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

Citations

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Cited by:

  1. 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.
  2. Ricardo Lagos & Guillaume Rocheteau, 2009. "Liquidity in Asset Markets With Search Frictions," Econometrica, Econometric Society, vol. 77(2), pages 403-426, March.
  3. Lagos, Ricardo, 2010. "Asset prices and liquidity in an exchange economy," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 913-930, November.
  4. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
  5. Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
  6. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Staff Report 375, Federal Reserve Bank of Minneapolis.
  7. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  8. 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.
  9. Karen K. Lewis, 1997. "Are Countries with Official International Restrictions "Liquidity Constrained?"," NBER Working Papers 5991, National Bureau of Economic Research, Inc.
  10. 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.
  11. 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.
  12. repec:eee:intfin:v:49:y:2017:i:c:p:15-31 is not listed on IDEAS
  13. Peter Koudijs & Joachim Voth, 2013. "Leverage and beliefs: Personal experience and risk taking in margin lending," Economics Working Papers 1343, Department of Economics and Business, Universitat Pompeu Fabra.
  14. 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.
  15. Miao, Jianjun, 2006. "Competitive equilibria of economies with a continuum of consumers and aggregate shocks," Journal of Economic Theory, Elsevier, vol. 128(1), pages 274-298, May.
  16. Lim, G.C. & Maasoumi, Esfandiar & Martin, Vance L., 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 173-189, August.
  17. 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.
  18. 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.
  19. 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.
  20. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  21. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  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. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  24. Laurian Lungu & Patrick Minford, 2006. "Explaining The Equity Risk Premium," Manchester School, University of Manchester, vol. 74(6), pages 670-700, December.
  25. Andrei SEMENOV, "undated". "High-Order Consumption Moments and Asset Pricing," EcoMod2004 330600127, EcoMod.
  26. Lewis, Karen K., 1997. "Are countries with official international restrictions 'liquidity constrained'?," European Economic Review, Elsevier, vol. 41(6), pages 1079-1109, June.
  27. 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.
  28. 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.
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