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Citations for "Asset Prices in an Exchange Economy"

by Lucas, Robert E, Jr

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  1. Xavier Gabaix & David Laibson, 2002. "The 6D Bias and the Equity Premium Puzzle," Harvard Institute of Economic Research Working Papers 1947, Harvard - Institute of Economic Research.
  2. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
  3. John Y. Campbell, 1984. "Bond and Stock Returns in a Simple Exchange Model," NBER Working Papers 1509, National Bureau of Economic Research, Inc.
  4. René Garcia & Richard Luger & Eric Renault, 2000. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables," Working Papers 2000-56, Centre de Recherche en Economie et Statistique.
  5. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
  6. Frank Niehaus, 2001. "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Computing in Economics and Finance 2001 60, Society for Computational Economics.
  7. Williamson, Stephen D. & Wright, Randall, 2010. "New Monetarist Economics: Methods," MPRA Paper 21486, University Library of Munich, Germany.
  8. Kubler, Felix & Polemarchakis, Herakles, 2015. "The identification of beliefs from asset demand," The Warwick Economics Research Paper Series (TWERPS) 1087, University of Warwick, Department of Economics.
  9. John H. Cochrane, 1989. "Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle," NBER Working Papers 3212, National Bureau of Economic Research, Inc.
  10. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January.
  11. Akkoyun, H. Cagri & Arslan, Yavuz & Kanik, Birol, 2013. "Housing prices and transaction volume," Journal of Housing Economics, Elsevier, vol. 22(2), pages 119-134.
  12. Douch, Mohamed, 2004. "Equity Premiums In Small Open Economy," MPRA Paper 14613, University Library of Munich, Germany.
  13. Hiroshi Ishijima & Akira Maeda, 2015. "Real Estate Pricing Models: Theory, Evidence, and Implementation," Asia-Pacific Financial Markets, Springer, vol. 22(4), pages 369-396, November.
  14. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  15. B. Ravikumar & Enchuan Shao, 2010. "Search Frictions and Asset Price Volatility," Staff Working Papers 10-1, Bank of Canada.
  16. Gollier, Christian, 2013. "A theory of rational short-termism with uncertain betas," IDEI Working Papers 771, Institut d'Économie Industrielle (IDEI), Toulouse.
  17. Leonid Kogan & Stephen A. Ross & Jiang Wang & Mark M. Westerfield, 2006. "The Price Impact and Survival of Irrational Traders," Journal of Finance, American Finance Association, vol. 61(1), pages 195-229, 02.
  18. L. Sarno & M. P. Taylor, 2003. "An empirical investigation of asset price bubbles in Latin American emerging financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 635-643.
  19. Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu, 2013. "Pricing innovations in consumption growth: A re-evaluation of the recursive utility model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4465-4475.
  20. Bo Sun, 2010. "Asset Returns with Earnings Management," 2010 Meeting Papers 5, Society for Economic Dynamics.
  21. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 99-109, February.
  22. Canegrati, Emanuele, 2008. "A Non-Random Walk down Canary Wharf," MPRA Paper 9871, University Library of Munich, Germany.
  23. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
  24. 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.
  25. Canton, Erik, 2001. "Fiscal policy in a stochastic model of endogenous growth," Economic Modelling, Elsevier, vol. 18(1), pages 19-47, January.
  26. Bravo, Francesco & Crudu, Federico, 2012. "Efficient bootstrap with weakly dependent processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3444-3458.
  27. 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.
  28. Nosbusch, Yves & Campbell, John, 2007. "Intergenerational Risksharing and Equilibrium Asset Prices," Scholarly Articles 3196340, Harvard University Department of Economics.
  29. Juergen Huber & Martin Shubik & Shyam Sunder, 2011. "Financing of Public Goods through Taxation in a General Equilibrium Economy: Experimental Evidence," Cowles Foundation Discussion Papers 1830R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2013.
  30. Walsh, Carl E, 1984. "Interest Rate Volatility and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(2), pages 133-50, May.
  31. Alvaro Sandroni, 1997. "Learning Rare Events," Discussion Papers 1199, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  32. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
  33. Ang, Andrew & Liu, Jun, 2005. "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management qt1s25177n, Anderson Graduate School of Management, UCLA.
  34. Eagle, David, 2007. "Revealing the naked truth behind price determinacy, infinite-horizon rational expectations, and inflation targeting," MPRA Paper 1538, University Library of Munich, Germany.
  35. Peter Fortune, 1991. "Stock market efficiency: an autopsy?," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 17-40.
  36. S. Rebelo., 2010. "Real Business Cycle Models: Past, Present, and Future," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 10.
  37. Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
  38. Alejandro Bernales & Massimo Guidolin, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers 565, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  39. Athanasios Geromichalos & Lucas Herrenbrueck & Kevin Salyer, 2013. "A Search-Theoretic Model of the Term Premium," Working Papers 138, University of California, Davis, Department of Economics.
  40. Laibson, David I. & Fuster, Andreas & Mendel, Brock, 2010. "Natural Expectations and Macroeconomic Fluctuations," Scholarly Articles 9938147, Harvard University Department of Economics.
  41. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
  42. Takashi Kamihigashi, 2015. "A Simple No-Bubble Theorem for Deterministic Sequential Economies," Discussion Paper Series DP2015-38, Research Institute for Economics & Business Administration, Kobe University.
  43. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Sciences Po publications info:hdl:2441/c8dmi8nm4pd, Sciences Po.
  44. Takashi Kamihigashi, 2000. "Necessity of Transversality Conditions for Stochastic Problems," Discussion Paper Series 115, Research Institute for Economics & Business Administration, Kobe University.
  45. Lukáš Vácha & Miloslav Vošvrda, 2005. "Heterogeneous Agents Model with the Worst Out Algorithm," Working Papers IES 91, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2005.
  46. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  47. John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003. "Two Trees: Asset Price Dynamics Induced by Market Clearing," NBER Working Papers 10116, National Bureau of Economic Research, Inc.
  48. Yoichiro Fujii & Yutaka Nakamura, 2010. "Equity premium under multiple background risks," Economics Bulletin, AccessEcon, vol. 30(2), pages 933-939.
  49. Schwaiger, Walter S. A., 1995. "A note on GARCH predictable variances and stock market efficiency," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 949-953, August.
  50. George W. Evans & Roger Guesnerie & Bruce McGough, 2014. "Eductive Stability in Real Business Cycle Models," CDMA Working Paper Series 201406, Centre for Dynamic Macroeconomic Analysis.
  51. Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  52. Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2002. "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 02.17, Université de Lausanne, Faculté des HEC, DEEP.
  53. Chang, Sheng-Kai, 2007. "A simple asset pricing model with social interactions and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1300-1325, April.
  54. David Andolfatto & Fernando M. Martin, 2012. "Information disclosure and exchange media," Working Papers 2012-012, Federal Reserve Bank of St. Louis.
  55. Alexander Ludwig & Alexander Zimper, 2012. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Working Papers 296, Economic Research Southern Africa.
  56. Adam, Klaus & Beutel, Johannes & Marcet, Albert, 2014. "Stock Price Booms and Expected Capital Gains," CEPR Discussion Papers 9988, C.E.P.R. Discussion Papers.
  57. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, EconWPA, revised 16 Nov 2001.
  58. Gesteira Costa, Marcos & Carrasco-Gutierrez, Carlos Enrique, 2015. "Testing the Optimality of Consumption Decisions of the Representative Household: Evidence from Brazil," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 69(3), September.
  59. Felipe Montt, 1982. "Un Modelo de Equilibrio Dinámico para Recursos Agotables," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 19(57), pages 217-242.
  60. 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.
  61. Pancrazi, Roberto, 2014. "How beneficial was the Great Moderation after all?," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 73-90.
  62. Aase, Knut K., 2014. "Heterogeneity and limited stock market Participation," Discussion Papers 2014/5, Department of Business and Management Science, Norwegian School of Economics, revised 25 Mar 2015.
  63. Martin Boileau & Michel Normandin, 2000. "General Equilibrium Macroeconomic Models and Superior Information," Cahiers de recherche CREFE / CREFE Working Papers 114, CREFE, Université du Québec à Montréal.
  64. Wright, Randall & Trejos, Alberto, 2014. "Search-Based Models of Money and Finance: An Integrated Approach," Working Papers 709, Federal Reserve Bank of Minneapolis.
  65. 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.
  66. Orazio P. Attanasio, 1998. "Consumption Demand," NBER Working Papers 6466, National Bureau of Economic Research, Inc.
  67. Stockman, Alan C. & Svensson, Lars E. O., 1987. "Capital flows, investment, and exchange rates," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 171-201, March.
  68. Hatchondo, Juan Carlos & Krusell, Per & Schneider, Martin, 2014. "Asset Trading and Valuation with Uncertain Exposure," Working Paper 14-5, Federal Reserve Bank of Richmond.
  69. Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  70. Charles Ka Yui Leung & Dandan Feng, 2004. "Testing Alternative Theories of Property Price-Trading Volume with Commercial Real Estate Market Data," Discussion Papers 00003, Chinese University of Hong Kong, Department of Economics.
  71. Fernando Restoy & Philippe Weil, 1995. "Approximate Equilibrium Asset Prices," Working Papers 9515, Banco de España;Working Papers Homepage.
  72. Bernard Dumas, 1989. "Perishable Investment and Hysteresis in Capital Formation," NBER Working Papers 2930, National Bureau of Economic Research, Inc.
  73. Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics.
  74. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
  75. Wayne E. Ferson & Andrew F. Siegel, 2003. "Stochastic Discount Factor Bounds with Conditioning Information," Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 567-595.
  76. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
  77. Beker, Pablo & Emilio ESPINO, 2015. "Short-Term Momentum and Long-Term Reversal of Returns under Limited Enforceability and Belief Heterogeneity," CRETA Online Discussion Paper Series 11, Centre for Research in Economic Theory and its Applications CRETA.
  78. Cassano, Mark A., 1999. "Learning and mean reversion in asset returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(4), pages 529-545.
  79. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1995. "Asset pricing lessons for modeling business cycles," Working Papers 560, Federal Reserve Bank of Minneapolis.
  80. Fabio ALESSANDRINI, 2003. "Do Financial Variables Provide Information about the Swiss Business Cycle ?," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 03.02, Université de Lausanne, Faculté des HEC, DEEP.
  81. Huntley Schaller & Simon van Norden, 1997. "Fads or Bubbles?," Staff Working Papers 97-2, Bank of Canada.
  82. Benjamin Eden, 2010. "Consumption Smoothing and the Equity Premium," Vanderbilt University Department of Economics Working Papers 1011, Vanderbilt University Department of Economics.
  83. Charles K. Y. Leung & Garion C. K. Lau & Youngman C. F. Leong, 2002. "Testing Alternative Theories of the Property Price-Trading Volume Correlation," Journal of Real Estate Research, American Real Estate Society, vol. 23(3), pages 253-264.
  84. Arvind Krishnamurthy & Zhiguo He, 2009. "A Model of Capital and Crises," 2009 Meeting Papers 85, Society for Economic Dynamics.
  85. Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  86. Gandré, Pauline, 2015. "Asset prices and information disclosure under recency-biased learning," CEPREMAP Working Papers (Docweb) 1515, CEPREMAP.
  87. Laurence Broze & Olivier Scaillet & Jean-Michel Zakoïan & Claude Jessua, 1996. "Estimation de modèles de la structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 47(3), pages 511-519.
  88. Richard H. Clarida, 1984. "On the Stochastic Steady-State Behavior of Optimal Asset Accumulation in the Presence of Random Wage Fluctuations and Incomplete Markets," Cowles Foundation Discussion Papers 701, Cowles Foundation for Research in Economics, Yale University.
  89. Jizheng Huang & Heng-fu Zou, 2011. "Asset pricing and the Modigliani-Miller theorem with the spirit of capitalism," CEMA Working Papers 456, China Economics and Management Academy, Central University of Finance and Economics.
  90. Volker Böhm & Carl Chiarella, 2005. "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 61-97.
  91. repec:ebl:ecbull:v:7:y:2004:i:2:p:1-7 is not listed on IDEAS
  92. Christopher J. Neely & Amlan Roy & Charles H. Whiteman, 1999. "Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM," Working Papers 1995-002, Federal Reserve Bank of St. Louis.
  93. Bonomo, M. & Garcia, R., 1991. "Consumption and Equilibrium Asset Pricing: an Empirical Assessment," Cahiers de recherche 9126, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  94. Nathan S. Balke & Mark E. Wohar, 2002. "Low-Frequency Movements in Stock Prices: A State-Space Decomposition," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 649-667, November.
  95. Petr Zemčík, 2001. "An empirical investigation of the consumption based Capital Asset Pricing Model using a modified variance-ratio test," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(1), pages 1-22, March.
  96. Frederik Lundtofte, 2009. "Can An 'Estimation Factor' Help Explain Cross-Sectional Returns?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5-6), pages 705-724.
  97. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2000. "Money, interest rates, and exchange rates with endogenously segmented asset markets," Working Papers 605, Federal Reserve Bank of Minneapolis.
  98. Lior Menzly & Tano Santos & Pietro Veronesi, 2002. "The Time Series of the Cross Section of Asset Prices," NBER Working Papers 9217, National Bureau of Economic Research, Inc.
  99. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
  100. Tin Cheuk Leung & Kwok Ping Tsang, 2011. "Anchoring and Loss Aversion in the Housing Market: Implications on Price Dynamics," Working Papers 282011, Hong Kong Institute for Monetary Research.
  101. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
  102. Dominique Pepin, 2016. "The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model," Working Papers hal-01299834, HAL.
  103. Daniele Coen-Pirani, 2000. "Margin Requirements and Equilibrium Asset Prices," GSIA Working Papers 2001-E5, Carnegie Mellon University, Tepper School of Business.
  104. Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004. "Consumption equilibrium asset pricing in two Asian emerging markets," Journal of Asian Economics, Elsevier, vol. 15(2), pages 305-319, April.
  105. Venky Venkateswaran & Randall Wright, 2013. "Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity," NBER Working Papers 19009, National Bureau of Economic Research, Inc.
  106. Christian Schoder, 2013. "The fundamentals of sovereign debt sustainability: Evidence from 15 OECD countries," IMK Working Paper 107-2013, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  107. Ioannis Karatzas & Martin Shubik & William D. Sudderth, 1992. "Construction of Stationary Markov Equilibria in a Strategic Market Game," Cowles Foundation Discussion Papers 1033, Cowles Foundation for Research in Economics, Yale University.
  108. Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2013. "Salience and Asset Prices," NBER Working Papers 18708, National Bureau of Economic Research, Inc.
  109. Olivier Allais, 2004. "Local Substitution and Habit Persistence: Matching the Moments of the Equity Premium and the Risk-Free Rate," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 265-296, April.
  110. Bansal, Ravi & Dahlquist, Magnus, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers.
  111. Takeoka, Norio, 2003. "On the consistency of stationary Markov equilibria with an exogenous distribution," Journal of Economic Theory, Elsevier, vol. 113(2), pages 316-324, December.
  112. Ravi Jagannathan & Zhenyu Wang, 2001. "Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods," NBER Working Papers 8098, National Bureau of Economic Research, Inc.
  113. Chenghu Ma & Jiankang Zhang, 2013. "Aggregation in Incomplete Market with General Utility Functions," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  114. Audrino, Francesco & Meier, Pirmin, 2012. "Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines," Economics Working Paper Series 1210, University of St. Gallen, School of Economics and Political Science.
  115. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 325-349.
  116. Holmes, Mark J. & Dutu, Richard & Cui, Xiaoman, 2009. "Real interest rates, inflation and the open economy: A regime-switching perspective on Australia and New Zealand," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 351-360, March.
  117. Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "How Much Does Household Collateral Constrain Regional Risk Sharing?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 265-294, April.
  118. Clemens Sialm, 2005. "Tax Changes and Asset Pricing: Time-Series Evidence," NBER Working Papers 11756, National Bureau of Economic Research, Inc.
  119. Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
  120. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
  121. 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.
  122. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
  123. Vaona, Andrea, 2011. "Four variations on fair wages and the Phillips curve," Kiel Working Papers 1713, Kiel Institute for the World Economy (IfW).
  124. Krebs, Tom, 1997. "Statistical Equilibrium in One-Step Forward Looking Economic Models," Journal of Economic Theory, Elsevier, vol. 73(2), pages 365-394, April.
  125. Michael Johannes & Lars Lochstoer & Pierre Collin-Dufresne, 2015. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," 2015 Meeting Papers 647, Society for Economic Dynamics.
  126. Lars Hansen & Thomas Sargent & Thomas Tallarini, . "Robust Permanent Income and Pricing," GSIA Working Papers 1997-51, Carnegie Mellon University, Tepper School of Business.
  127. Aase, Knut K, 2005. "Using Option Pricing Theory to Infer About Historical Equity Premiums," University of California at Los Angeles, Anderson Graduate School of Management qt3dd602j5, Anderson Graduate School of Management, UCLA.
  128. Rodriguez, Juan Carlos, 2006. "Consumption, the persistence of shocks, and asset price volatility," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1741-1760, November.
  129. Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc.
  130. Albert Marcet & David A. Marshall, 1994. "Solving nonlinear rational expectations models by parameterized expectations: convergence to stationary solutions," Discussion Paper / Institute for Empirical Macroeconomics 91, Federal Reserve Bank of Minneapolis.
  131. Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Discussion Papers 00017, Chinese University of Hong Kong, Department of Economics.
  132. Nunes, Mauricio & Da Silva, Sergio, 2005. "Política Monetária e Relação entre PIB Real e Mercado de Ações na Economia Brasileira
    [Monetary policy and the relationship between real GDP and stockmarket in the Brazilian economy]
    ," MPRA Paper 4158, University Library of Munich, Germany.
  133. Krueger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers.
  134. Sarolli, Gian Domenico, 2015. "Cleaning the gears: Counter-cyclical asset trading with financial transactions taxes," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 110-122.
  135. Chiang, Thomas C. & Doong, Shuh-Chyi, 1999. "Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data," Global Finance Journal, Elsevier, vol. 10(2), pages 187-200.
  136. Kwame Addae-Dapaah, 2001. "Valuation Accuracy - A Problematic Enquiry," ERES eres2001_101, European Real Estate Society (ERES).
  137. Harenberg, Daniel & Ludwig, Alexander, 2014. "Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk," MEA discussion paper series 201413, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
  138. Rubens Penha Cysne, 2005. "Equity-Premium Puzzle: Evidence From Brazilian Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 088, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  139. Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001 41, Society for Computational Economics.
  140. Blake LeBaron, 2010. "Heterogeneous Gain Learning and the Dynamics of Asset Prices," Working Papers 29, Brandeis University, Department of Economics and International Businesss School, revised Dec 2010.
  141. Jumah, Adusei & Kunst, Robert M., 2002. "On Mean Reversion in Real Interest Rates: An Application of Threshold Cointegtation," Economics Series 109, Institute for Advanced Studies.
  142. Per Krusell & Burhanettin Kuruscu & Anthony A. Smith, Jr., . "Time Orientation and Asset Prices," GSIA Working Papers 2001-13, Carnegie Mellon University, Tepper School of Business.
  143. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
  144. Lundtofte, Frederik & Leoni, Patrick, 2010. "Growth Forecasts, Belief Manipulation and Capital Markets," Working Papers 2010:8, Lund University, Department of Economics, revised 30 May 2012.
  145. Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge.
  146. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO.
  147. Helen Popper, 1995. "Term premia comovement in German, Japanese, and U.S. domestic markets," Open Economies Review, Springer, vol. 6(1), pages 49-62, January.
  148. Reyno SEYMORE & Margaret MABUGU & Jan VAN HEERDEN, . "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," EcoMod2010 259600155, EcoMod.
  149. Collard, Fabrice & Juillard, Michel, 1999. "Accuracy of stochastic perturbuation methods: the case of asset pricing models," CEPREMAP Working Papers (Couverture Orange) 9922, CEPREMAP.
  150. Min-Hsien Chiang & Chihwa Kao, 2005. "Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Model," Economics Bulletin, AccessEcon, vol. 3(10), pages 1-13.
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