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Citations for "Risk premia and term premia in general equilibrium"

by Abel, Andrew B.

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  1. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rrr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2016.
  2. Bergeron, Claude, 2013. "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, vol. 10(4), pages 184-195.
  3. Francisco J. Gomes & Alexander Michaelides, 2003. "Portfolio choice with internal habit formation : a life-cycle model with uninsurable labor income risk," LSE Research Online Documents on Economics 196, London School of Economics and Political Science, LSE Library.
  4. Jorge Fornero & Tomasz Michalak & Joseph Plasmans, 2007. "A Microfounded Sectoral Model for Open Economies," CESifo Working Paper Series 2052, CESifo Group Munich.
  5. Xiaohong Chen & Sydney C. Ludvigson, 2009. "Land of addicts? an empirical investigation of habit-based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1057-1093.
  6. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2349-2369, July.
  7. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc.
  8. Ali Choudhary & Paul Levine, 2006. "The 24/7 Society and Multiple Habits," School of Economics Discussion Papers 0506, School of Economics, University of Surrey.
  9. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2005. "Risk, uncertainty, and asset prices," Finance and Economics Discussion Series 2005-40, Board of Governors of the Federal Reserve System (U.S.).
  10. Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc.
  11. Devereux, Michael B. & Smith, Gregor W. & Yetman, James, 2012. "Consumption and real exchange rates in professional forecasts," Journal of International Economics, Elsevier, vol. 86(1), pages 33-42.
  12. Ljungqvist, L. & Uhlig, H.F.H.V.S., 1996. "Catching up with the Keynesians," Discussion Paper 1996-96, Tilburg University, Center for Economic Research.
  13. YiLi Chien & Kanda Naknoi, 2012. "The risk premium and long-run global imbalances," Working Papers 2012-009, Federal Reserve Bank of St. Louis.
  14. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
  15. Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
  16. Kiyoung Chang & Incheol Kim & Ying Li, 2014. "The Heterogeneous Impact of Corporate Social Responsibility Activities That Target Different Stakeholders," Journal of Business Ethics, Springer, vol. 125(2), pages 211-234, December.
  17. 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.
  18. Geert Bekaert & Eric Engstrom, 2009. "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  19. 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.
  20. Ivan Jaccard, 2007. "Asset Pricing, Habit Memory, and the Labor Market," Swiss Finance Institute Research Paper Series 07-23, Swiss Finance Institute, revised Nov 2007.
  21. Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc.
  22. M Boschi & S d'Addona & A Goenka, 2012. "Testing external habits in an asset pricing model," CAMA Working Papers 2012-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  23. Narayan, Paresh Kumar & Westerlund, Joakim, 2014. "Does cash flow predict returns?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 230-236.
  24. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2012. "Social Decision Theory: Choosing within and between Groups," Review of Economic Studies, Oxford University Press, vol. 79(4), pages 1591-1636.
  25. Ronald Wendner, 2011. "Ramsey, Pigou, heterogenous agents, and non-atmospheric consumption externalities," Graz Economics Papers 2012-01, University of Graz, Department of Economics.
  26. Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002. "Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 149-174.
  27. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  28. Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2013. "Semi Parametric Estimation Of Risk-Return Relationships," Caepr Working Papers 2013-004, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  29. Seppälä, Juha, 2000. "The term structure of real interest rates : Theory and evidence form UK index-linked bonds," Research Discussion Papers 22/2000, Bank of Finland.
  30. Allan Timmermann & Massimo Guidolin, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," FMG Discussion Papers dp397, Financial Markets Group.
  31. Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
  32. Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  33. Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(3), pages 461-503, March.
  34. Ronald Wendner, 2009. "Conspicuous Consumption and Overlapping Generations?," EERI Research Paper Series EERI_RP_2009_05, Economics and Econometrics Research Institute (EERI), Brussels.
  35. 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.
  36. Qin Wang & Yiheng Zou & Yu Ren & Zhuo Huang, 2015. "The Spirit of Capitalism and the Equity Premium," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 493-513, November.
  37. Gomez, Juan-Pedro, 2007. "The impact of keeping up with the Joneses behavior on asset prices and portfolio choice," Finance Research Letters, Elsevier, vol. 4(2), pages 95-103, June.
  38. Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
  39. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
  40. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA.
  41. James M. Nason & Gregor W. Smith, 2007. "Great Moderation(s) and U.S. Interest Rates: Unconditional Evidence," Working Papers 1140, Queen's University, Department of Economics.
  42. Arjen Siegmann, 2003. "Shortfall allowed: loss aversion and habit formation," WO Research Memoranda (discontinued) 741, Netherlands Central Bank, Research Department.
  43. Paul Eckerstorfer & Ronald Wendner, 2013. "Asymmetric and Non-atmospheric Consumption Externalities, and Efficient Consumption Taxation," Graz Economics Papers 2013-01, University of Graz, Department of Economics.
  44. Keith Sill, 2006. "Macroeconomic volatility and the equity premium," Working Papers 06-1, Federal Reserve Bank of Philadelphia.
  45. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
  46. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Society for Computational Economics, vol. 29(3), pages 233-265, May.
  47. Pataracchia, B., 2011. "Ambiguity and Volatility : Asset Pricing Implications," Discussion Paper 2011-042, Tilburg University, Center for Economic Research.
  48. 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.
  49. Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001. "Habit Persistence, Asset Returns, and the Business Cycle," American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March.
  50. Fuerst, Michael E., 2006. "Investor risk premia and real macroeconomic fluctuations," Journal of Macroeconomics, Elsevier, vol. 28(3), pages 540-563, September.
  51. Geert Bekaert & Eric Engstrom, 2009. "Asset Return Dynamics under Bad Environment Good Environment Fundamentals," NBER Working Papers 15222, National Bureau of Economic Research, Inc.
  52. Monika Piazzesi & Martin Schneider, 2007. "Equilibrium Yield Curves," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 389-472 National Bureau of Economic Research, Inc.
  53. Yamin Ahmad, 2004. "Money market rates and implied CCAPM rates: some international evidence," Money Macro and Finance (MMF) Research Group Conference 2003 1, Money Macro and Finance Research Group.
  54. Carroll, Christopher D., 2000. "Solving consumption models with multiplicative habits," Economics Letters, Elsevier, vol. 68(1), pages 67-77, July.
  55. Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
  56. Pataracchia, B., 2013. "Ambiguity aversion and heterogeneity in financial markets : An empirical and theoretical perspective," Other publications TiSEM bc849a3c-87a4-4718-b049-f, Tilburg University, School of Economics and Management.
  57. Andrei Semenov, 2008. "Estimation of the consumption CAPM with imperfect sample separation information," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 333-348.
  58. Jana Bielagk & Arnaud Lionnet & Goncalo Dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Papers 1511.04218, arXiv.org, revised Jun 2016.
  59. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
  60. Smith, William T., 2002. "Consumption and saving with habit formation and durability," Economics Letters, Elsevier, vol. 75(3), pages 369-375, May.
  61. Bidarkota, Prasad V. & Dupoyet, Brice V., 2007. "The impact of fat tails on equilibrium rates of return and term premia," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 887-905, March.
  62. Yum K. Kwan & Jinyue Dong, 2014. "Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(03), pages 77-108, May.
  63. Christopher Otrok, 2000. "On Measuring the Welfare Cost of Business Cycles," Econometric Society World Congress 2000 Contributed Papers 1094, Econometric Society.
  64. Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2002. "Habit formation: a resolution of the equity premium puzzle?," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1261-1288, September.
  65. Bhamra, Harjoat S. & Fisher, Adlai J. & Kuehn, Lars-Alexander, 2011. "Monetary policy and corporate default," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 480-494.
  66. Nengjiu Ju & Jianjun Miao, . "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
  67. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
  68. Jordi Caballé & Ana I. Moro Egido, 2008. "The Effect of Aspirations, Habits, and Social Security on the Distribution of Wealth," ThE Papers 08/02, Department of Economic Theory and Economic History of the University of Granada..
  69. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.
  70. Andrew B. Abel, 2003. "Optimal Taxation When Consumers Have Endogenous Benchmark Levels of Consumption," NBER Working Papers 10099, National Bureau of Economic Research, Inc.
  71. Fabio ALESSANDRINI, 2003. "Introducing Capital Structure in a Production Economy: Implications for Investment, Debt and Dividends," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 03.03, Université de Lausanne, Faculté des HEC, DEEP.
  72. Jaime Alonso-Carrera & Jordi Caballé & Xavier Raurich, 2007. "Aspirations, Habit Formation, and Bequest Motive," Economic Journal, Royal Economic Society, vol. 117(520), pages 813-836, 04.
  73. Yongseung Jung, 2010. "Asset Market Structures and Monetary Policy in a Small Open Economy," Working Papers id:3104, eSocialSciences.
  74. Antonio Mele, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
  75. Jaime Alonso-Carrera & Jordi Caballe & Xavier Raurich, 2001. "Consumption Externalities, Habit Formation, and Equilibrium Efficiency," UFAE and IAE Working Papers 499.01, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  76. Fernando M. Duarte, 2013. "Inflation risk and the cross section of stock returns," Staff Reports 621, Federal Reserve Bank of New York.
  77. Olivier Allais, 2004. "Local Substitution and Habit Persistence: Matching the Moments of the Equity Premium and the Risk-Free Rate," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 265-296, April.
  78. Paul Eckerstorfer, 2014. "Relative Consumption Concerns and the Optimal Tax Mix," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 16(6), pages 936-958, December.
  79. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007. "Multifrequency news and stock returns," Post-Print hal-00459675, HAL.
  80. 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.
  81. Julien Matheron & Kevin E. Beaubrun-Diant, 2008. "Rentabilités d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Économie et Prévision, Programme National Persée, vol. 183(2), pages 35-63.
  82. 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.
  83. Jessica A. Wachter, 2005. "Solving Models with External Habit," NBER Working Papers 11559, National Bureau of Economic Research, Inc.
  84. Mordecai Kurz & Maurizio Motolese, . "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
  85. Startz Richard & Tsang Kwok Ping, 2012. "Nonexponential Discounting: A Direct Test And Perhaps A New Puzzle," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-35, November.
  86. Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006. "Housing, Consumption, and Asset Pricing," NBER Working Papers 12036, National Bureau of Economic Research, Inc.
  87. Robert J. Barro & Sanjay P. Misra, 2013. "Gold Returns," NBER Working Papers 18759, National Bureau of Economic Research, Inc.
  88. Olof Johansson-Stenman & Fredrik Carlsson & Dinky Daruvala, 2002. "Measuring Future Grandparents" Preferences for Equality and Relative Standing," Economic Journal, Royal Economic Society, vol. 112(479), pages 362-383, April.
  89. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
  90. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
  91. YiLi Chien & Harold Cole & Hanno Lustig, 2007. "A Multiplier Approach to Understanding the Macro Implications of Household Finance," NBER Working Papers 13555, National Bureau of Economic Research, Inc.
  92. Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, 07.
  93. Fernando Alvarez & Urban J. Jermann, 2001. "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers 8360, National Bureau of Economic Research, Inc.
  94. Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
  95. Francois Gourio, 2009. "Disaster risk and business cycles," 2009 Meeting Papers 1176, Society for Economic Dynamics.
  96. Stefano d’Addona & Christos Giannikos, 2014. "Asset pricing and the role of macroeconomic volatility," Annals of Finance, Springer, vol. 10(2), pages 197-215, May.
  97. Benoit Perron & Oliver Linton, 2004. "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers dp514, Financial Markets Group.
  98. Fernando Alvarez & Urban J. Jermann, 2005. "Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth," Econometrica, Econometric Society, vol. 73(6), pages 1977-2016, November.
  99. Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc.
  100. Jaime Alonso-Carrera & Jordi Caball?Author-Email: jordi.caballe@uab.es & Xavier Raurich, 2001. "Income Taxation with Habit Formation and Consumption Externalities," UFAE and IAE Working Papers 496.01, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  101. Wendner, Ronald, 2010. "Ramsey, Pigou, and a Consumption Externality," MPRA Paper 21356, University Library of Munich, Germany.
  102. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
  103. William T. Smith & Qiang Zhang, 2006. "Asset Pricing With Multiplicative Habit and Power-Expo Preferences (Subsequently published in "Economics Letters", 2007, 94(3), 319-325. )," CARF F-Series CARF-F-070, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  104. Cecilia García-Peñalosa & Stephen Turnovsky, 2008. "Consumption externalities: a representative consumer model when agents are heterogeneous," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 37(3), pages 439-467, December.
  105. Head, Allen C. & Smith, Gregor W., 2003. "The CCAPM meets Euro-interest rate persistence, 1960-2000," Journal of International Economics, Elsevier, vol. 59(2), pages 349-366, March.
  106. Olaf Posch, 2010. "Risk Premia in General Equilibrium," CESifo Working Paper Series 3131, CESifo Group Munich.
  107. Jessica Wachter, 2008. "Can time-varying risk of rare disasters explain aggregate stock market volatility?," 2008 Meeting Papers 944, Society for Economic Dynamics.
  108. Masataka Suzuki, 2014. "Hidden persistent disasters and asset prices," Annals of Finance, Springer, vol. 10(3), pages 395-418, August.
  109. Claude Bergeron, 2013. "Dividend growth, stock valuation, and long-run risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(4), pages 547-559, October.
  110. Díaz, Antonia & Budria, Santiago, 2006. "Term premium and equity premium in economies with habit formation," UC3M Working papers. Economics we065522, Universidad Carlos III de Madrid. Departamento de Economía.
  111. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Centre de Recherche en Economie et Statistique.
  112. Yeung Lewis Chan & Leonid Kogan, . "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Rodney L. White Center for Financial Research Working Papers 14-00, Wharton School Rodney L. White Center for Financial Research.
  113. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  114. Jana Bielagk & Arnaud Lionnet & Gonçalo Dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Working Papers hal-01245812, HAL.
  115. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
  116. William T. Smith & Qiang Zhang, 2006. "Asset Pricing With Multiplicative Habit and Power-Expo Preferences," CIRJE F-Series CIRJE-F-429, CIRJE, Faculty of Economics, University of Tokyo.
  117. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  118. D. Carroll Christopher, 2000. "Risky Habits and the Marginal Propensity to Consume Output of Permanent Income, or, How Much Would a Permanent Tax Cut Boost Japanese Consumption?," International Economic Journal, Taylor & Francis Journals, vol. 14(4), pages 1-40.
  119. Jang-Ting Guo, 2004. "Tax Policy Under Keeping Up with the Joneses and Imperfectly Competitive Product Markets," Econometric Society 2004 North American Winter Meetings 17, Econometric Society.
  120. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  121. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
  122. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options," NBER Working Papers 11861, National Bureau of Economic Research, Inc.
  123. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
  124. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
  125. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3qn115m4, Anderson Graduate School of Management, UCLA.
  126. Beath, John & FitzRoy, Felix, 2007. "Status, Happiness, and Relative Income," IZA Discussion Papers 2658, Institute for the Study of Labor (IZA).
  127. John Beath & Felix R. FitzRoy, 2006. "Status, Hapiness and Relative Income," Discussion Paper Series, Department of Economics 200604, Department of Economics, University of St. Andrews.
  128. Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu, 2009. "Technological Growth and Asset Pricing," NBER Working Papers 15340, National Bureau of Economic Research, Inc.
  129. Johansson-Stenman, Olof & Carlsson, Fredrik & Daruvala, Dinky, 2001. "Measuring Hypothetical Grandparents Preferences For Equality And Relative Standings," Working Papers in Economics 42, University of Gothenburg, Department of Economics.
  130. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad T., 2007. "Euler equations and money market interest rates: A challenge for monetary policy models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1863-1881, October.
  131. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  132. Yu Chen & Thomas Cosimano & Alex Himonas & Peter Kelly, 2014. "An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies," Computational Economics, Society for Computational Economics, vol. 44(4), pages 397-443, December.
  133. Skander J. Van den Heuvel, 2008. "Temporal Risk Aversion and Asset Prices," 2008 Meeting Papers 46, Society for Economic Dynamics.
  134. Andrei Semenov, 2003. "An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance," Working Papers 2003_5, York University, Department of Economics.
  135. Alonso-Carrera, Jaime & Caballe, Jordi & Raurich, Xavier, 2005. "Growth, habit formation, and catching-up with the Joneses," European Economic Review, Elsevier, vol. 49(6), pages 1665-1691, August.
  136. Yili Chien & Harold Cole & Hanno Lustig, 2016. "Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 20, pages 215-239, April.
  137. Yongseung Jung, 2010. "Asset Market Structures and Monetary Policy in a Small Open Economy," Macroeconomics Working Papers 22811, East Asian Bureau of Economic Research.
  138. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
  139. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  140. Willman, Alpo, 2003. "Consumption, habit persistence, imperfect information and the lifetime budget constraint," Working Paper Series 0251, European Central Bank.
  141. 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.
  142. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
  143. R. Anton Braun & Tomoyuki Nakajima, 2012. "Making the case for a low intertemporal elasticity of substitution," FRB Atlanta Working Paper 2012-01, Federal Reserve Bank of Atlanta.
  144. Wendner, Ronald & Goulder, Lawrence H., 2008. "Status effects, public goods provision, and excess burden," Journal of Public Economics, Elsevier, vol. 92(10-11), pages 1968-1985, October.
  145. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
  146. Raymund Abara, 2006. "Estimation and evaluation of asset pricing models with habit formation using Philippine data," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 493-497.
  147. Jang-Ting Guo, 2005. "Tax Policy Under Keeping Up with the Joneses and Imperfect Competition," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 25-36, May.
  148. Francis Longstaff & Monika Piazzesi, 2003. "Corporate Earnings and the Equity Premium," NBER Working Papers 10054, National Bureau of Economic Research, Inc.
  149. Bhatt , Vaishnavi & Sultan, Jahangir, 2012. "Leverage Risk, Financial Crisis, and Stock Returns: A Comparison among Islamic, Conventional, and Socially Responsible Stocks," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 20, pages 87-143.
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