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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. Karen K. Lewis, 1997. "Are Countries with Official International Restrictions "Liquidity Constrained?"," NBER Working Papers 5991, National Bureau of Economic Research, Inc.
  2. 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.
  3. 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.
  4. Guillaume Rocheteau & Ricardo Lagos, 2008. "Liquidity in asset markets with search frictions," Working Paper 0804, Federal Reserve Bank of Cleveland.
  5. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Ricardo Lagos, 2005. "Asset Prices and Liquidity in an Exchange Economy," 2005 Meeting Papers 143, Society for Economic Dynamics.
  13. Lungu, Laurian & Minford, Patrick, 2005. "Explaining The Equity Risk Premium," CEPR Discussion Papers 5017, C.E.P.R. Discussion Papers.
  14. Andrei SEMENOV, . "High-Order Consumption Moments and Asset Pricing," EcoMod2004 330600127, EcoMod.
  15. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Working Paper 0607, Federal Reserve Bank of Cleveland.
  16. 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.
  17. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  18. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  19. 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.
  20. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  21. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
  22. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  23. 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.
  24. 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.
  25. 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.
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