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Citations for "The equity premium: a puzzle"

by R. Mehra & E. Prescott

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  1. Xiong, Qizhou, 2015. "Censored Fractional Response Model: Estimating Heterogeneous Relative Risk Aversion of European Households," IWH Discussion Papers 11/2015, Halle Institute for Economic Research (IWH).
  2. Herings, P.J.J. & Kubler, F., 1999. "The Robustness of the CAPM - A Computational Approach," Discussion Paper 1999-54, Tilburg University, Center for Economic Research.
  3. Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009.
  4. Takashi Kamihigashi & John Stachurski, 2014. "Seeking Ergodicity in Dynamic Economies," Discussion Paper Series DP2014-38, Research Institute for Economics & Business Administration, Kobe University.
  5. Malte Mosel, 2009. "Competition, imitation, and R&D productivity in agrowth model with sector-specific patent protection," Working Papers 084, Bavarian Graduate Program in Economics (BGPE).
  6. Kim, Jae H. & Ji, Philip Inyeob, 2011. "Mean-reversion in international real interest rates," Economic Modelling, Elsevier, vol. 28(4), pages 1959-1966, July.
  7. Vadym Lepetyuk & Christian A. Stoltenberg, 2013. "Policy Announcements and Welfare," Economic Journal, Royal Economic Society, vol. 123, pages 962-997, 09.
  8. Grossmann, Volker & Steger, Thomas M. & Trimborn, Timo, 2010. "Dynamically Optimal R\& D Subsidization," Hannover Economic Papers (HEP) dp-453, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  9. Robert J. Barro & José F. Ursúa, 2012. "Rare Macroeconomic Disasters," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 83-109, 07.
  10. Charles I. Jones & John C. Williams, 1999. "Too Much of a Good Thing? The Economics of Investment in R&D"," Working Papers 99015, Stanford University, Department of Economics.
  11. Aizenman, Joshua, 1998. "Buffer stocks and precautionary savings with loss aversion," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 931-947, December.
  12. Juan M. Londono, 2011. "The variance risk premium around the world," International Finance Discussion Papers 1035, Board of Governors of the Federal Reserve System (U.S.).
  13. Bidarkota, Prasad V. & McCulloch, J. Huston, 2003. "Consumption asset pricing with stable shocks--exploring a solution and its implications for mean equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 27(3), pages 399-421, January.
  14. Jack Meyer, 2010. "Representing risk preferences in expected utility based decision models," Annals of Operations Research, Springer, vol. 176(1), pages 179-190, April.
  15. Kent Daniel & David Hirshleifer, 2015. "Overconfident Investors, Predictable Returns, and Excessive Trading," Journal of Economic Perspectives, American Economic Association, vol. 29(4), pages 61-88, Fall.
  16. Aase, Knut K., 2014. "The Life Cycle Model with Recursive Utility: New insights on optimal consumption," Discussion Papers 2014/19, Department of Business and Management Science, Norwegian School of Economics, revised 16 Oct 2015.
  17. Gomme, P. & Greenwood, J., 1992. "On the Cyclical Allocation of Risk," UWO Department of Economics Working Papers 9205, University of Western Ontario, Department of Economics.
  18. Paul Gomme & Damba Lkhagvasuren, 2013. "Calibration and simulation of DSGE models," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 24, pages 575-592 Edward Elgar Publishing.
  19. Tiago V. de V. Cavalcanti & Anne P. Villamil & Antonio Antunes, 2007. "On the Welfare and Distributional Implications of Intermediation Costs," 2007 Meeting Papers 621, Society for Economic Dynamics.
  20. Fisher, Jonas D. M. & Christiano, Lawrence J. & Boldrin, Michele, 1995. "Asset pricing lessons for modeling business cycles," UC3M Working papers. Economics 3915, Universidad Carlos III de Madrid. Departamento de Economía.
  21. Ñíguez, Trino-Manuel & Paya, Ivan & Peel, David, 2016. "Pure higher-order effects in the portfolio choice model," Finance Research Letters, Elsevier, vol. 19(C), pages 255-260.
  22. Robert J. Shiller, 1998. "Social Security and Institutions for Intergenerational, Intragenerational, and International Risk Sharing," NBER Working Papers 6641, National Bureau of Economic Research, Inc.
  23. Anufriev, Mikhail & Bottazzi, Giulio, 2010. "Market equilibria under procedural rationality," Journal of Mathematical Economics, Elsevier, vol. 46(6), pages 1140-1172, November.
  24. Phillip A. Braun & George M. Constantinides & Wayne E. Ferson, 1992. "Time Nonseparability in Aggregate Consumption: International Evidence," NBER Working Papers 4104, National Bureau of Economic Research, Inc.
  25. Eckhard Platen & Renata Rendek, 2012. "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series 322, Quantitative Finance Research Centre, University of Technology, Sydney.
  26. Nosbusch, Yves & Campbell, John, 2007. "Intergenerational Risksharing and Equilibrium Asset Prices," Scholarly Articles 3196340, Harvard University Department of Economics.
  27. Christian Baker & Jeremy Bejarano & Richard W. Evans & Kenneth L. Judd & Kerk L. Phillips, 2014. "A Big Data Approach to Optimal Sales Taxation," NBER Working Papers 20130, National Bureau of Economic Research, Inc.
  28. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  29. Narayana Kocherlakota & Luigi Pistaferri, 2009. "Asset Pricing Implications of Pareto Optimality with Private Information," Journal of Political Economy, University of Chicago Press, vol. 117(3), pages 555-590, 06.
  30. Roger Farmer, 2014. "Asset Prices in a Lifecycle Economy," NBER Working Papers 19958, National Bureau of Economic Research, Inc.
  31. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
  32. Parantap Basu & Andrei Semenovz & Kenji Wadax, 2007. " Uninsurable Risk and Financial Market Puzzles," CDMA Conference Paper Series 0701, Centre for Dynamic Macroeconomic Analysis.
  33. Pavlo R. Blavatskyy, 2016. "Risk preferences of Australian academics: where retirement funds are invested tells the story," Theory and Decision, Springer, vol. 80(3), pages 411-426, March.
  34. Constantinides,George & Duffie,Darrel, 1992. "Asset pricing with heterogeneous consumers," Discussion Paper Serie A 381, University of Bonn, Germany.
  35. Polkovnichenko, Valery, 2004. "Limited stock market participation and the equity premium," Finance Research Letters, Elsevier, vol. 1(1), pages 24-34, March.
  36. Thomas A. Stephens & Jean-Robert Tyran, 2016. "Money Illusion and Household Finance," Discussion Papers 16-14, University of Copenhagen. Department of Economics.
  37. Dr Jon D. Stanford & Michael E. Drew, 2003. "A Review Of Australia's Compulsory Superannuation Scheme After A Decade," Discussion Papers Series 322, School of Economics, University of Queensland, Australia.
  38. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc.
  39. Mouhua Liao, "undated". "Periodic, Complete-participation Trade in the Lagos-Rocheteau Model," WISE Working Papers 2014-08-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  40. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2349-2369, July.
  41. repec:dau:papers:123456789/331 is not listed on IDEAS
  42. Maurice Obstfeld, 1992. "Risk-Taking, Global Diversification, and Growth," NBER Working Papers 4093, National Bureau of Economic Research, Inc.
  43. Hopfensitz, Astrid & Wranik, Tanja, 2009. "How to adapt to changing markets: experience and personality in a repeated investment game," MPRA Paper 17835, University Library of Munich, Germany.
  44. Ivan Jaccard, 2007. "Asset Pricing, Habit Memory, and the Labor Market," Swiss Finance Institute Research Paper Series 07-23, Swiss Finance Institute, revised Nov 2007.
  45. Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
  46. Eckhard Platen, 2008. "The Law of Minimal Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney.
  47. Mirakhor, Abbas, 2007. "Islamic Finance and Globalization: A Convergence?," MPRA Paper 56026, University Library of Munich, Germany.
  48. Paul Levine, 2010. "Monetary Policy in an Uncertain World : Probability Models and the Design of Robust Monetary Rules," Macroeconomics Working Papers 21853, East Asian Bureau of Economic Research.
  49. Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 431-459, September.
  50. Smoluk, H. J. & VanderLinden, David, 2004. "Catching up with the Americans," Review of Financial Economics, Elsevier, vol. 13(3), pages 211-229.
  51. Guiso, Luigi, 2009. "A test of narrow framing and its origin," CEPR Discussion Papers 7112, C.E.P.R. Discussion Papers.
  52. Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 1999. "The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program," Center for Financial Institutions Working Papers 99-18, Wharton School Center for Financial Institutions, University of Pennsylvania.
  53. 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.
  54. Raphael A. Espinoza & Charles Goodhart & Dimitrios P. Tsomocos, 2007. "Endogenous state prices, liquidity, default, and the yield curve," LSE Research Online Documents on Economics 24479, London School of Economics and Political Science, LSE Library.
  55. Stutzer, Michael, 1995. "A Bayesian approach to diagnosis of asset pricing models," Journal of Econometrics, Elsevier, vol. 68(2), pages 367-397, August.
  56. Xiang Yu, 2011. "An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations," Papers 1112.2939, arXiv.org, revised Aug 2014.
  57. Danyang Xie, 2000. "Power Risk Aversion Utility Functions," Annals of Economics and Finance, Society for AEF, vol. 1(2), pages 265-282, November.
  58. Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
  59. Julio Davila & Jay H. Hong & Per Krusell & José-Victor Rios Rull, 2005. "Constrained efficiency in the neoclassical growth model with uninsurable idiosyncratic shocks," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00196183, HAL.
  60. Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
  61. Andrew B. Abel, "undated". "The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation," Rodney L. White Center for Financial Research Working Papers 03-99, Wharton School Rodney L. White Center for Financial Research.
  62. Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath, 2010. "Liquidity Risk of Corporate Bond Returns: A Conditional Approach," NBER Working Papers 16394, National Bureau of Economic Research, Inc.
  63. 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.
  64. Pablo Fernández & Andrada Bilan, 2013. "110 Common Errors in Company Valuations," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 33-78.
  65. 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.
  66. Anna Florio, 2013. "The Implied Consumer Euler Rate: What Role for Financial Frictions?," CESifo Economic Studies, CESifo, vol. 59(4), pages 650-675, December.
  67. Pancrazi, Roberto, 2014. "How beneficial was the Great Moderation after all?," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 73-90.
  68. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 693-708, 08.
  69. Lioui, Abraham & Poncet, Patrice, 2012. "On model ambiguity and money neutrality," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1020-1033.
  70. Viktors Ajevskis, 2014. "Semi-Global Solutions to DSGE Models: Perturbation around a Deterministic Path," Working Papers 2014/01, Latvijas Banka.
  71. Andrei SEMENOV, "undated". "High-Order Consumption Moments and Asset Pricing," EcoMod2004 330600127, EcoMod.
  72. Burkhard Heer & Alfred Maussner & Bernd Süssmuth, 2013. "Cyclical Asset Returns in the Consumption and Investment Goods Sector," CESifo Working Paper Series 4364, CESifo Group Munich.
  73. Eyal Ert & Ido Erev, 2010. "On the Descriptive Value of Loss Aversion in Decisions under Risk," Harvard Business School Working Papers 10-056, Harvard Business School.
  74. Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Research 143, National Bank of Belgium.
  75. Giovannetti, Bruno C., 2013. "Asset pricing under quantile utility maximization," Review of Financial Economics, Elsevier, vol. 22(4), pages 169-179.
  76. Shmuel Kandel & Robert F. Stambaugh, 1991. "Asset Returns and Intertemporal Preferences," NBER Working Papers 3633, National Bureau of Economic Research, Inc.
  77. Tam, Henry & Lai, Liona, 2009. "Explaining the equity premium in Hong Kong with C-CAPM: The use of emigration growth as an instrument," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 520-533, July.
  78. Christiane Clemens & Maik Heinemann, 2008. "On Entrepreneurial Risk–Taking and the Macroeconomic Effects of Financial Constraints," Working Paper Series in Economics 103, University of Lüneburg, Institute of Economics.
  79. Phillip M Johnson, 2002. "Essays on Capital Markets: Frictions and Social Forces," Levine's Working Paper Archive 618897000000000052, David K. Levine.
  80. Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," NBER Working Papers 2829, National Bureau of Economic Research, Inc.
  81. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-.
  82. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  83. Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-00944920, HAL.
  84. Buranavityawut, Nonthipoth & Freeman, Mark C. & Freeman, Nisih, 2006. "Has the equity premium been low for 40 years?," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 191-205, August.
  85. Ma, Jun & Nelson, Charles R., 2010. "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Economics Series 256, Institute for Advanced Studies.
  86. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2006. "The Accrual Anomaly: Risk or Mispricing?," Working Paper Series 2006-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  87. Laurent E. Calvet, 1999. "Incomplete Markets and Volatility," Harvard Institute of Economic Research Working Papers 1865, Harvard - Institute of Economic Research.
  88. Shapira, Zur & Venezia, Itzhak, 2008. "On the preference for full-coverage policies: Why do people buy too much insurance?," Journal of Economic Psychology, Elsevier, vol. 29(5), pages 747-761, November.
  89. Paul Gomme, 1991. "Money and growth revisited," Discussion Paper / Institute for Empirical Macroeconomics 55, Federal Reserve Bank of Minneapolis.
  90. Jean-Pierre Danthine & Xiangrong Jin, 2007. "Intangible capital, corporate valuation and asset pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(1), pages 157-177, July.
  91. Reinhart, Carmen M. & Reinhart, Vincent & Rogoff, Kenneth, 2015. "Dealing with Debt," Working Paper Series rwp15-009, Harvard University, John F. Kennedy School of Government.
  92. Aaron Tornell, 2000. "Robust-H-infinity Forecasting and Asset Pricing Anomalies," NBER Working Papers 7753, National Bureau of Economic Research, Inc.
  93. Iza Padilla, María Amaya & Echevarría Olave, Cruz Ángel, 2008. "Social Security, Education, Retirement and Growth," DFAEII Working Papers 2008-01, University of the Basque Country - Department of Foundations of Economic Analysis II.
  94. Berling, Peter, 2008. "Real options valuation principle in the multi-period base-stock problem," Omega, Elsevier, vol. 36(6), pages 1086-1095, December.
  95. Juan Rojas & Carlos Urrutia, 2004. "Social Security Reform with Uninsurable Income Risk and Endogenous Borrowing Constraints," Macroeconomics 0410010, EconWPA.
  96. Hara, Chiaki, 2012. "Asset prices, trading volumes, and investor welfare in markets with transaction costs," CIS Discussion paper series 556, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
  97. Rhys Bidder & Matthew E. Smith, 2013. "Doubts and variability: a robust perspective on exotic consumption series," Working Paper Series 2013-28, Federal Reserve Bank of San Francisco.
  98. Michael Donadelli & Federico Silvestri, 2010. "Why Should Naive Investors Avoid Stock Markets ?," Working Papers 2010_19, Department of Economics, University of Venice "Ca' Foscari".
  99. Pascal St-Amour, 2005. "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 05.04, Université de Lausanne, Faculté des HEC, DEEP.
  100. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
  101. Hua He and David M. Modest., 1992. "Market Frictions and Consumption-Based Asset Pricing," Research Program in Finance Working Papers RPF-223, University of California at Berkeley.
  102. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  103. LiCalzi, Marco & Pellizzari, Paolo, 2006. "Breeds of risk-adjusted fundamentalist strategies in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 359(C), pages 619-633.
  104. Volker Böhm & Tomoo Kikuchi & George Vachadze, 2008. "Asset Pricing and Productivity Growth: The Role of Consumption Scenarios," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 163-181, September.
  105. Jawwad Noor, 2005. "Temptation, Welfare and Revealed Preference," Boston University - Department of Economics - Working Papers Series WP2005-15, Boston University - Department of Economics.
  106. Sanvicente, Antonio Zoratto & Carvalho, Mauricio Rocha Alves de, 2012. "Determinants of the Implied Equity Risk Premium in Brazil," Insper Working Papers wpe_281, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  107. Herings P. Jean-Jacques & Kubler Felix, 2002. "Computing Equilibria in Finance Economies," Research Memorandum 010, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  108. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
  109. Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros, 2012. "Displacement risk and asset returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 491-510.
  110. 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.
  111. Tom Engsted & Stig V. Møller, 2008. "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns," CREATES Research Papers 2008-12, Department of Economics and Business Economics, Aarhus University.
  112. Quiggin, John, 2004. "Looking back on microeconomic reform: a skeptical viewpoint," Risk and Sustainable Management Group Working Papers 151502, University of Queensland, School of Economics.
  113. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-32, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  114. 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.
  115. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach," PIER Working Paper Archive 04-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  116. Fernando Ballabriga, 2002. "The development of quantitative empirical analysis in macroeconomics," European Economy - Economic Papers 2008 - 2015 168, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  117. Jun Tu, 2010. "Is Regime Switching in Stock Returns Important in Portfolio Decisions?," Management Science, INFORMS, vol. 56(7), pages 1198-1215, July.
  118. Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
  119. Kausik Gangopadhyay & Atsushi Nishimura & Rupayan Pal, 2012. "Co-movement of Skill Premium and Stock Prices," Working Papers id:5174, eSocialSciences.
  120. Monika Piazzesi & Martin Schneider & Selale Tuzel, 2004. "Housing, Consumption and Asset Pricing," 2004 Meeting Papers 357c, Society for Economic Dynamics.
  121. Joseph Eisenhauer & Luigi Ventura, 2003. "Survey measures of risk aversion and prudence," Applied Economics, Taylor & Francis Journals, vol. 35(13), pages 1477-1484.
  122. Skander J. Van den Heuvel, 2008. "Temporal Risk Aversion and Asset Prices," 2008 Meeting Papers 46, Society for Economic Dynamics.
  123. Edward C. Prescott, 1986. "Theory ahead of business cycle measurement," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 9-22.
  124. Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper 2011/18, Norges Bank.
  125. Lewellen, Jonathan, 2010. "Accounting anomalies and fundamental analysis: An alternative view," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 455-466, December.
  126. John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  127. Azam Mohammadzadeh & Mohammad Nabi Shahiki Tash & Reza Roshan, 2016. "Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1884-1894.
  128. Finn Martensen, 2013. "Globalization, Unemployment, and Product Cycles: Short- and Long-Run Effects," Working Paper Series of the Department of Economics, University of Konstanz 2013-16, Department of Economics, University of Konstanz.
  129. Zeisberger, Stefan & Langer, Thomas & Trede, Mark, 2007. "A note on myopic loss aversion and the equity premium puzzle," Finance Research Letters, Elsevier, vol. 4(2), pages 127-136, June.
  130. Matthew Rabin & Dimitri Vayanos, 2010. "The Gambler's and Hot-Hand Fallacies: Theory and Applications," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 730-778.
  131. Emilio Espino, 2006. "Equilibrium Portfolios in the Neoclassical Growth Model," 2006 Meeting Papers 92, Society for Economic Dynamics.
  132. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc.
  133. Elena Marquez de la Cruz & Ana Martinez-Canete & Ines Perez-Soba Aguilar, 2007. "Intertemporal preference parameters for some European monetary union countries," Applied Economics, Taylor & Francis Journals, vol. 39(8), pages 997-1011.
  134. Hanno Lustig & Stijn Van Nieuwerburgh, 2003. "Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective," NBER Working Papers 9959, National Bureau of Economic Research, Inc.
  135. Mehra, Rajnish & Sah, Raaj, 2002. "Mood fluctuations, projection bias, and volatility of equity prices," Journal of Economic Dynamics and Control, Elsevier, vol. 26(5), pages 869-887, May.
  136. Pavlo Blavatskyy & Ganna Pogrebna, 2010. "Reevaluating evidence on myopic loss aversion: aggregate patterns versus individual choices," Theory and Decision, Springer, vol. 68(1), pages 159-171, February.
  137. Maurice Obstfeld., 1994. "International Capital Mobility in the 1990s," Center for International and Development Economics Research (CIDER) Working Papers C94-037, University of California at Berkeley.
  138. Fernando Restoy & Philippe Weil, 1998. "Approximate Equilibrium Asset Prices," Sciences Po publications 6611, Sciences Po.
  139. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," CEPR Discussion Papers 5513, C.E.P.R. Discussion Papers.
  140. Lettau, Martin, 1998. "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers 1795, C.E.P.R. Discussion Papers.
  141. Akdeniz, Levent & Dechert, W. Davis, 2007. "The equity premium in Brock's asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2263-2292, July.
  142. Pedro Rui Mazeda Gil & Paulo Brito & Óscar Afonso, 2008. "A Model of Quality Ladders with Horizontal Entry," FEP Working Papers 296, Universidade do Porto, Faculdade de Economia do Porto.
  143. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44 Edward Elgar Publishing.
  144. Strulik, Holger & Werner, Katharina, 2013. "50 is the new 30: Long-run trends of schooling and retirement explained by human aging," Center for European, Governance and Economic Development Research Discussion Papers 152, University of Goettingen, Department of Economics.
  145. Romeo Tedongap, 2007. "Consumption Volatility and the Cross-Section of Stock Returns," 2007 Meeting Papers 662, Society for Economic Dynamics.
  146. Georges Prat & Remzi Uctum, 2010. "Anticipations, prime de risque et structure par terme des taux d’intérêt : une analyse des comportements d’experts," Discussion Papers (REL - Recherches Economiques de Louvain) 2010024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  147. Stafano Athanasoulis & Eric van Wincoop, 1998. "Risksharing within the United States: what have financial markets and fiscal federalism accomplished?," Research Paper 9808, Federal Reserve Bank of New York.
  148. Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
  149. Gaowang Wang & Juanjuan Yan, 2016. "Robustness, the Spirit of Capitalism and Asset Pricing," Economics Bulletin, AccessEcon, vol. 36(4), pages 1892-1903.
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