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Citations for "The equity risk premium a solution"

by Rietz, Thomas A.

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  1. 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.
  2. 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.
  3. Heaton, John & Lucas, Deborah, 1995. "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 1-32, June.
  4. Kuehn Lars-Alexander & Petrosky-Nadeau Nicolas & Zhang Lu, "undated". "An Equilibrium Asset Pricing Model with Labor Market Search," GSIA Working Papers 2010-E63, Carnegie Mellon University, Tepper School of Business.
  5. Susanto Basu & Brent Bundick, 2011. "Uncertainty Shocks in a Model of Effective Demand," Boston College Working Papers in Economics 774, Boston College Department of Economics, revised 01 Nov 2015.
  6. 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.
  7. Roger E.A. Farmer, 2016. "Pricing Assets in an Economy with Two Types of People," NBER Working Papers 22228, National Bureau of Economic Research, Inc.
  8. 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.
  9. 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.
  10. Robert J. Barro & Tao Jin, 2011. "On the Size Distribution of Macroeconomic Disasters," Econometrica, Econometric Society, vol. 79(5), pages 1567-1589, 09.
  11. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  12. 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.
  13. Tim Bollerslev & Viktor Todorov, 2011. "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
  14. 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.
  15. Javier Lopez Bernardo, 2016. "A post-Keynesian theory for the yield on equity markets," Working Papers PKWP1613, Post Keynesian Economics Study Group (PKSG).
  16. Luigi Guiso & Charles Gottlieb & Andreas Fagereng, 2012. "Asset Market Participation and Portfolio Choice over the Life-Cycle," 2012 Meeting Papers 783, Society for Economic Dynamics.
  17. Olaf Posch & Timo Trimborn, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Economics Working Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
  18. Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
  19. John H. Cochrane, 1997. "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, issue Nov, pages 3-37.
  20. Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015. "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 115(1), pages 1-24.
  21. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  22. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
  23. 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.
  24. 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.
  25. Manuel Arellano & Richard Blundell & Stéphane Bonhomme, 2015. "Earnings and consumption dynamics: a nonlinear panel data framework," IFS Working Papers W15/24, Institute for Fiscal Studies.
  26. Matthew Baron & Wei Xiong, 2016. "Credit Expansion and Neglected Crash Risk," NBER Working Papers 22695, National Bureau of Economic Research, Inc.
  27. 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.
  28. Fernando Alvarez & Urban J. Jermann, 2004. "Using Asset Prices to Measure the Cost of Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1223-1256, December.
  29. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
  30. 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 171-186, March.
  31. Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, vol. 153(2), pages 196-210, December.
  32. 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.
  33. RUGE-MURCIA, Francisco J., 2010. "Estimating Nonlinear DSGE Models by the Simulated Method of Moments," Cahiers de recherche 2010-10, Universite de Montreal, Departement de sciences economiques.
  34. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance, revised Jul 2015.
  35. 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.
  36. Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
  37. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, 08.
  38. 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.
  39. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, 08.
  40. Koulovatianos, Christos & Wieland, Volker, 2011. "Asset pricing under rational learning about rare disasters," IMFS Working Paper Series 46, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  41. Jessica Wachter & Mete Kilic, 2017. "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," 2017 Meeting Papers 129, Society for Economic Dynamics.
  42. Barro, Robert, 2006. "On the Welfare Costs of Consumption Uncertainty," Scholarly Articles 3224745, Harvard University Department of Economics.
  43. Cysne, Rubens Penha, 2005. "Equity-premium puzzle: evidence from Brazilian data," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 586, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  44. Reinhart, Carmen M. & Reinhart, Vincent & Rogoff, Kenneth, 2015. "Dealing with debt," Journal of International Economics, Elsevier, vol. 96(S1), pages 43-55.
    • Carmen M. Reinhart & Vincent Reinhart & Kenneth Rogoff, 2014. "Dealing with Debt," NBER Chapters,in: NBER International Seminar on Macroeconomics 2014, pages 43-55 National Bureau of Economic Research, Inc.
  45. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  46. 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.
  47. Aase, Knut K, 2005. "The perpetual American put option for jump-diffusions with applications," University of California at Los Angeles, Anderson Graduate School of Management qt31g898nz, Anderson Graduate School of Management, UCLA.
  48. Collard, Fabrice & Juillard, Michel, 2001. "Accuracy of stochastic perturbation methods: The case of asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 979-999, June.
  49. 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.
  50. 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.
  51. Mehra, Rajnish & Prescott, Edward C., 2003. "The equity premium in retrospect," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938 Elsevier.
  52. Robert J. Barro & José F. Ursúa, 2009. "Stock-Market Crashes and Depressions," NBER Working Papers 14760, National Bureau of Economic Research, Inc.
  53. Roger Farmer, 2014. "Asset Prices in a Lifecycle Economy," NBER Working Papers 19958, National Bureau of Economic Research, Inc.
  54. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
  55. Ravi Bansal & Marcelo Ochoa & Dana Kiku, 2016. "Climate Change and Growth Risks," NBER Working Papers 23009, National Bureau of Economic Research, Inc.
  56. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
  57. Koetter, Michael & Noth, Felix & Rehbein, Oliver, 2016. "Borrowers under water! Rare disasters, regional banks, and recovery lending," IWH Discussion Papers 31/2016, Halle Institute for Economic Research (IWH).
  58. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  59. Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2014. "How Much Would You Pay to Resolve Long-Run Risk?," American Economic Review, American Economic Association, vol. 104(9), pages 2680-2697, September.
  60. 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.
  61. 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.
  62. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
  63. 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.
  64. Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, vol. 94(2), pages 235-239, February.
  65. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc.
  66. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 693-708, 08.
  67. 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.
  68. Sornette, D., 2002. "“Slimming” of power-law tails by increasing market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 309(3), pages 403-418.
  69. Gourio, François, 2008. "Time-series predictability in the disaster model," Finance Research Letters, Elsevier, vol. 5(4), pages 191-203, December.
  70. Weigert, Florian, 2013. "Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide," Working Papers on Finance 1325, University of St. Gallen, School of Finance, revised Nov 2015.
  71. Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010. "Affine Disagreement and Asset Pricing," American Economic Review, American Economic Association, vol. 100(2), pages 522-526, May.
  72. 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.
  73. Olaf Posch & Andreas Schrimpf, 2012. "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," CREATES Research Papers 2012-32, Department of Economics and Business Economics, Aarhus University.
  74. 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.
  75. 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.
  76. Satyajit Chatterjee & Dean Corbae, 2000. "On the welfare gains of reducing the likelihood of economic crises," Working Paper 0015, Federal Reserve Bank of Cleveland.
  77. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
  78. Collard, Fabrice & Habib, Michel Antoine & Rochet, Jean-Charles, 2016. "The Reluctant Defaulter: A Tale of High Government Debt," CEPR Discussion Papers 11299, C.E.P.R. Discussion Papers.
  79. 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.
  80. Dolmas, Jim, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
  81. 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.
  82. 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.
  83. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
  84. Schwarz, Claudia, 2014. "Investor fears and risk premia for rare events," Discussion Papers 03/2014, Deutsche Bundesbank, Research Centre.
  85. 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.).
  86. Shaliastovich, Ivan & Tauchen, George, 2011. "Pricing of the time-change risks," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 843-858, June.
  87. Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
  88. 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.
  89. Klaus Adam & Michael Grill, 2017. "Optimal Sovereign Default," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 128-164, January.
  90. Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2017. "Microeconomic Origins of Macroeconomic Tail Risks," American Economic Review, American Economic Association, vol. 107(1), pages 54-108, January.
  91. Lena Mareen Koerber & Daisuke Nagakura & Ippei Fujiwara, 2011. "How much Asymmetry is there in Bond Returns and Exchange Rates?," Bank of Japan Working Paper Series 11-E-10, Bank of Japan.
  92. 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.
  93. Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
  94. 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.
  95. 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.
  96. 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.
  97. George M. Constantinides & Anisha Ghosh, 2014. "Asset Pricing with Countercyclical Household Consumption Risk," NBER Working Papers 20110, National Bureau of Economic Research, Inc.
  98. 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.
  99. Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Critical Finance Review, now publishers, vol. 1(1), pages 141-182, January.
  100. 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.
  101. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006. "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, Oxford University Press, vol. 121(2), pages 461-504.
  102. Suzuki, Shiba, 2014. "An exploration of the effect of doubt during disasters on equity premiums," Economics Letters, Elsevier, vol. 123(3), pages 270-273.
  103. Viktor Tsyrennikov, 2015. "Investment, speculation, and financial regulation," 2015 Meeting Papers 627, Society for Economic Dynamics.
  104. Eyal Ert & Ido Erev, 2010. "On the Descriptive Value of Loss Aversion in Decisions under Risk," Harvard Business School Working Papers 10-056, Harvard Business School.
  105. 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.).
  106. Max Gillman & Michal Kejak & Michal Pakoš, 2015. "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Review of Finance, European Finance Association, vol. 19(3), pages 1053-1104.
  107. Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
  108. Henning Bohn, 2011. "The Economic Consequences of Rising U.S. Government Debt: Privileges at Risk," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 67(3), pages 282-302, September.
  109. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
  110. Ravi Bansal & Ivan Shaliastovich, 2010. "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 537-541, May.
  111. repec:eee:dyncon:v:80:y:2017:i:c:p:1-16 is not listed on IDEAS
  112. Motoyama, Takumi, 2017. "Optimal disaster-preventive expenditure in a dynamic and stochastic model," Journal of Macroeconomics, Elsevier, vol. 51(C), pages 28-47.
  113. Pancrazi, Roberto, 2014. "How beneficial was the Great Moderation after all?," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 73-90.
  114. Jules Tinang & Nour Meddahi, 2016. "GMM estimation of the Long Run Risks model," 2016 Meeting Papers 1107, Society for Economic Dynamics.
  115. 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.
  116. Xu, Shaofeng, 2016. "On the welfare cost of rare housing disasters," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 301-318.
  117. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  118. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  119. Garcia, René & Kichian, Maral, 2000. "Modelling Risk Premiums in Equity and Foreign Exchange Markets," Staff Working Papers 00-9, Bank of Canada.
  120. 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.
  121. repec:spo:wpecon:info:hdl:2441/eo6779thqgm5r489m363974qg is not listed on IDEAS
  122. Hiroyuki Nakata, 2013. "Welfare effects of short-sale constraints under heterogeneous beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(2), pages 283-314, June.
  123. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887 Elsevier.
  124. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
  125. Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2013. "The Network Origins of Large Economic Downturns," NBER Working Papers 19230, National Bureau of Economic Research, Inc.
  126. 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.
  127. 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.
  128. Schwartzman, Felipe, 2014. "How Can Consumption-Based Asset-Pricing Models Explain Low Interest Rates?," Economic Quarterly, Federal Reserve Bank of Richmond, issue 3Q, pages 209-240.
  129. 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.
  130. Priyank Gandhi & Hanno Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," NBER Working Papers 22355, National Bureau of Economic Research, Inc.
  131. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  132. van Binsbergen, Jules H. & Fernández-Villaverde, Jesús & Koijen, Ralph S.J. & Rubio-Ramírez, Juan, 2012. "The term structure of interest rates in a DSGE model with recursive preferences," Journal of Monetary Economics, Elsevier, vol. 59(7), pages 634-648.
  133. Jurek, Jakub W., 2014. "Crash-neutral currency carry trades," Journal of Financial Economics, Elsevier, vol. 113(3), pages 325-347.
  134. Robert J. Barro, 2009. "Rare Disasters, Asset Prices, and Welfare Costs," American Economic Review, American Economic Association, vol. 99(1), pages 243-264, March.
  135. Claudia Foroni & Francesco Ravazzolo & Barbara Sadaba, 2017. "Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns," Staff Working Papers 17-19, Bank of Canada.
  136. 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.
  137. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
  138. 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.
  139. 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.
  140. Zin, Stanley E., 2002. "Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 215-228, January.
  141. 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.
  142. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  143. 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.
  144. Michael Grill & Klaus Adam, 2012. "Optimal Sovereign Debt Default," 2012 Meeting Papers 882, Society for Economic Dynamics.
  145. William Goetzmann & Simon Huang, 2015. "Momentum in Imperial Russia," NBER Working Papers 21700, National Bureau of Economic Research, Inc.
  146. repec:sbe:breart:v:37:y:2017:i:1:a:62104 is not listed on IDEAS
  147. George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, 09.
  148. Marlène Isoré & Urszula Szczerbowicz, 2013. "Disaster Risk in a New Keynesian Model," Working Papers 2013-12, CEPII research center.
  149. Suda, J., 2013. "Belief shocks and the macroeconomy," Working papers 434, Banque de France.
  150. Liu, Liqun, 2012. "Inferring the rate of pure time preference under uncertainty," Ecological Economics, Elsevier, vol. 74(C), pages 27-33.
  151. 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.
  152. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
  153. Ang, Andrew & Gu, Li & Hochberg, Yael V., 2007. "Is Ipo Underperformance a Peso Problem?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(03), pages 565-594, September.
  154. D. Sornette, 2000. ""Slimming" of power law tails by increasing market returns," Papers cond-mat/0010112, arXiv.org, revised Sep 2001.
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