IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "The equity risk premium a solution"

by Rietz, Thomas A.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. 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.
  2. Lopes, Paula & Michaelides, Alexander, 2007. "Rare events and annuity market participation," Finance Research Letters, Elsevier, vol. 4(2), pages 82-91, June.
  3. Robert J. Barro & José F. Ursúa, 2009. "Stock-Market Crashes and Depressions," NBER Working Papers 14760, National Bureau of Economic Research, Inc.
  4. Berkman, Henk & Jacobsen, Ben & Lee, John B., 2011. "Time-varying rare disaster risk and stock returns," Journal of Financial Economics, Elsevier, vol. 101(2), pages 313-332, August.
  5. Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers 778, Society for Economic Dynamics.
  6. Liu, Jun & Pan, Jun & Wang, Tan, 2002. "An Equilibrium Model of Rare Event Premia," Working papers 4370-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  7. Schwarz, Claudia, 2014. "Investor fears and risk premia for rare events," Discussion Papers 03/2014, Deutsche Bundesbank, Research Centre.
  8. Tomasz Strzalecki & Emmanuel Farhi & Larry Epstein, 2014. "How much would you pay to resolve long-run risk?," 2014 Meeting Papers 429, Society for Economic Dynamics.
  9. Ellen R. M cG rattan & Lee E. Ohanian, 2010. "Does Neoclassical Theory Account For The Effects Of Big Fiscal Shocks? Evidence From World War Ii," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 51(2), pages 509-532, 05.
  10. John H Cochrane, 2003. "Where is the Market Going: Uncertain Facts and Novel Theories," Levine's Working Paper Archive 618897000000000762, David K. Levine.
  11. John Y. Campbell, 2013. "Comment on "Shocks and Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 355-366 National Bureau of Economic Research, Inc.
  12. repec:bos:wpaper:wp2013-002 is not listed on IDEAS
  13. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  14. Robert J. Barro & Tao Jin, 2009. "On the Size Distribution of Macroeconomic Disasters," NBER Working Papers 15247, National Bureau of Economic Research, Inc.
  15. Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010. "Affine Disagreement and Asset Pricing," American Economic Review, American Economic Association, vol. 100(2), pages 522-26, May.
  16. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
  17. Masataka Suzuki, 2014. "Hidden persistent disasters and asset prices," Annals of Finance, Springer, vol. 10(3), pages 395-418, August.
  18. Priyank Gandhi & Hanno Lustig, 2010. "Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation," NBER Working Papers 16553, National Bureau of Economic Research, Inc.
  19. Rui Albuquerque, 2012. "Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1630-1673.
  20. Niemann, Stefan & Pichler, Paul, 2011. "Optimal fiscal and monetary policies in the face of rare disasters," European Economic Review, Elsevier, vol. 55(1), pages 75-92, January.
  21. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  22. Adam, Klaus & Grill, Michael, 2013. "Optimal sovereign default," Discussion Papers 09/2013, Deutsche Bundesbank, Research Centre.
  23. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
  24. Yang-Ho Park, 2013. "Volatility of volatility and tail risk premiums," Finance and Economics Discussion Series 2013-54, Board of Governors of the Federal Reserve System (U.S.).
  25. Emmanuel Farhi & Xavier Gabaix, 2015. "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
  26. George M. Constantinides & Anisha Ghosh, 2014. "Asset Pricing with Countercyclical Household Consumption Risk," NBER Working Papers 20110, National Bureau of Economic Research, Inc.
  27. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
  28. 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.
  29. Satyajit Chatterjee & Dean Corbae, 2000. "On the welfare gains of reducing the likelihood of economic crises," Working Paper 0015, Federal Reserve Bank of Cleveland.
  30. Ang, Andrew & Timmermann, Allan G, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
  31. Aase, Knut K., 2005. "The perpetual American put option for jump-diffusions with applications," Discussion Papers 2005/12, Department of Business and Management Science, Norwegian School of Economics.
  32. Olaf Posch, 2010. "Risk Premia in General Equilibrium," CESifo Working Paper Series 3131, CESifo Group Munich.
  33. Andrew Vivian, 2007. "The Equity Premium: 100 Years of Empirical Evidence from the UK," CRIEFF Discussion Papers 0711, Centre for Research into Industry, Enterprise, Finance and the Firm.
  34. Francois Gourio, 2010. "Credit risk and Disaster risk," 2010 Meeting Papers 112, Society for Economic Dynamics.
  35. Robert J. Barro & José F. Ursúa, 2012. "Rare Macroeconomic Disasters," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 83-109, 07.
  36. Jasmina Hasanhodzic & Laurence J. Kotlikoff, 2013. "Generational Risk–Is It a Big Deal?: Simulating an 80-Period OLG Model with Aggregate Shocks," BYU Macroeconomics and Computational Laboratory Working Paper Series 2013-01, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  37. Francois Gourio, 2009. "Disaster risk and business cycles," 2009 Meeting Papers 1176, Society for Economic Dynamics.
  38. Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, . "X-CAPM: An Extrapolative Capital Asset Pricing Model," Working Paper 86521, Harvard University OpenScholar.
  39. Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012. "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1492-1502.
  40. Eyal Ert & Ido Erev, 2013. "On the descriptive value of loss aversion in decisions under risk: Six clarifications," Judgment and Decision Making, Society for Judgment and Decision Making, vol. 8(3), pages 214-235, May.
  41. Costas Azariadis & Leo Kaas, 2007. "Is dynamic general equilibrium a theory of everything?," Economic Theory, Springer, vol. 32(1), pages 13-41, July.
  42. Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," PIER Working Paper Archive 10-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  43. Koulovatianos, Christos & Wieland, Volker, 2011. "Asset Pricing under Rational Learning about Rare Disasters," CEPR Discussion Papers 8514, C.E.P.R. Discussion Papers.
  44. Weigert, Florian, 2013. "In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide," Working Papers on Finance 1325, University of St. Gallen, School of Finance.
  45. Andrew Ang & Li Gu & Yael V. Hochberg, 2006. "Is IPO Underperformance a Peso Problem?," NBER Working Papers 12203, National Bureau of Economic Research, Inc.
  46. Bundick, Brent & Basu, Susanto, 2014. "Uncertainty shocks in a model of effective demand," Research Working Paper RWP 14-15, Federal Reserve Bank of Kansas City.
  47. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
  48. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 7406, National Bureau of Economic Research, Inc.
  49. Robert J. Barro & Jose F. Ursua, 2008. "Macroeconomic Crises since 1870," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 39(1 (Spring), pages 255-350.
  50. Marcus Miller & Paul Weller & Lei Zhang, 2002. "Moral Hazard and the US Stock Market: Analysing the "Greenspan Put"," Economic Journal, Royal Economic Society, vol. 112(478), pages C171-C186, March.
  51. William N. Goetzmann & Philippe Jorion, 2004. "A Century of Global Stock Markets," Yale School of Management Working Papers ysm16, Yale School of Management.
  52. Zin, Stanley E., 2002. "Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 215-228, January.
  53. Hiroyuki Nakata, 2013. "Welfare effects of short-sale constraints under heterogeneous beliefs," Economic Theory, Springer, vol. 53(2), pages 283-314, June.
  54. Cosmin Ilut & Matthias Kehrig & Martin Schneider, 2014. "Slow to Hire, Quick to Fire: Employment Dynamics with Asymmetric Responses to News," Department of Economics Working Papers 150113, The University of Texas at Austin, Department of Economics, revised Dec 2014.
  55. Posch, Olaf & Schrimpf, Andreas, 2013. "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79987, Verein für Socialpolitik / German Economic Association.
  56. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  57. Collard, Fabrice & Juillard, Michel, 1999. "Accuracy of stochastic perturbuation methods: the case of asset pricing models," CEPREMAP Working Papers (Couverture Orange) 9922, CEPREMAP.
  58. Andreas Fagereng & Charles Gottlieb & Luigi Guiso, 2013. "Asset market participation and portfolio choice over the life-cycle," Discussion Papers 758, Statistics Norway, Research Department.
  59. Ravi Bansal & Ivan Shaliastovich, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," NBER Working Papers 18357, National Bureau of Economic Research, Inc.
  60. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  61. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
  62. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  63. Liu, Liqun, 2012. "Inferring the rate of pure time preference under uncertainty," Ecological Economics, Elsevier, vol. 74(C), pages 27-33.
  64. Suzuki, Shiba, 2014. "An exploration of the effect of doubt during disasters on equity premiums," Economics Letters, Elsevier, vol. 123(3), pages 270-273.
  65. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  66. RUGE-MURCIA, Francisco J., 2010. "Estimating Nonlinear DSGE Models by the Simulated Method of Moments," Cahiers de recherche 19-2010, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  67. Andrew T. Foerster, 2011. "Financial crises, unconventional monetary policy exit strategies, and agents' expectations," Research Working Paper RWP 11-04, Federal Reserve Bank of Kansas City.
  68. Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn, 2012. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," CEPR Discussion Papers 9023, C.E.P.R. Discussion Papers.
  69. Kuehn Lars-Alexander & Petrosky-Nadeau Nicolas & Zhang Lu, . "An Equilibrium Asset Pricing Model with Labor Market Search," GSIA Working Papers 2010-E63, Carnegie Mellon University, Tepper School of Business.
  70. Farhi, Emmanuel & Fraiberger, Samuel P. & Gabaix, Xavier & Rancière, Romain & Verdelhan, Adrien, 2009. "Crash Risk in Currency Markets," CEPR Discussion Papers 7322, C.E.P.R. Discussion Papers.
  71. RUGE-MURCIA, Francisco J., 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 2012-14, Universite de Montreal, Departement de sciences economiques.
  72. Dierkes, Maik & Erner, Carsten & Zeisberger, Stefan, 2010. "Investment horizon and the attractiveness of investment strategies: A behavioral approach," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1032-1046, May.
  73. Li, Jinlu, 2010. "Some solutions to the equity premium and volatility puzzles," MPRA Paper 26833, University Library of Munich, Germany, revised 01 Aug 2010.
  74. Shiba Suzuki, 2009. "Risks after disasters: a note on the effects of precautionary saving on equity premiums," Economics Bulletin, AccessEcon, vol. 29(1), pages 328-337.
  75. Miguel Ampudia & Michael Ehrmann, 2014. "Macroeconomic Experiences and Risk Taking of Euro Area Households," Working Papers 14-10, Bank of Canada.
  76. George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2011. "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz 2011-17, Department of Economics, University of Konstanz.
  77. Robert J. Barro, 2006. "On the Welfare Costs of Consumption Uncertainty," NBER Working Papers 12763, National Bureau of Economic Research, Inc.
  78. Cysne, Rubens Penha, 2005. "Equity-Premium Puzzle: Evidence From Brazilian Data," Economics Working Papers (Ensaios Economicos da EPGE) 586, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  79. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
  80. Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118.
  81. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
  82. Jianfeng Yu, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization and Monetary Policy Institute Working Paper 90, Federal Reserve Bank of Dallas.
  83. George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, 09.
  84. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2013. "Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?," NBER Working Papers 19460, National Bureau of Economic Research, Inc.
  85. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  86. Manuel García-Huitrón & Gregorio Impavido & Esperanza Lasagabaster, 2010. "New Policies for Mandatory Defined Contribution Pensions: Industrial Organization Models and Investment Products," IDB Publications (Books), Inter-American Development Bank, number 60278.
  87. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance.
  88. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
  89. Posch, Olaf & Trimborn, Timo, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Hannover Economic Papers (HEP) dp-450, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  90. Peter J. Phillips & Michael Baczynski & John Teale, 2009. "Can self-managed superannuation fund trustees earn the equity risk premium?," Accounting Research Journal, Emerald Group Publishing, vol. 22(1), pages .27-45, July.
  91. Henning Bohn, 2010. "The Economic Consequences of Rising U.S. Government Debt: Privileges at Risk," CESifo Working Paper Series 3079, CESifo Group Munich.
  92. Ivan Shaliastovich & George Tauchen, 2010. "Pricing of the Time-Change Risks," Working Papers 10-10, Duke University, Department of Economics.
  93. Adamson, Seabron & Noe, Thomas & Parker, Geoffrey, 2010. "Efficiency of financial transmission rights markets in centrally coordinated periodic auctions," Energy Economics, Elsevier, vol. 32(4), pages 771-778, July.
  94. G. A. Christodoulakis & E. C. Mamatzakis, 2009. "Assessing the prudence of economic forecasts in the EU," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 583-606.
  95. François Gourio & Michael Siemer & Adrien Verdelhan, 2011. "International Risk Cycles," NBER Working Papers 17277, National Bureau of Economic Research, Inc.
  96. Jorge A. Chan-Lau, 2006. "Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices," IMF Working Papers 06/148, International Monetary Fund.
  97. Pancrazi, Roberto, 2013. "How Beneficial was the Great Moderation After All?," The Warwick Economics Research Paper Series (TWERPS) 1016, University of Warwick, Department of Economics.
  98. Meenagh, David & Minford, Patrick & Peel, David, 2006. "Simulating Stock Returns under switching regimes - a new test of market efficiency," Cardiff Economics Working Papers E2006/13, Cardiff University, Cardiff Business School, Economics Section.
  99. Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012. "Valuation Risk and Asset Pricing," NBER Working Papers 18617, National Bureau of Economic Research, Inc.
  100. Ravi Bansal & Ivan Shaliastovich, 2009. "Confidence Risk and Asset Prices," NBER Working Papers 14815, National Bureau of Economic Research, Inc.
  101. Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
  102. Andrew Vivian, 2005. "The Equity Premium: 101 years of Empirical Evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2005 92, Money Macro and Finance Research Group.
  103. Bianchi, Francesco, 2015. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," CEPR Discussion Papers 10520, C.E.P.R. Discussion Papers.
  104. Oren Levintal, 2012. "Equity Capital, Bankruptcy Risk and the Liquidity Trap," Working Papers 2012-07, Bar-Ilan University, Department of Economics.
  105. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis.
  106. Haigang Zhou & John Zhu, 2011. "Jump risk and cross section of stock returns: evidence from China’s stock market," Journal of Economics and Finance, Springer, vol. 35(3), pages 309-331, July.
  107. Bollerslev, Tim & Todorov, Viktor, 2014. "Time-varying jump tails," Journal of Econometrics, Elsevier, vol. 183(2), pages 168-180.
  108. Natalia Gershun, 2004. "Macrodynamic and Financial Effects of a Large-Scale Technology Change," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(1), pages 67-81, April.
  109. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
  110. Shlomo Benartzi & Richard H. Thaler, 1993. "Myopic Loss Aversion and the Equity Premium Puzzle," NBER Working Papers 4369, National Bureau of Economic Research, Inc.
  111. Marlène Isoré & Urszula Szczerbowicz, 2013. "Disaster Risk in a New Keynesian Model," Working Papers 2013-12, CEPII research center.
  112. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
  113. Karen K. Lewis & Edith X. Liu, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," NBER Working Papers 17872, National Bureau of Economic Research, Inc.
  114. Anisha Ghosh & George M. Constantinides, 2014. "Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes," NBER Working Papers 20678, National Bureau of Economic Research, Inc.
  115. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
  116. François Gourio, 2008. "Time-series predictability in the disaster model," Boston University - Department of Economics - Working Papers Series wp2008-016, Boston University - Department of Economics.
  117. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, vol. 73(3), pages 465-496, September.
  118. Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December.
  119. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006. "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, MIT Press, vol. 121(2), pages 461-504, May.
  120. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  121. Abel, Andrew B., 2002. "An exploration of the effects of pessimism and doubt on asset returns," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1075-1092, July.
  122. Marcus Miller & Paul Weller & Lei Zhang, 2000. "Moral Hazard and the US Stock Market: Has Mr. Greenspan Created a Bubble?," Econometric Society World Congress 2000 Contributed Papers 1902, Econometric Society.
  123. Veronesi, Pietro, 2004. "The Peso problem hypothesis and stock market returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 707-725, January.
  124. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Working Papers 1002, University of Missouri-St. Louis, Department of Economics.
  125. Alvarez, F. & Jermann, U.J., 2000. "Using Asset Prices to Measure the Cost of Business Cycles," Weiss Center Working Papers 00-1, Wharton School - Weiss Center for International Financial Research.
  126. Aase, Knut K., 2014. "Recursive utility using the stochastic maximum principle," Discussion Papers 2014/3, Department of Business and Management Science, Norwegian School of Economics, revised 25 Mar 2015.
  127. Farmer, Roger E A, 2014. "Asset Prices in a Lifecycle Economy," CEPR Discussion Papers 9897, C.E.P.R. Discussion Papers.
  128. Lu Zhang & Howard Kung & Hang Bai, 2013. ""Shooting" the CAPM," 2013 Meeting Papers 905, Society for Economic Dynamics.
  129. Salyer, Kevin D., 2007. "Macroeconomic priorities and crash states," Economics Letters, Elsevier, vol. 94(1), pages 64-70, January.
  130. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
  131. Massimiliano De Santis, 2005. "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005 62, Money Macro and Finance Research Group.
  132. Satyajit Chatterjee & Dean Corbae, 2003. "On the welfare gains of eliminating a small likelihood of economic crises: A case for stabilization policies?," Working Papers 03-20, Federal Reserve Bank of Philadelphia.
  133. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo Group Munich.
  134. Soosung Hwang & Steve Satchell, 2005. "Valuing information using utility functions: how much should we pay for linear factor models?," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 1-16.
  135. D. Sornette, 2000. ""Slimming" of power law tails by increasing market returns," Papers cond-mat/0010112, arXiv.org, revised Sep 2001.
  136. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, School of Economics and Management, University of Aarhus.
  137. Michael Grill & Klaus Adam, 2012. "Optimal Sovereign Debt Default," 2012 Meeting Papers 882, Society for Economic Dynamics.
  138. Robert J. Barro, 2005. "Rare Events and the Equity Premium," NBER Working Papers 11310, National Bureau of Economic Research, Inc.
  139. repec:thk:rnotes:5 is not listed on IDEAS
  140. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
  141. Penttinen, Aku, 2000. "Devaluation-risk-related peso problems in stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 181-197, June.
  142. Daron Acemoglu & Asuman E. Ozdaglar & Alireza Tahbaz-Salehi, 2014. "The Network Origins of Large Economic Downturns," Levine's Working Paper Archive 786969000000000944, David K. Levine.
  143. Marlène Isore, 2012. "Essays in macro-finance," Sciences Po publications info:hdl:2441/eo6779thqgm, Sciences Po.
  144. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 125-157.
  145. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  146. Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
  147. Paula Lopes & Alexander Michaelides, 2005. "Rare events and annuity market participation," LSE Research Online Documents on Economics 24672, London School of Economics and Political Science, LSE Library.
  148. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," Working Paper 2003-4, Federal Reserve Bank of Atlanta.
  149. Chen, Andrew Y., 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
  150. Rieger, Jörg, 2014. "Financial Transaction Tax and Financial Market Stability with Diverse Beliefs," Working Papers 0563, University of Heidelberg, Department of Economics.
  151. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
  152. Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers 522, University of California, Davis, Department of Economics.
  153. Geweke, John, 2001. "A note on some limitations of CRRA utility," Economics Letters, Elsevier, vol. 71(3), pages 341-345, June.
  154. Grant, Simon & Quiggin, John, 2003. "The Risk Premium for Equity: Implicatiosn for Resource Allocation, Welfare adn Policy," Working Papers 2003-14, Rice University, Department of Economics.
  155. 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.
  156. Aude Pommeret & Anne Epaulard, 2001. "Agents' Preferences, the Equity Premium, and the Consumption-Saving Trade-Off; An Application to French Data," IMF Working Papers 01/117, International Monetary Fund.
  157. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  158. Jurek, Jakub W., 2014. "Crash-neutral currency carry trades," Journal of Financial Economics, Elsevier, vol. 113(3), pages 325-347.
  159. Hang Bai & Kewei Hou & Howard Kung & Lu Zhang, 2015. "The CAPM Strikes Back? An Investment Model with Disasters," NBER Working Papers 21016, National Bureau of Economic Research, Inc.
  160. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers 19705, National Bureau of Economic Research, Inc.
  161. Ornthanalai, Chayawat, 2014. "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, vol. 112(1), pages 69-90.
  162. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
  163. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
  164. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
  165. Sialm, Clemens, 2006. "Stochastic taxation and asset pricing in dynamic general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 511-540, March.
  166. Lehmann, Bruce N., 2009. "The role of beliefs in inference for rational expectations models," Journal of Econometrics, Elsevier, vol. 150(2), pages 322-331, June.
  167. Ippei Fujiwara & Lena Mareen Körber & Daisuke Nagakura, 2011. "How much asymmetry is there in bond returns and exchange rates?," Globalization and Monetary Policy Institute Working Paper 93, Federal Reserve Bank of Dallas.
  168. Massimiliano De Santis, 2005. "Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?," Money Macro and Finance (MMF) Research Group Conference 2005 5, Money Macro and Finance Research Group.
  169. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  170. Martinez-Miera, David & Suarez, Javier, 2012. "A Macroeconomic Model of Endogenous Systemic Risk Taking," CEPR Discussion Papers 9134, C.E.P.R. Discussion Papers.
  171. Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Scholarly Articles 9887621, Harvard University Department of Economics.
  172. Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013. "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, vol. 110(2), pages 358-386.
  173. Aase, Knut K., 2004. "The perpetual American put option for jump-diffusions: Implications for equity premiums," Discussion Papers 2004/19, Department of Business and Management Science, Norwegian School of Economics.
  174. Wada, Kenji, 2007. "The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S," Economics Letters, Elsevier, vol. 95(3), pages 386-393, June.
  175. Lu, Yang & Siemer, Michael, 2013. "Learning, Rare Disasters, and Asset Prices," Finance and Economics Discussion Series 2013-85, Board of Governors of the Federal Reserve System (U.S.).
  176. Gustavo Silva Araújo & José Valentim Machado Vicente, 2014. "Indicadores Antecedentes Extraídos de Preços de Ativos em Corte Transversal," Working Papers Series 361, Central Bank of Brazil, Research Department.
  177. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
  178. Kliger, Doron & Levy, Ori, 2009. "Theories of choice under risk: Insights from financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 71(2), pages 330-346, August.
  179. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
  180. Peter Christoffersen & Du Du & Redouane Elkamhi, 2013. "Rare Disasters and Credit Market Puzzles," CREATES Research Papers 2013-45, School of Economics and Management, University of Aarhus.
  181. Aase, Knut K., 2004. "Jump Dynamics: The Equity Premium and the Risk-Free Rate Puzzles," Discussion Papers 2004/12, Department of Business and Management Science, Norwegian School of Economics.
  182. Bianchi, Francesco, 2008. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," MPRA Paper 20831, University Library of Munich, Germany, revised 01 Jan 2010.
  183. Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
  184. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
  185. Robert J. Barro & Sanjay P. Misra, 2013. "Gold Returns," NBER Working Papers 18759, National Bureau of Economic Research, Inc.
  186. Georgy Chabakauri, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
  187. Jakub W. Jurek & Erik Stafford, 2011. "Crashes and Collateralized Lending," NBER Working Papers 17422, National Bureau of Economic Research, Inc.
  188. Ruge-Murcia, Francisco, 2012. "Estimating nonlinear DSGE models by the simulated method of moments: With an application to business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 36(6), pages 914-938.
  189. Peter Diesinger & Holger Kraft & Frank Seifried, 2010. "Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?," Finance and Stochastics, Springer, vol. 14(3), pages 343-374, September.
  190. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
  191. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
  192. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  193. 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.
  194. Jasmina Hasanhodzic & Laurence J. Kotlikoff, 2013. "Generational Risk - Is It a Big Deal?: Simulating an 80-Period OLG Model with Aggregate Shocks," NBER Working Papers 19179, National Bureau of Economic Research, Inc.
  195. Salyer, Kevin D., 1998. "Crash states and the equity premium: Solving one puzzle raises another," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 955-965, June.
  196. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  197. Miller, Marcus & Weller, Paul & Zhang, Lei, 2001. "Moral Hazard and the US Stock Market: The Idea of a 'Greenspan Put'," CEPR Discussion Papers 3041, C.E.P.R. Discussion Papers.
  198. Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
  199. Robert J. Barro, 2007. "Rare Disasters, Asset Prices, and Welfare Costs," NBER Working Papers 13690, National Bureau of Economic Research, Inc.
  200. Jeremy J. Siegel & Richard H. Thaler, 1997. "Anomalies: The Equity Premium Puzzle," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 191-200, Winter.
  201. Vikash Ramiah, 2013. "Effects of the Boxing Day tsunami on the world capital markets," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 383-401, February.
  202. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.
  203. S. Rao Aiyagari, 1993. "Explaining financial market facts: the importance of incomplete markets and transaction costs," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 17-31.
  204. Suda, J., 2013. "Belief shocks and the macroeconomy," Working papers 434, Banque de France.
  205. 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.
  206. Tsvetanka Karagyozova, 2007. "Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints," Working papers 2007-46, University of Connecticut, Department of Economics, revised Sep 2008.
  207. Fielding, David & Stracca, Livio, 2007. "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Journal of Economic Behavior & Organization, Elsevier, vol. 64(2), pages 250-268, October.
  208. Aase, Knut K., 2005. "Using Option Pricing Theory to Infer About Equity Premiums," Discussion Papers 2005/11, Department of Business and Management Science, Norwegian School of Economics.
  209. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  210. 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.
  211. Dolmas, Jim, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
  212. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
  213. Edith Liu & Karen Lewis, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," 2012 Meeting Papers 643, Society for Economic Dynamics.
  214. 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.
  215. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  216. repec:spo:wpecon:info:hdl:2441/eo6779thqgm5r489m363974qg is not listed on IDEAS
  217. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182 National Bureau of Economic Research, Inc.
  218. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.