-Shot Resolution of Uncertainty and Allais-Type Behavior," PIER Working Paper Archive 08-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  122. Eisfeldt, Andrea L., 2007. "Smoothing with liquid and illiquid assets," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1572-1586, September.
  123. Weinbaum, David, 2010. "Preference heterogeneity and asset prices: An exact solution," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2238-2246, September.
  124. Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "On bounding credit event risk premia," Staff Reports 577, Federal Reserve Bank of New York.
  125. Booij, Adam S. & van de Kuilen, Gijs, 2009. "A parameter-free analysis of the utility of money for the general population under prospect theory," Journal of Economic Psychology, Elsevier, vol. 30(4), pages 651-666, August.
  126. Masaya Sakuragawa & Kaoru Hosono, 2010. "Fiscal Sustainability Of Japan: A Dynamic Stochastic General Equilibrium Approach," The Japanese Economic Review, Japanese Economic Association, vol. 61(4), pages 517-537, December.
  127. Bansal, Ravi & Coleman, Wilbur John, II, 1996. "A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1135-1171, December.
  128. Normandin, Michel & St-Amour, Pascal, 2008. "An empirical analysis of aggregate household portfolios," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1583-1597, August.
  129. Plisson, Manuel, 2009. "Assurabilité et développement de l'assurance dépendance," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/5064 edited by Lorenzi, Jean-Hervé, April.
  130. Gerlinde Fellner & Matthias Sutter, 2009. "Causes, Consequences, and Cures of Myopic Loss Aversion - An Experimental Investigation," Economic Journal, Royal Economic Society, vol. 119(537), pages 900-916, 04.
  131. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
  132. Ligon, James A. & Cather, David A., 1997. "The informational value of insurance purchases: Evidence from the property-liability insurance market," Journal of Banking & Finance, Elsevier, vol. 21(7), pages 989-1016, July.
  133. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.
  134. Eriksen, Kristoffer W. & Kvaløy, Ola, 2014. "Myopic risk-taking in tournaments," Journal of Economic Behavior & Organization, Elsevier, vol. 97(C), pages 37-46.
  135. Yongli Zhang, 2010. "Fluctuations of Real Interest Rates and Business Cycles," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 185-208, May.
  136. Fredj Jawadi & Georges Prat, 2012. "Arbitrage costs and nonlinear adjustment in the G7 stock markets," Applied Economics, Taylor & Francis Journals, vol. 44(12), pages 1561-1582, April.
  137. Calvet, Laurent E., 2001. "Incomplete Markets and Volatility," Journal of Economic Theory, Elsevier, vol. 98(2), pages 295-338, June.
  138. Diego Comin, 2004. "R&D: A Small Contribution to Productivity Growth," Journal of Economic Growth, Springer, vol. 9(4), pages 391-421, December.
  139. Carmichael, Benoıˆt & Coën, Alain, 2013. "Asset pricing with skewed-normal return," Finance Research Letters, Elsevier, vol. 10(2), pages 50-57.
  140. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
  141. Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2013. "Salience and Asset Prices," American Economic Review, American Economic Association, vol. 103(3), pages 623-628, May.
  142. Govindaraj, Suresh, 2005. "Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities," Finance Research Letters, Elsevier, vol. 2(4), pages 234-247, December.
  143. Ødegaard, Bernt Arne, 2012. "Empirics of the Oslo Stock Exchange. Basic, descriptive, results 1980-2011," UiS Working Papers in Economics and Finance 2012/6, University of Stavanger.
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  1682. Thomas E. MaCurdy & John B. Shoven, 2001. "Asset Allocation and Risk Allocation: Can Social Security Improve Its Future Solvency Problem by Investing in Private Securities?," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 11-40 National Bureau of Economic Research, Inc.
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  1689. Dunbar, Geoffrey, 2013. "Returns-to-scale and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1736-1754.
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  1692. Zhiwei Xu & Pengfei Wang & Jianjun Miao, 2013. "A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles," 2013 Meeting Papers 167, Society for Economic Dynamics.
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  1703. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
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  1705. Barrett, Kevin S., 1991. "Panel-Data Estimates of Charitable Giving: A Synthesis of Techniques," National Tax Journal, National Tax Association, vol. 44(3), pages 365-381, September.
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  1707. Benjamin Eden, 2007. "Liquidity, Equity Premium and Participation," Vanderbilt University Department of Economics Working Papers 0715, Vanderbilt University Department of Economics.
  1708. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
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  1712. Syed Ozair Ali, 2011. "Power, Profits and Inflation: A Study of Inflation and Influence in Pakistan," SBP Working Paper Series 43, State Bank of Pakistan, Research Department.
  1713. Chen Zhen & Michael K. Wohlgenant, 2006. "Meat Demand under Rational Habit Persistence," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 54(4), pages 477-495, December.
  1714. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  1715. Konuki, Testuya, 1999. "Measuring noise in exchange rate models1," Journal of International Economics, Elsevier, vol. 48(2), pages 255-270, August.
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  1719. Zur Shapira & Itzhak Venezia, 2007. "On the Preference for Full-Coverage Policies: Why do People buy too much Insurance?," Discussion Paper Series dp460, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
  1720. Chiaki Hara, 2013. "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs," KIER Working Papers 862, Kyoto University, Institute of Economic Research.
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  1722. Zhang Wei-Bin, 2013. "Habit Formation and Preference Change with Capital and Renewable Resources," Business Systems Research, De Gruyter Open, vol. 4(2), pages 108-125, December.
  1723. Maurizio MOTOLESE & NAKATA Hiroyuki, 2016. "Endogenous Fluctuations and Social Welfare under Credit Constraints and Heterogeneous Beliefs," Discussion papers 16082, Research Institute of Economy, Trade and Industry (RIETI).
  1724. Basu, Parantap & Semenov, Andrei & Wada, Kenji, 2009. "Uninsurable Risk and Financial Market Puzzles," MPRA Paper 23351, University Library of Munich, Germany.
  1725. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
  1726. Richard B. Howarth, 2003. "Discounting and Uncertainty in Climate Change Policy Analysis," Land Economics, University of Wisconsin Press, vol. 79(3), pages 369-381.
  1727. Philip Jagd & Jakob Madsen, 2009. "Myopic loss aversion, bond returns and the equity premium puzzle," Applied Financial Economics, Taylor & Francis Journals, vol. 19(17), pages 1383-1390.
  1728. Darrat, Ali F. & Li, Bin & Park, Jung Chul, 2011. "Consumption-based CAPM models: International evidence," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2148-2157, August.
  1729. Juan-Ángel Jiménez-Martín & Rafael Flores de Frutos, 2004. "Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate," Documentos de Trabajo del ICAE 0413, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  1730. Mansoorian, Arman & Neaime, Simon, 2003. "Durable goods, habits, time preference, and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 14(1), pages 115-130, March.
  1731. Wolfgang Bessler & Wolfgang Drobetz & Heinz Zimmermann, 2007. "Conditional Performance Evaluation for German Mutual Equity Funds," Working papers 2007/22, Faculty of Business and Economics - University of Basel.
  1732. Meyer, Björn O., 2014. "The role of sentiment in the provision of credit," Kiel Advanced Studies Working Papers 466, Kiel Institute for the World Economy (IfW).
  1733. Aude Pommeret & Anne Epaulard, 2001. "Agents’ Preferences, the Equity Premium, and the Consumption-Saving Trade-Off; An Application to French Data," IMF Working Papers 01/117, International Monetary Fund.
  1734. Yuanyuan Chen & Stuart Fowler, 2016. "Hybrid Perturbation-Projection Method for Solving DSGE Asset Pricing Models," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 649-667, December.
  1735. Lee Redding, 2006. "Social Security Reform and Corporate Governance," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 9(3), pages 235-246.
  1736. Stracca, Livio, 2004. "Behavioral finance and asset prices: Where do we stand?," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 373-405, June.
  1737. Carlaw, K. & Kosempel, S., 2001. "Accounting for Canada's Economic Growth: A GE Approach," Working Papers 2001-1, University of Guelph, Department of Economics and Finance.
  1738. Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros, 2012. "Displacement risk and asset returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 491-510.
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  1746. Brouwer, Frank & Ruiter, Hans de, 1997. "Asset class allocation and downside risk: does the investment horizon matter?," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  1747. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.
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  1750. Noah Kaufman, 2012. "The bias of integrated assessment models that ignore climate catastrophes," Climatic Change, Springer, vol. 110(3), pages 575-595, February.
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  1752. Peter Woehrmann, "undated". "A dynamic model of the financial�real interaction as a model selection criterion for nonparametric stock market prediction," IEW - Working Papers 226, Institute for Empirical Research in Economics - University of Zurich.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.