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Citations for "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices"

by Heaton, John & Lucas, Deborah

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  1. Andrei SEMENOV, "undated". "High-Order Consumption Moments and Asset Pricing," EcoMod2004 330600127, EcoMod.
  2. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.
  3. Ricardo Lagos & Guillaume Rocheteau, 2007. "Liquidity in asset markets with search frictions," Working Paper 0706, Federal Reserve Bank of Cleveland.
  4. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Working Paper 0607, Federal Reserve Bank of Cleveland.
  5. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  6. Per Krusell & Anthony A. Smith & Jr., 1998. "Income and Wealth Heterogeneity in the Macroeconomy," Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 867-896, October.
  7. Jianjun Miao, 2004. "Competitive Equilibria of Economies with a Continuum of Consumers and Aggregate Shocks," CEMA Working Papers 460, China Economics and Management Academy, Central University of Finance and Economics.
  8. Lungu, Laurian & Minford, Patrick, 2005. "Explaining The Equity Risk Premium," CEPR Discussion Papers 5017, C.E.P.R. Discussion Papers.
  9. Peter Koudijs & Hans-Joachim Voth, 2014. "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," ECON - Working Papers 148, Department of Economics - University of Zurich.
  10. Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008. "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Staff Working Papers 08-16, Bank of Canada.
  11. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  12. Kent D. Daniel & David A. Marshall, 1998. "Consumption-based modeling of long-horizon returns," Working Paper Series WP-98-18, Federal Reserve Bank of Chicago.
  13. Maasoumi, Esfandiar & Lim, G.C. & Martin, Vance, 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," Departmental Working Papers 0604, Southern Methodist University, Department of Economics.
  14. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
  15. Lagos, Ricardo, 2010. "Asset prices and liquidity in an exchange economy," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 913-930, November.
  16. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  17. M. C. Freeman & I. R. Davidson, 1999. "Estimating the equity premium," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 236-246.
  18. Karen K. Lewis, 1997. "Are Countries with Official International Restrictions "Liquidity Constrained?"," NBER Working Papers 5991, National Bureau of Economic Research, Inc.
  19. Lewis, Karen K., 1997. "Are countries with official international restrictions 'liquidity constrained'?," European Economic Review, Elsevier, vol. 41(6), pages 1079-1109, June.
  20. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
  21. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  22. 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.
  23. Eva Carceles-Poveda, 2009. "Asset Prices and Business Cycles under Market Incompleteness," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(3), pages 405-422, July.
  24. Shahid Ebrahim, M. & Mathur, Ike, 2001. "Investor heterogeneity, market segmentation, leverage and the equity premium puzzle," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1897-1919, October.
  25. Karen K. Lewis, 1995. "What Can Explain the Apparent Lack of International Consumption Risk Sharing?," NBER Working Papers 5203, National Bureau of Economic Research, Inc.
  26. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
  27. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
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