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Citations for "Asset pricing with undiversifiable income risk and short sales constraints: Deepening the equity premium puzzle"

by Lucas, Deborah J.

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  1. John H. Cochrane, 1998. "Where is the Market Going? Uncertain Facts and Novel Theories," NBER Working Papers 6207, National Bureau of Economic Research, Inc.
  2. Wouter J. Denhaan, 2000. "The Importance Of The Number Of Different Agents In A Heterogeneous Asset-Pricing Model," Computing in Economics and Finance 2000 349, Society for Computational Economics.
  3. Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2010. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," NBER Working Papers 15988, National Bureau of Economic Research, Inc.
  4. Krueger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers.
  5. 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.
  6. Saito, Makoto, 1998. "A simple model of incomplete insurance the case of permanent shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 763-777, May.
  7. Lettau, Martin, 1998. "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers 1795, C.E.P.R. Discussion Papers.
  8. Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2014. "Foreign Ownership of U.S. Safe Assets: Good or Bad?," NBER Working Papers 19917, National Bureau of Economic Research, Inc.
  9. David K. Levine & William Zame, 2001. "Does Market Incompleteness Matter," Levine's Working Paper Archive 78, David K. Levine.
  10. Hanno Lustig, . "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics.
  11. Gomes, Francisco J & Michaelides, Alexander, 2007. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers 6136, C.E.P.R. Discussion Papers.
  12. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.
  13. Matthias Kredler & Daniel Barczyk, 2012. "Inequality and Asset Prices," 2012 Meeting Papers 929, Society for Economic Dynamics.
  14. Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
  15. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-87, June.
  16. Krusell, Per & Mukoyama, Toshihiko & Smith Jr., Anthony A., 2011. "Asset prices in a Huggett economy," Journal of Economic Theory, Elsevier, vol. 146(3), pages 812-844, May.
  17. Lawrence J. Christiano & Jonas D.M. Fisher, 1997. "Algorithms for solving dynamic models with occasionally binding constraints," Working Paper Series, Macroeconomic Issues WP-97-15, Federal Reserve Bank of Chicago.
  18. Carlos de Resende, 2007. "IMF-Supported Adjustment Programs: Welfare Implications and the Catalytic Effect," Working Papers 07-22, Bank of Canada.
  19. Francisco Gomes & Alexander Michaelides, 2003. "Optimal life-cycle asset allocation: understanding the empirical evidence," LSE Research Online Documents on Economics 24900, London School of Economics and Political Science, LSE Library.
  20. Thomas J. Flavin, 2006. "How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds," Economics, Finance and Accounting Department Working Paper Series n1630206, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  21. Christopher Armstrong & David Larcker & Che-Lin Su, 2007. "Stock Options and Chief Executive Compensation," Discussion Papers 1447, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  22. Sylvain Leduc, 2000. "Incomplete markets, borrowing constraints, and the foreign exchange risk premium," Working Papers 00-3, Federal Reserve Bank of Philadelphia.
  23. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2014. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  24. Marcelo Bianconi & Stephen J. Turnovsky, 2003. "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Computing in Economics and Finance 2003 277, Society for Computational Economics.
  25. Storesletten, Kjetil & Telmer, Chris & Yaron, Amir, 2002. "Asset pricing with idiosyncratic risk and overlapping generations," Seminar Papers 703, Stockholm University, Institute for International Economic Studies.
  26. Maurizio Mazzocco & Shiv Saini, 2012. "Testing Efficient Risk Sharing with Heterogeneous Risk Preferences," American Economic Review, American Economic Association, vol. 102(1), pages 428-68, February.
  27. Hui Guo, 2003. "Limited stock market participation and asset prices in a dynamic economy," Working Papers 2000-031, Federal Reserve Bank of St. Louis.
  28. Enrique G. Mendoza & Katherine A. Smith, 2004. "Quantitative Implication of A Debt-Deflation Theory of Sudden Stops and Asset Prices," NBER Working Papers 10940, National Bureau of Economic Research, Inc.
  29. Cogley, Timothy, 2002. "Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 309-334, March.
  30. Robert E. Hall, 2005. "The Labor Market and Macro Volatility: A Nonstationary General-Equilibrium Analysis," NBER Working Papers 11684, National Bureau of Economic Research, Inc.
  31. Valery Polkovnichenko, 2003. "Human Capital and the Private Equity Premium," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 831-845, October.
  32. Krueger, Dirk & Lustig, Hanno, 2010. "When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?," Journal of Economic Theory, Elsevier, vol. 145(1), pages 1-41, January.
  33. Ricardo Lagos, 2005. "Asset Prices and Liquidity in an Exchange Economy," 2005 Meeting Papers 143, Society for Economic Dynamics.
  34. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series WP-07-11, Federal Reserve Bank of Chicago.
  35. Andrei SEMENOV, . "Asset Pricing in the Presence of Background Risk," EcoMod2010 259600155, EcoMod.
  36. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  37. Lettau, M. & Uhlig, H.F.H.V.S., 1997. "Preferences, Consumption Smoothing and Risk Premia," Discussion Paper 1997-60, Tilburg University, Center for Economic Research.
  38. Monica Paiella, 2007. "The Forgone Gains of Incomplete Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1623-1646, 2007 13.
  39. Gaël Dupont & Cyrille Hagneré & Vincent Touzé, 2003. "Les modèles de microsimulation dynamique dans l’analyse des réformes des systèmes de retraites : une tentative de bilan," Économie et Prévision, Programme National Persée, vol. 160(4), pages 167-191.
  40. Ramchand, Latha, 1999. "Asset pricing in open economies with incomplete markets: implications for foreign currency returns," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 871-890, December.
  41. 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.
  42. Yusuke Osaki, 2005. "Dependent background risks and asset prices," Economics Bulletin, AccessEcon, vol. 4(8), pages 1-8.
  43. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc.
  44. Devereux, Michael B. & Saito, Makoto, 1997. "Growth and risk-sharing with incomplete international assets markets," Journal of International Economics, Elsevier, vol. 42(3-4), pages 453-481, May.
  45. Laurent E. Calvet, 1999. "Incomplete Markets and Volatility," Harvard Institute of Economic Research Working Papers 1865, Harvard - Institute of Economic Research.
  46. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  47. Robert E Hall & Charles I Jones, 2007. "The Value of Life and the Rise in Health Spending," The Quarterly Journal of Economics, MIT Press, vol. 122(1), pages 39-72, 02.
  48. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer, vol. 28(3), pages 693-708, 08.
  49. Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  50. Lim, Y. & Townsend, R.M., 1997. "General Equilibrium Models of Financial Systems: Theory and Measurement in Village Economies," Papers 9716, Centro de Estudios Monetarios Y Financieros-.
  51. Charles I. Jones, 2011. "Life and Growth," NBER Working Papers 17094, National Bureau of Economic Research, Inc.
  52. Hall, Brian J. & Murphy, Kevin J., 2002. "Stock options for undiversified executives," Journal of Accounting and Economics, Elsevier, vol. 33(1), pages 3-42, February.
  53. 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.
  54. David K Levine & William R Zame, 2000. "Risk Sharing and Market Incompleteness," Levine's Working Paper Archive 2080, David K. Levine.
  55. repec:dgr:kubcen:199760 is not listed on IDEAS
  56. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  57. Andrei SEMENOV, . "High-Order Consumption Moments and Asset Pricing," EcoMod2004 330600127, EcoMod.
  58. Yusuke Osaki, 2005. "Dependent Background Risks and Asset Prices," Discussion Papers in Economics and Business 05-13, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  59. Otrok, Christopher & Ravikumar, B & Whiteman, Charles, 2001. "Stochastic Discount Factor Models and the Equity Premium Puzzle," MPRA Paper 22938, University Library of Munich, Germany, revised Nov 2004.
  60. Telmer, Chris I. & Zin, Stanley E., 2002. "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1127-1157, July.
  61. 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.
  62. Bernard Dumas & Pascal Maenhout, 2002. "A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium," Levine's Working Paper Archive 391749000000000523, David K. Levine.
  63. Dumas, Bernard J & Lyasoff, Andrew, 2009. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," CEPR Discussion Papers 7138, C.E.P.R. Discussion Papers.
  64. Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
  65. Brian J. Hall & Thomas A. Knox, 2002. "Managing Option Fragility," NBER Working Papers 9059, National Bureau of Economic Research, Inc.
  66. 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.
  67. Michael E. Drew & Mirela Mallin & Tony Naughton & Madhu Veeraraghavan, 2004. "Equity Premium: - Does it exist? Evidence from Germany and United Kingdom," School of Economics and Finance Discussion Papers and Working Papers Series 170, School of Economics and Finance, Queensland University of Technology.
  68. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  69. Wouter J. den Haan & Garey Ramey & Joel Watson, 1997. "Job Destruction and Propagation of Shocks," NBER Working Papers 6275, National Bureau of Economic Research, Inc.
  70. Mao-Wei Hung & Jr-Yan Wang, 2011. "Loss aversion and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 43(29), pages 4623-4640.
  71. Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
  72. 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.
  73. 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.
  74. Narayana Kocherlakota, 1993. "Efficient Bilateral Risk Sharing Without Commitment," Macroeconomics 9311001, EconWPA.
  75. Bernard Dumas & Andrew Lyasoff, 2008. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers 14629, National Bureau of Economic Research, Inc.
  76. 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.
  77. Daniel, Betty C., 1997. "Precautionary saving and persistent current account imbalance," Journal of International Economics, Elsevier, vol. 42(1-2), pages 179-193, February.
  78. Xuanhua Xu & Bin Pan, 2010. "Capital liquidity and residents’ consumption decision: An asymmetry analysis of economic prosperity," Frontiers of Economics in China, Springer, vol. 5(4), pages 622-639, December.
  79. Zhang, Harold H., 2000. "Explaining bond returns in heterogeneous agent models: The importance of higher-order moments," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1381-1404, September.
  80. Polkovnichenko, Valery, 2004. "Limited stock market participation and the equity premium," Finance Research Letters, Elsevier, vol. 1(1), pages 24-34, March.
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