IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "The equity premium: it's still a puzzle"

by Narayana R. Kocherlakota

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. Christian Belzil & Marco Leonardi, 2007. "Can Risk Aversion Explain Schooling Attainments?: evidence from Italy," Post-Print halshs-00201351, HAL.
  2. Erdem Basçi & Mehmet Fatih Ekinci, 2005. "Bond Premium in Turkey : Inflation Risk or Default Risk?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(2), pages 25-40, March.
  3. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.
  4. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
  5. Kazuo Nishimura & Carine Nourry & Thomas Seegmuller & Alain Venditti, 2013. "Destabilizing Balanced-Budget Consumption Taxes in Multi-Sector Economies," AMSE Working Papers 1312, Aix-Marseille School of Economics, Marseille, France, revised Sep 2012.
  6. M. Hadzi-Vaskov & C.J.M. Kool, 2007. "Stochastic Discount Factor Approach to International Risk-Sharing:A Robustness Check of the Bilateral Setting," Working Papers 07-34, Utrecht School of Economics.
  7. Yulei Peng & Anastasia Zervou, 2014. "Monetary Policy Rules and the Equity Premium," Working Papers 20141115_001, Texas A&M University, Department of Economics.
  8. 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.
  9. Anisha Ghosh & Christian Julliard, 2008. "Can Rare Events Explain the Equity Premium Puzzle?," FMG Discussion Papers dp610, Financial Markets Group.
  10. Yili Chien & Junsang Lee, 2009. "Why Tax Capital?," CAMA Working Papers 2009-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  11. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris West - Nanterre la Défense, EconomiX.
  12. Gordon, Myron J., 2005. "Growth, uncertainty and the Third World in the rise and fall of capitalism," Journal of Asian Economics, Elsevier, vol. 16(2), pages 153-177, April.
  13. Pérez Kakabadse, Alonso & Palacios Huerta, Ignacio, 2013. "Consumption and portfolio rules whit stochastic hyperbolic discounting," IKERLANAK 11072, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
  14. Louis Kaplow, 2005. "The Value of a Statistical Life and the Coefficient of Relative Risk Aversion," Journal of Risk and Uncertainty, Springer, vol. 31(1), pages 23-34, July.
  15. Belzil, Christian & Hansen, Jörgen, 2002. "Unobserved Ability and the Return to Schooling," IZA Discussion Papers 508, Institute for the Study of Labor (IZA).
  16. Xavier De Scheemaekere & Kim Oosterlinck & Ariane Szafarz, 2012. "Addressing Economic Crises: The Reference-Class Problem," Working Papers CEB 12-024, ULB -- Universite Libre de Bruxelles.
  17. Hartley, Roger & Lanot, Gauthier & Walker, Ian, 2006. "Who really wants to be a millionaire? Estimates of risk aversion from gameshow data," The Warwick Economics Research Paper Series (TWERPS) 747, University of Warwick, Department of Economics.
  18. Lence, Sergio H., 2002. "Do Futures Benefit Farmers Who Adopt Them?," 2002 Annual meeting, July 28-31, Long Beach, CA 19768, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  19. Axel Börsch-Supan & Alexander Ludwig & Joachim Winter, 2002. "Aging, pension reform and capital flows: a multi-country simulation model," Computing in Economics and Finance 2002 108, Society for Computational Economics.
  20. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  21. Liu, Ludan, 2008. "It takes a model to beat a model: Volatility bounds," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 80-110, January.
  22. Pascal St-Amour, 2005. "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 05.04, Université de Lausanne, Faculté des HEC, DEEP.
  23. Lagos, Ricardo, 2010. "Asset prices and liquidity in an exchange economy," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 913-930, November.
  24. Hector, Svenja, 2015. "Extending the Ramsey Equation further: Discounting under Mutually Utility Independent and Recursive Preferences," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113061, Verein für Socialpolitik / German Economic Association.
  25. Charles Ka Yui Leung & Nan-Kuang Chen, 2006. "Intrinsic Cycles of Land Price: A Simple Model," Journal of Real Estate Research, American Real Estate Society, vol. 28(3), pages 293-320.
  26. Douch, Mohamed, 2004. "Equity Premiums In a Small Open Economy," MPRA Paper 876, University Library of Munich, Germany.
  27. Richard S. J. Tol & Kenneth J. Arrow & Maureen L. Cropper & Christian Gollier & Ben Groom & Geoffrey M. Heal & Richard G. Newell & William D. Nordhaus & Robert S. Pindyck & William A. Pizer & Paul R. , 2013. "How Should Benefits and Costs Be Discounted in an Intergenerational Context?," Working Paper Series 5613, Department of Economics, University of Sussex.
  28. Liu, Zheng & Miao, Jianjun & Zha, Tao, 2013. "Land prices and unemployment," FRB Atlanta Working Paper 2013-06, Federal Reserve Bank of Atlanta.
  29. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns (Subsequently published in "Eastern Economic Journal", 2007, 33,(2), pp. 231-255. )," CARF F-Series CARF-F-056, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  30. Mark Kamstra & Robert Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Yale School of Management Working Papers amz2418, Yale School of Management.
  31. Martin Browning & Thomas Crossley, 2001. "The life-cycle model of consumption and saving," IFS Working Papers W01/15, Institute for Fiscal Studies.
  32. Williamson, Stephen D., 1996. "Real business cycle research comes of age: A review essay," Journal of Monetary Economics, Elsevier, vol. 38(1), pages 161-170, August.
  33. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, Department of Economics and Business Economics, Aarhus University.
  34. Michael Donadelli & Federico Silvestri, 2010. "Why Should Naive Investors Avoid Stock Markets ?," Working Papers 2010_19, Department of Economics, University of Venice "Ca' Foscari".
  35. Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013. "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3704-3715.
  36. Elyès Jouini & Clotilde Napp, 2008. "On Abel's Concept of Doubt and Pessimism," Post-Print halshs-00176611, HAL.
  37. Gerald T. Garvey & Todd T. Milbourn, 2001. "Market-Indexed Executive Compensation: Strictly for the Young," Claremont Colleges Working Papers 2001-19, Claremont Colleges.
  38. Kris Jacobs & Stephane Pallage & Michel A. Robe, 2005. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," Computing in Economics and Finance 2005 47, Society for Computational Economics.
  39. Christian Baker & Jeremy Bejarano & Richard W. Evans & Kenneth L. Judd & Kerk L. Phillips, 2014. "A Big Data Approach to Optimal Sales Taxation," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-03, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  40. Rajnish Mehra, 2006. "The Equity Premium in India," NBER Working Papers 12434, National Bureau of Economic Research, Inc.
  41. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 806-830, October.
  42. Stokey, Nancy L., 2009. "Moving costs, nondurable consumption and portfolio choice," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2419-2439, November.
  43. Mordecai Kurz & Maurizio Motolese, 1999. "Endogenous Uncertainty and Market Volatility," Working Papers 1999.27, Fondazione Eni Enrico Mattei.
  44. Kryzanowski, Lawrence & Mohsni, Sana, 2010. "Capital returns, costs and EVA for Canadian firms," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 256-273, December.
  45. Raphael Bergoeing & Felipe Morandé & Raimundo Soto, 2002. "Asset Prices in Chile: Facts and Fads," Central Banking, Analysis, and Economic Policies Book Series, in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 8, pages 235-278 Central Bank of Chile.
  46. Kashiwagi, Masanori, 2014. "A search-theoretic model of the rental and homeownership markets," Journal of Housing Economics, Elsevier, vol. 26(C), pages 33-47.
  47. Narayana Kocherlakota & Luigi Pistaferri, 2008. "Household Heterogeneity and Asset Trade: Resolving the Equity Premium Puzzle in Three Countries," Levine's Bibliography 122247000000001886, UCLA Department of Economics.
  48. Alexander Ludwig and Alexander Zimper, 2013. "Biased Bayesian Learning with an Application to the Risk-Free Rate Puzzle," Working Papers 390, Economic Research Southern Africa.
  49. Kajii, A. & Hara, C., 2000. "On the Range of the Risk-Free Interest Rate in Incomplete Markets," Cambridge Working Papers in Economics 0030, Faculty of Economics, University of Cambridge.
  50. Javier Lopez Bernardo, 2016. "A post-Keynesian theory for the yield on equity markets," Working Papers PKWP1613, Post Keynesian Economics Study Group (PKSG).
  51. George M. Constantinides & John B. Donaldson & Rajnish Mehra, 2005. "Junior is Rich: Bequests as Consumption," NBER Working Papers 11122, National Bureau of Economic Research, Inc.
  52. Bidarkota, Prasad V. & McCulloch, J. Huston, 2003. "Consumption asset pricing with stable shocks--exploring a solution and its implications for mean equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 27(3), pages 399-421, January.
  53. Barinci, Jean-Paul & Chéron, Arnaud, 2001. "Real business cycles and the animal spirits hypothesis in a CIA economy," CEPREMAP Working Papers (Couverture Orange) 0110, CEPREMAP.
  54. Ivan Jaccard, 2010. "Asset Pricing and Housing Supply in a Production Economy," 2010 Meeting Papers 605, Society for Economic Dynamics.
  55. Nicolas Abad & Thomas Seegmuller & Alain Venditti, 2012. "Aggregate Instability under Labor Income Taxation and Balanced-Budget Rules: Preferences Matter," AMSE Working Papers 1217, Aix-Marseille School of Economics, Marseille, France, revised Apr 2012.
  56. Salomons, Roelof, 2004. "Expert something sensible: putting US returns in an international perspective," Research Report 04E02, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  57. James D. Hamilton & Ethan S. Harris & Jan Hatzius & Kenneth D. West, 2015. "The Equilibrium Real Funds Rate: Past, Present and Future," NBER Working Papers 21476, National Bureau of Economic Research, Inc.
  58. Alain Abou & Georges Prat, 1986. "Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level," Post-Print halshs-00172883, HAL.
  59. Mark Weder, 2006. "Sticky Prices and Indeterminacy," CDMA Working Paper Series 200601, Centre for Dynamic Macroeconomic Analysis.
  60. Hancock, Diana & Humphrey, David B., 1997. "Payment transactions, instruments, and systems: A survey," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1573-1624, December.
  61. Arrow, Kenneth J. & Cropper, Maureen L. & Gollier, Christian & Groom, Ben & Heal, Geoffrey M. & Newell, Richard G. & Nordhaus, William D. & Pindyck, Robert S. & Pizer, William A. & Portney, Paul R. & , 2012. "How Should Benefits and Costs Be Discounted in an Intergenerational Context? The Views of an Expert Panel," Discussion Papers dp-12-53, Resources For the Future.
  62. 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.
  63. Michael Haliassos & Alexandros Michaelides, 1999. "Portfolio Choice and Liquidity Constraints," University of Cyprus Working Papers in Economics 9918, University of Cyprus Department of Economics.
  64. Kaplow, Louis, 2006. "Public goods and the distribution of income," European Economic Review, Elsevier, vol. 50(7), pages 1627-1660, October.
  65. Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics.
  66. Pavlov, Vlad, 2006. "The equity premium in an overlapping-generations economy," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 155-172, August.
  67. William Barnett & Liting Su, 2014. "The Joint Services of Money and Credit," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201407, University of Kansas, Department of Economics, revised Dec 2014.
  68. Xavier De Scheemaekere & Kim Oosterlinck & Ariane Szafarz, 2014. "Issues in Identifying Economic Crises: Insights from History," Working Papers CEB 14-014, ULB -- Universite Libre de Bruxelles.
  69. Kocherlakota, Narayana R. & Pistaferri, Luigi, 2005. "Asset pricing implications of Pareto optimality with private information," Discussion Paper Series 1: Economic Studies 2005,29, Deutsche Bundesbank, Research Centre.
  70. Brian J. Hall & Thomas A. Knox, 2002. "Managing Option Fragility," NBER Working Papers 9059, National Bureau of Economic Research, Inc.
  71. Jeremy Tobacman & David Laibson, 2007. "Estimating Discount Functions with Consumption Choices over the Lifecycle," Economics Series Working Papers 341, University of Oxford, Department of Economics.
  72. James F. Moore, 1999. "Tail Estimation and Catastrophe Security Pricing: Can We Tell What Target We Hit if We Are Shooting in the Dark?," Center for Financial Institutions Working Papers 99-14, Wharton School Center for Financial Institutions, University of Pennsylvania.
  73. William Barnett & Liting Su, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201606, University of Kansas, Department of Economics, revised Aug 2016.
  74. Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper 73246, University Library of Munich, Germany.
  75. Orazio P. Attanasio & James Banks & Sarah Tanner, 2002. "Asset Holding and Consumption Volatility," Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 771-792, August.
  76. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1998. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?," NBER Working Papers 6354, National Bureau of Economic Research, Inc.
  77. Danthine, Jean-Pierre & Donaldson, John B & Siconolfi, Paolo, 2005. "Distribution Risk and Equity Returns," CEPR Discussion Papers 5425, C.E.P.R. Discussion Papers.
  78. King, Robert G. & Rebelo, Sergio T., 1999. "Resuscitating real business cycles," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 14, pages 927-1007 Elsevier.
  79. Alonso, Irasema & Prado, Mauricio, 2015. "Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 78-92.
  80. Nicholas Barberis & Ming Huang & Tano Santos, . "Prospect Theory and Asset Prices," CRSP working papers 494, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  81. 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.
  82. Kfir Eliaz & Debraj Ray & Ronny Razin, 2006. "Choice Shifts in Groups: A Decision-Theoretic Basis," American Economic Review, American Economic Association, vol. 96(4), pages 1321-1332, September.
  83. CASTRO, Rui & COEN-PIRANI, Daniele, 2005. "Why Have Aggregate Skilled Hours Become So Cyclical Since the Mid-1980's?," Cahiers de recherche 2005-19, Universite de Montreal, Departement de sciences economiques.
  84. Ellen R. McGrattan & Edward C. Prescott, 2000. "Is the stock market overvalued?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 20-40.
  85. Perrakis, Stylianos & Boloorforoosh, Ali, 2013. "Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3157-3168.
  86. Keith Head & Thierry Mayer & John Ries, 2002. "Revisiting Oligopolistic Reaction: Are Decisions on Foreign Direct Investment Strategic Complements?," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 11(3), pages 453-472, 09.
  87. Kubler, Felix, 2003. "Observable restrictions of general equilibrium models with financial markets," Journal of Economic Theory, Elsevier, vol. 110(1), pages 137-153, May.
  88. George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, 09.
  89. Ray C. Fair, 2002. "Risk Aversion and Stock Prices," Cowles Foundation Discussion Papers 1382, Cowles Foundation for Research in Economics, Yale University, revised Feb 2003.
  90. Giuseppe Grande & Luigi Ventura, 2001. "Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data," Temi di discussione (Economic working papers) 399, Bank of Italy, Economic Research and International Relations Area.
  91. Raj Chetty, 2006. "A New Method of Estimating Risk Aversion," American Economic Review, American Economic Association, vol. 96(5), pages 1821-1834, December.
  92. George Chacko & Luis M. Viceira, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1369-1402.
  93. Shackman, Joshua D., 2006. "The equity premium and market integration: Evidence from international data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 155-179, April.
  94. YiLi Chien & JunSang Lee, 2006. "Optimal Capital Taxation under Limited Commitment," 2006 Meeting Papers 430, Society for Economic Dynamics.
  95. Jensen, Svenn & Traeger, Christian P., 2014. "Optimal climate change mitigation under long-term growth uncertainty: Stochastic integrated assessment and analytic findings," European Economic Review, Elsevier, vol. 69(C), pages 104-125.
  96. GOLLIER Christian, 2008. "Ecological Discounting," LERNA Working Papers 08.18.262, LERNA, University of Toulouse.
  97. Kurt Annen & Michael Batu & Stephen Kosempel, 2014. "A DSGE-RBC Approach to Measuring Impacts of Wealth Transfers," Working Papers 1404, University of Guelph, Department of Economics and Finance.
  98. Lence, Sergio H., 2008. "Do Futures Benefit Farmers?," Staff General Research Papers Archive 12919, Iowa State University, Department of Economics.
  99. Michael Donadelli & Lorenzo Prosperi, 2012. "The Equity Risk Premium: Empirical Evidence from Emerging Markets," Working Papers CASMEF 1201, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  100. Odegaard, Bernt Arne, 2015. "Empirics of the Oslo Stock Exchange. Basic, descriptive, results 1980-2014," UiS Working Papers in Economics and Finance 2015/3, University of Stavanger.
  101. Nelson C. Mark & S.G. Cecchetti & P-s. Lam, 1997. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 017, Ohio State University, Department of Economics.
  102. Harris Schlesinger & Christian Gollier, 2001. "Changes in Risk and Asset Prices," CESifo Working Paper Series 443, CESifo Group Munich.
  103. Santiago Budría, 2008. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(3), pages 261-274, September.
  104. 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.
  105. Kevin E. Beaubrun-Diant & Julien Matheron, 2008. "Rentabilités d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Economie & Prévision, La Documentation Française, vol. 0(2), pages 35-63.
  106. Huang, Kevin X. D. & Meng, Qinglai, 2007. "Is forward-looking inflation targeting destabilizing? The role of policy's response to current output under endogenous investment," Kiel Working Papers 1348, Kiel Institute for the World Economy (IfW).
  107. Head, Keith & Mayer, Thierry & Ries, John, 2002. "Revisiting Oligopolistic Reaction: Are FDI Decisions Strategic Complements?," CEPR Discussion Papers 3327, C.E.P.R. Discussion Papers.
  108. Brian J. Hall & Jeffrey B. Liebman, 1998. "Are CEOs Really Paid Like Bureaucrats?," The Quarterly Journal of Economics, Oxford University Press, vol. 113(3), pages 653-691.
  109. 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.
  110. Belzil, Christian & Hansen, Jörgen, 2002. "Earnings Dispersion, Risk Aversion and Education," CEPR Discussion Papers 3600, C.E.P.R. Discussion Papers.
  111. Misina, Miroslav, 2006. "Equity premium with distorted beliefs: A puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1431-1440, August.
  112. Cordoba, Juan Carlos & Verdier, Genevieve, 2010. "Inequality and Growth: Some Welfare Calculations," Staff General Research Papers Archive 32119, Iowa State University, Department of Economics.
  113. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
  114. Gomez-Limon, Jose Antonio & Riesgo, Laura & Arriaza Balmón, Manuel, 2002. "Agricultural Risk Aversion Revisited: A Multicriteria Decision-Making Approach," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24827, European Association of Agricultural Economists.
  115. Kocherlakota, Narayana R., 2003. "Societal benefits of illiquid bonds," Journal of Economic Theory, Elsevier, vol. 108(2), pages 179-193, February.
  116. Gollier, Christian, 2015. "Discounting, inequality and economic convergence," Journal of Environmental Economics and Management, Elsevier, vol. 69(C), pages 53-61.
  117. Martin Feldstein & Elena Ranguelova & Andrew Samwick, 1999. "The Transition to Investment-Based Social Security when Portfolio Returns and Capital Profitability are Uncertain," NBER Working Papers 7016, National Bureau of Economic Research, Inc.
  118. 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.
  119. 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.
  120. 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.
  121. Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
  122. Gollier, Christian, 2003. "Transitory Shocks to GNP and the Consumption-Based Term Structure of Interest Rates," IDEI Working Papers 175, Institut d'Économie Industrielle (IDEI), Toulouse.
  123. Hugo Benítez-Silva, 2003. "Labor Supply Flexibility and Portfolio Choice: An Empirical Analysis," Working Papers wp056, University of Michigan, Michigan Retirement Research Center.
  124. Christian Gollier & Edward Schlee, 2011. "Information And The Equity Premium," Journal of the European Economic Association, European Economic Association, vol. 9(5), pages 871-902, October.
  125. Belzil, Christian & Hansen, Jörgen, 1999. "Subjective Discount Rates, Intergenerational Transfers and the Return to Schooling," IZA Discussion Papers 60, Institute for the Study of Labor (IZA).
  126. Grant, Simon & Quiggin, John, 2003. "Noise Trader and the Welfare Effects of Privatization," Working Papers 2003-03, Rice University, Department of Economics.
  127. Engen, Eric & Gale, William & Uccello, Cori, 1999. "The Adequacy of Household Saving," MPRA Paper 56442, University Library of Munich, Germany.
  128. Lahiri, Amartya & Puhakka, Mikko, 1998. "Habit Persistence in Overlapping Generations Economies under Pure Exchange," Journal of Economic Theory, Elsevier, vol. 78(1), pages 176-186, January.
  129. Bill Dupor & Wen-Fang Liu, 2003. "Jealousy and Equilibrium Overconsumption," American Economic Review, American Economic Association, vol. 93(1), pages 423-428, March.
  130. Fatih Guvenen, 2005. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation of Cross-sectional Heterogeneity?," Finance 0507009, EconWPA.
  131. 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.
  132. Aude Pommeret & Anne Epaulard, 2001. "Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility," IMF Working Papers 01/5, International Monetary Fund.
  133. Charles Ka-yui Leung & Dandan Feng, 2004. "Testing Alternative Theories of Property Price-Trading Volume with Commercial Real Estate Market Data," Departmental Working Papers _159, Chinese University of Hong Kong, Department of Economics.
  134. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 249-283, April.
  135. Ennis, Huberto M., 2015. "Discussion on "Scarcity of Safe Assets, Inflation, and the Policy Trap" by Andolfatto and Williamson," Working Paper 15-3, Federal Reserve Bank of Richmond.
  136. 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.
  137. David K. Levine & William Zame, 2001. "Does Market Incompleteness Matter," Levine's Working Paper Archive 78, David K. Levine.
  138. Pierre Lafourcade, 2003. "Asset prices and rents in a GE model with imperfect competition," Finance and Economics Discussion Series 2003-60, Board of Governors of the Federal Reserve System (U.S.).
  139. Thomas Dohmen & Armin Falk & David Huffman & Jurgen Schupp & Uwe Sunde & Gert Wagner, 2005. "Individual risk attitudes: New evidence from a large, representative, experimentally-validated survey," Framed Field Experiments 00140, The Field Experiments Website.
  140. Alma Cohen & Liran Einav, 2005. "Estimating Risk Preferences from Deductible Choice," NBER Working Papers 11461, National Bureau of Economic Research, Inc.
  141. Juan Carlos Cordoba & Genevieve Verdier, 2005. "Lucas vs. Lucas: On Inequality and Growth," Macroeconomics 0511021, EconWPA.
  142. Akdeniz, Levent & Dechert, W. Davis, 2007. "The equity premium in Brock's asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2263-2292, July.
  143. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, regulations, and asset prices," Working Papers 610, Federal Reserve Bank of Minneapolis.
  144. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
  145. Salomons, Roelof & Grootveld, Henk, 2002. "The equity risk premium: emerging versus developed markets," Research Report 02E45, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  146. 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.
  147. Hunter, John & Wu, Feng, 2014. "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, vol. 36(C), pages 557-565.
  148. Liu, Liqun, 2012. "Inferring the rate of pure time preference under uncertainty," Ecological Economics, Elsevier, vol. 74(C), pages 27-33.
  149. William A. Barnett & Shu Wu, 2011. "On User Costs of Risky Monetary Assets," World Scientific Book Chapters, in: Financial Aggregation And Index Number Theory, chapter 3, pages 85-105 World Scientific Publishing Co. Pte. Ltd..
  150. Graciela Sanromán, 2002. "A Discrete Choice Analysis of the Household Shares of Risky Assets," Documentos de Trabajo (working papers) 0702, Department of Economics - dECON.
  151. Hui Guo & Christopher J. Neely & Jason Higbee, 2008. "Foreign Exchange Volatility Is Priced in Equities," Financial Management, Financial Management Association International, vol. 37(4), pages 769-790, December.
  152. Odegaard, Bernt Arne, 2014. "Empirics of the Oslo Stock Exchange. Basic, descriptive, results 1980-2013," UiS Working Papers in Economics and Finance 2014/1, University of Stavanger.
  153. 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.
  154. H. Lloyd-Ellis & Xiaodong Zhu, 1998. "Fiscal Shocks and Fiscal Risk Management," Working Papers lloydell-98-01, University of Toronto, Department of Economics.
  155. Stefano Bosi & Mohanad Ismaël & Alain Venditti, 2014. "Collaterals and Growth Cycles with Heterogeneous Agents," Working Papers halshs-01059577, HAL.
  156. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
  157. Paul Scanlon, 2008. "New Goods and Asset Prices," 2008 Meeting Papers 927, Society for Economic Dynamics.
  158. Richard W. Evans & Laurence J. Kotlikoff & Kerk L. Phillips, 2012. "Game Over: Simulating Unsustainable Fiscal Policy," NBER Chapters, in: Fiscal Policy after the Financial Crisis, pages 177-202 National Bureau of Economic Research, Inc.
  159. Gerber, Anke & Hens, Thorsten & Woehrmann, Peter, 2005. "Dynamic General Equilibrium and T-Period Fund Separation," Discussion Papers 2005/16, Department of Business and Management Science, Norwegian School of Economics.
  160. Anton Korinek & Joseph E. Stiglitz, 2008. "Dividend Taxation and Intertemporal Tax Arbitrage," NBER Working Papers 13858, National Bureau of Economic Research, Inc.
  161. Jack Meyer, 2010. "Representing risk preferences in expected utility based decision models," Annals of Operations Research, Springer, vol. 176(1), pages 179-190, April.
  162. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
  163. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
  164. M. C. Freeman & I. R. Davidson, 1999. "Estimating the equity premium," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 236-246.
  165. Ville, Simon, 2006. "The Equity Premium Puzzle: Australia and the United States in Comparative Perspective," Economics Working Papers wp06-25, School of Economics, University of Wollongong, NSW, Australia.
  166. Kubota, Keiichi & Tokunaga, Toshifumi & Wada, Kenji, 2008. "Consumption behavior, asset returns, and risk aversion: Evidence from the Japanese household survey," Japan and the World Economy, Elsevier, vol. 20(1), pages 1-18, January.
  167. Rubens Penha Cysne, 2005. "Equity-Premium Puzzle: Evidence From Brazilian Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 088, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  168. Caliendo, Frank & Huang, Kevin X.D., 2008. "Overconfidence and consumption over the life cycle," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1347-1369, December.
  169. Traeger, Christian P, 2008. "Why uncertainty matters - discounting under intertemporal risk aversion and ambiguity," CUDARE Working Paper Series 1092R2, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy, revised Jan 2012.
  170. repec:pit:wpaper:504 is not listed on IDEAS
  171. Eva Carceles-Poveda & Chryssi Giannitsarou, 2008. "Asset Pricing with Adaptive Learning," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 629-651, July.
  172. Nourry, Carine & Seegmuller, Thomas & Venditti, Alain, 2013. "Aggregate instability under balanced-budget consumption taxes: A re-examination," Journal of Economic Theory, Elsevier, vol. 148(5), pages 1977-2006.
  173. Clemens Sialm, 2002. "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers 9301, National Bureau of Economic Research, Inc.
  174. Barry, Peter J. & Escalante, Cesar L. & Moss, Leeann E., 2002. "Rental Premiums For Share Versus Cash Leases," 2002 Annual meeting, July 28-31, Long Beach, CA 19684, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  175. Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, vol. 30(7), pages 1233-1260, July.
  176. Weinbaum, David, 2005. "Subsistence consumption, habit formation and the demand for long-term bonds," Journal of Economics and Business, Elsevier, vol. 57(4), pages 273-287.
  177. Peter Rangazas, 2002. "The Quantity and Quality of Schooling and U.S. Labor Productivity Growth (1870-2000)," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(4), pages 932-964, October.
  178. Christopher J. Neely, 1997. "Technical analysis in the foreign exchange market: a layman's guide," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 23-38.
  179. Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina, 2001. "The Declining U.S. Equity Premium," NBER Working Papers 8172, National Bureau of Economic Research, Inc.
  180. H. Youn Kim & Keith R. McLaren & K.K. Gary Wong, 2014. "Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis," Monash Econometrics and Business Statistics Working Papers 4/14, Monash University, Department of Econometrics and Business Statistics.
  181. Kenneth J. Arrow, . "Intergenerational Equity and the Rate of Discount in Long-Term Social Investment," Working Papers 97005, Stanford University, Department of Economics.
  182. Marquering, Wessel & Verbeek, Marno, 1999. "An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 243-265, September.
  183. Dreze, Jacques H, 2000. " Economic and Social Security in the Twenty-First Century, with Attention to Europe," Scandinavian Journal of Economics, Wiley Blackwell, vol. 102(3), pages 327-48, June.
  184. Coleman Bazelon & Kent Smetters, 1999. "Discounting Inside the Washington D.C. Beltway," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 213-228, Fall.
  185. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
  186. repec:dgr:rugsom:04e02 is not listed on IDEAS
  187. Gollier, Christian, 2004. "The Consumption-Based Determinants of the Term Structure of Discount Rates," IDEI Working Papers 296, Institut d'Économie Industrielle (IDEI), Toulouse.
  188. Jonathan A. Parker, 2001. "The Consumption Risk of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(2), pages 279-348.
  189. 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.
  190. Kocherlakota, Narayana R., 1998. "The effects of moral hazard on asset prices when financial markets are complete," Journal of Monetary Economics, Elsevier, vol. 41(1), pages 39-56, February.
  191. Milos Bozovic, 2015. "Equity Premium in Serbia: A Different Kind of Puzzle?," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015, University of Primorska, Faculty of Management Koper.
  192. 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.
  193. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  194. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  195. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  196. Meyer, Donald J. & Meyer, Jack, 2005. "Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1497-1515, November.
  197. Donald Meyer & Jack Meyer, 2005. "Relative Risk Aversion: What Do We Know?," Journal of Risk and Uncertainty, Springer, vol. 31(3), pages 243-262, December.
  198. 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.
  199. Aiyagari, S. Rao & Williamson, Stephen, 1997. "Money, Credit, and Allocation Under Complete Dynamic Contracts and Incomplete Markets," Working Papers 97-20, University of Iowa, Department of Economics.
  200. Auray, Stéphane, 2009. "Consommation, effet de substitution intertemporelle et formation des habitudes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(4), pages 437-473, décembre.
  201. GOLLIER Christian, 2008. "Discounting with fat-tailed economic growth," LERNA Working Papers 08.19.263, LERNA, University of Toulouse.
  202. Hałaj, Grzegorz, 2013. "Optimal asset structure of a bank - bank reactions to stressful market conditions," Working Paper Series 1533, European Central Bank.
  203. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.
  204. Gomez-Limon, Jose A. & Arriaza, Manuel & Riesgo, Laura, 2003. "An MCDM analysis of agricultural risk aversion," European Journal of Operational Research, Elsevier, vol. 151(3), pages 569-585, December.
  205. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
  206. Koji Nakamura & Yumi Saita, 2007. "Land Prices and Fundamentals," Bank of Japan Working Paper Series 07-E-8, Bank of Japan.
  207. Benjamin Eden, 2007. "Liquidity, Equity Premium and Participation," Vanderbilt University Department of Economics Working Papers 0715, Vanderbilt University Department of Economics.
  208. Francis Larson & John List & Robert Metcalfe, 2016. "Can Myopic Loss Aversion Explain the Equity Premium Puzzle? Evidence from a Natural Field Experiment with Professional Traders," Natural Field Experiments 00534, The Field Experiments Website.
  209. Ebrahim, M. Shahid & Mathur, Ike, 2007. "Pricing home mortgages and bank collateral: A rational expectations approach," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1217-1244, April.
  210. José Cao-Alvira, 2012. "Velocity Volatility Assessment of Monetary Shocks on Cash-in-Advance Economies," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 293-311, October.
  211. Brekke, Kjell Arne & Johansson-Stenman, Olof, 2008. "The Behavioural Economics of Climate Change," Working Papers in Economics 305, University of Gothenburg, Department of Economics.
  212. Krebs, Tom & Wilson, Bonnie, 2004. "Asset returns in an endogenous growth model with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 817-839, January.
  213. Jeong-Joon Lee, 2007. "The Adjusted Solow Residual and Asset Returns," Eastern Economic Journal, Eastern Economic Association, vol. 33(2), pages 231-255, Spring.
  214. De Santis Massimiliano, 2010. "Demystifying the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-33, May.
  215. Cogley, Timothy, 2009. "Is the market price of risk infinite?," Economics Letters, Elsevier, vol. 102(1), pages 13-16, January.
  216. Nikolai Roussanov, 2010. "Diversification and Its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status," Journal of Finance, American Finance Association, vol. 65(5), pages 1755-1788, October.
  217. 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.
  218. Paul Ehling, 2004. "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings 311, Econometric Society.
  219. Olesen, Jan Overgaard & Risager, Ole, 2000. "On The Relationship Between The Danish Stock And Bond Market In The Medium And Long Term," Working Papers 04-2000, Copenhagen Business School, Department of Economics.
  220. Gordon, Stephen & St-Amour, Pascal, 1997. "Asset Prices with Contingent Preferences," Cahiers de recherche 9712, Université Laval - Département d'économique, revised 08 Jun 1998.
  221. Jérémy Laurent-Lucchetti & Andrew Leach, 2006. "Induced innovation in a decentralized model of climate change," Cahiers de recherche 06-02, HEC Montréal, Institut d'économie appliquée.
  222. Kevin A. Hassett & Gilbert E. Metcalf, 1997. "Measuring the Energy Savings from Home Improvements Investments: Evidence from Monthly Billing Data," Discussion Papers Series, Department of Economics, Tufts University 9701, Department of Economics, Tufts University.
  223. Lundtofte, Frederik & Wilhelmsson, Anders, 2013. "Risk premia: Exact solutions vs. log-linear approximations," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4256-4264.
  224. Dolmas, Jim, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
  225. Stutzer, Michael, 2003. "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 365-386.
  226. Evans, Richard W., 2012. "Is openness inflationary? Policy commitment and imperfect competition," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1095-1110.
  227. 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.
  228. repec:dau:papers:123456789/198 is not listed on IDEAS
  229. Kent Smetters, 2001. "The Effect of Pay-When-Needed Benefit Guarantees on the Impact of Social Security Privatization," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 91-112 National Bureau of Economic Research, Inc.
  230. White, T. Kirk, 2007. "Initial conditions at Emancipation: The long-run effect on black-white wealth and earnings inequality," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3370-3395, October.
  231. Christophe Boucher, 2003. "Stock Market Valuation : the Role of the Macroeconomic Risk Premium," Finance 0305011, EconWPA.
  232. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
  233. Stefanescu, Razvan & Dumitriu, Ramona, 2015. "Alegerea soluţiilor pentru expunerile faţă de risc
    [Choosing solutions to risk exposures]
    ," MPRA Paper 65074, University Library of Munich, Germany.
  234. M. J. Roche, 2005. "The equity premium puzzle and decreasing relative risk aversion," Economics, Finance and Accounting Department Working Paper Series n1510205, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  235. Kevin X. D. Huang, 2005. "Specific factors meet intermediate inputs : implications for strategic complementarities and persistence," Research Working Paper RWP 04-06, Federal Reserve Bank of Kansas City.
  236. Martin Feldstein & Elena Ranguelova, 1998. "Individual Risk and Intergenerational Risk Sharing in an Investment-Based Social Security Program," NBER Working Papers 6839, National Bureau of Economic Research, Inc.
  237. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.).
  238. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
  239. Chiaki Hara, 2013. "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs," KIER Working Papers 862, Kyoto University, Institute of Economic Research.
  240. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  241. LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 679-702, June.
  242. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.
  243. Castaneda, Ana & Diaz-Gimenez, Javier & Rios-Rull, Jose-Victor, 1998. "Exploring the income distribution business cycle dynamics," Journal of Monetary Economics, Elsevier, vol. 42(1), pages 93-130, June.
  244. Miquel Faig & Pauline Shum, 2002. "Portfolio Choice in the Presence of Personal Illiquid Projects," Journal of Finance, American Finance Association, vol. 57(1), pages 303-328, 02.
  245. Ferre De Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2008. "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Working Paper Research 150, National Bank of Belgium.
  246. 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.
  247. 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.
  248. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  249. Chiaki Hara & Toshiki Honda, 2016. "Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio," KIER Working Papers 943, Kyoto University, Institute of Economic Research.
  250. Magi, Alessandro, 2009. "Portfolio choice, behavioral preferences and equity home bias," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 501-520, May.
  251. Bini Smaghi, Lorenzo, 2007. "Global imbalances and monetary policy," Journal of Policy Modeling, Elsevier, vol. 29(5), pages 711-727.
  252. Frey, Bruno S. & Gallus, Jana, 2013. "Aggregate effects of behavioral anomalies: A new research area," Economics Discussion Papers 2013-51, Kiel Institute for the World Economy (IfW).
  253. Athanasoulis, Stefano G., 2005. "Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 423-447, March.
  254. Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
  255. Casper van Ewijk & Henri L.F. de Groot & Coos Santing, 2010. "A Meta-Analysis of the Equity Premium," Tinbergen Institute Discussion Papers 10-078/3, Tinbergen Institute.
  256. Filippo Taddei, 2007. "Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth?," Carlo Alberto Notebooks 67, Collegio Carlo Alberto.
  257. Pierre Lafourcade, 2004. "Valuation, investment and the pure profit share," Finance and Economics Discussion Series 2004-08, Board of Governors of the Federal Reserve System (U.S.).
  258. Ravi Jagannathan & Narayana R. Kocherlakota, 1996. "Why should older people invest less in stock than younger people?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum, pages 11-23.
  259. Jakusch, Sven Thorsten, 2016. "On the applicability of maximum likelihood methods: From experimental to financial data," SAFE Working Paper Series 148, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  260. Cifarelli, Giulio & Paladino, Giovanna, 2005. "Volatility linkages across three major equity markets: A financial arbitrage approach," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 413-439, April.
  261. Ghiglino, Christian & Tabasso, Nicole, 2016. "Risk aversion in a model of endogenous growth," Journal of Mathematical Economics, Elsevier, vol. 64(C), pages 30-40.
  262. James B. Bullard & Steven Russell, 1998. "Monetary steady states in a low real interest rate economy," Working Papers 1994-012, Federal Reserve Bank of St. Louis.
  263. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  264. PESTIEAU, Pierre & POSSEN, Uri, 2000. "Macroeconomic implications of switching the social security trust fund towards a greater investment in equities," CORE Discussion Papers 2000035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  265. Kelly, David L., 2005. "Price and quantity regulation in general equilibrium," Journal of Economic Theory, Elsevier, vol. 125(1), pages 36-60, November.
  266. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  267. 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.
  268. Miquel Faig, 1997. "INVESTMENT IRREVERSIBILITY IN GENERAL EQUILIBRIUM: Capital Accumulation, Interest Rates, and the Risk Premium," Working Papers faig-97-01, University of Toronto, Department of Economics.
  269. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
  270. Startz, Richard & Tsang, Kwok Ping, 2012. "Nonexponential Discounting: A Direct Test And Perhaps A New Puzzle," University of California at Santa Barbara, Economics Working Paper Series qt8pw4h6vk, Department of Economics, UC Santa Barbara.
  271. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  272. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
  273. 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.
  274. Benjamin Eden, 2008. "Substitution, Risk Aversion and Asset Prices: An Expected Utility Approach," Vanderbilt University Department of Economics Working Papers 0803, Vanderbilt University Department of Economics.
  275. Aase, Knut K., 2015. "Recursive utility and jump-diffusions," Discussion Papers 2015/6, Department of Business and Management Science, Norwegian School of Economics.
  276. Pithak Srisuksai & Vimut Vanitcharearntham, 2016. "Asset Pricing with Idiosyncratic Shocks," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 23(1), pages 35-58, June.
  277. Todd Sarver, 2012. "Optimal Reference Points and Anticipation," Discussion Papers 1566, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  278. repec:dau:papers:123456789/14060 is not listed on IDEAS
  279. Dunbar, Geoffrey, 2013. "Returns-to-scale and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1736-1754.
  280. Charles Leung & Dandan Feng, 2005. "What Drives the Property Price-Trading Volume Correlation? Evidence from a Commercial Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 31(2), pages 241-255, September.
  281. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 385-403, November.
  282. Joseph G. Eisenhauer, 2003. "Approximation bias in estimating risk aversion," Economics Bulletin, AccessEcon, vol. 4(38), pages 1-10.
  283. Christensen, Bent Jesper & Raahauge, Peter, 2004. "Latent Utility Shocks in a Structural Empirical Asset Pricing Model," Working Papers 2004-7, Copenhagen Business School, Department of Finance.
  284. Richard W. Kopcke, 1997. "Are stocks overvalued?," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 21-40.
  285. Grant, S. & Quiggin, J., 2001. "The Risk Premium for Equity : Explanations and Implications," Discussion Paper 2001-89, Tilburg University, Center for Economic Research.
  286. Louis Kaplow, 2003. "Concavity of Utility, Concavity of Welfare, and Redistribution of Income," NBER Working Papers 10005, National Bureau of Economic Research, Inc.
  287. Johansson-Stenman, Olof, 2009. "Risk Aversion and Expected Utility of Consumption over Time," Working Papers in Economics 351, University of Gothenburg, Department of Economics.
  288. repec:lsu:lsuwpp:2014-12 is not listed on IDEAS
  289. Albuquerque, Rui & Eichenbaum, Martin & Rebelo, Sérgio, 2012. "Valuation Risk and Asset Pricing," CEPR Discussion Papers 9262, C.E.P.R. Discussion Papers.
  290. repec:dau:papers:123456789/78 is not listed on IDEAS
  291. Qiang Zhang, 2004. "Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing," CIRJE F-Series CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo.
  292. Olivier Allais & Loïc Cadiou & Stéphane Dées, 2001. "Habitudes de consommation et prime de risque sur le marché actions dans les pays du G7," Économie et Prévision, Programme National Persée, vol. 147(1), pages 1-18.
  293. Azam Mohammadzadeh & Mohammad Nabi Shahiki Tash & Reza Roshan, 2016. "Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1884-1894.
  294. Miguel Ampudia Fraile, 2013. "Stockholding in Spain," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 4(4), pages 415-435, November.
  295. repec:dgr:rugsom:02e45 is not listed on IDEAS
  296. Yakov Ben-Haim, 2007. "Info-Gap Robust-Satisficing and the Probability of Survival," DNB Working Papers 138, Netherlands Central Bank, Research Department.
  297. Harbaugh, Richmond, 1996. "Falling behind the Joneses: relative consumption and the growth-savings paradox," Economics Letters, Elsevier, vol. 53(3), pages 297-304, December.
  298. 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.
  299. Salomons, Roelof & Grootveld, Henk, 2003. "The equity risk premium: emerging vs. developed markets," Emerging Markets Review, Elsevier, vol. 4(2), pages 121-144, June.
  300. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g8o1o6tag is not listed on IDEAS
  301. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  302. Francisco Azeredo, 2014. "The equity premium: a deeper puzzle," Annals of Finance, Springer, vol. 10(3), pages 347-373, August.
  303. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July.
  304. Kramer, Charles, 1999. "Noise trading, transaction costs, and the relationship of stock returns and trading volume," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 343-362, November.
  305. John Laitner, 2002. "Transition Paths and Social Security Reform," Working Papers wp025, University of Michigan, Michigan Retirement Research Center.
  306. Wolfgang Bessler, 1999. "Equity returns, bond returns, and the equity premium in the German capital market," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 186-201.
  307. Robert E. Lucas Jr., 2003. "Macroeconomic Priorities," American Economic Review, American Economic Association, vol. 93(1), pages 1-14, March.
  308. Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009.
  309. Olesen, Jan Overgaard & Risager, Ole, 2000. "On The Predictability Of The Danish Equity Premium," Working Papers 05-2001, Copenhagen Business School, Department of Economics.
  310. Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016. "Generational Asset Pricing, Equity Puzzles, and Cyclicality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 52-71, October.
  311. Pascal St-Amour, 2005. "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series rp136, International Center for Financial Asset Management and Engineering.
  312. Michael R. King & Dan Segal, 2003. "Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?," Staff Working Papers 03-6, Bank of Canada.
  313. Katz, Yuri A., 2017. "Value of the distant future: Model-independent results," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 269-276.
  314. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA.
  315. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
  316. Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO.
  317. repec:pit:wpaper:294 is not listed on IDEAS
  318. Gregoriou, Andros & Hunter, John & Wu, Feng, 2009. "An empirical investigation of the relationship between the real economy and stock returns for the United States," Journal of Policy Modeling, Elsevier, vol. 31(1), pages 133-143.
  319. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," FRB Atlanta Working Paper 2003-4, Federal Reserve Bank of Atlanta.
  320. Prasad V. Bidarkota and J. Huston McCulloch, 2001. "Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its Implications for the Equity Premium Puzzle," Computing in Economics and Finance 2001 70, Society for Computational Economics.
  321. 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.
  322. Chaiki Hara & Atsushi Kajii, 2004. "Risk-Free Bond Prices in Incomplete Markets with Recursive Utility Functions and Multiple Beliefs," KIER Working Papers 590, Kyoto University, Institute of Economic Research.
  323. Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
  324. Raj Chetty, 2006. "A Bound on Risk Aversion Using Labor Supply Elasticities," NBER Working Papers 12067, National Bureau of Economic Research, Inc.
  325. DeJong, David N. & Ripoll, Marla, 2007. "Do self-control preferences help explain the puzzling behavior of asset prices?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1035-1050, May.
  326. Richard B. Howarth, 2003. "Discounting and Uncertainty in Climate Change Policy Analysis," Land Economics, University of Wisconsin Press, vol. 79(3), pages 369-381.
  327. 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.
  328. Zimper, Alexander, 2012. "Asset pricing in a Lucas fruit-tree economy with the best and worst in mind," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 610-628.
  329. Bullard, James & Russell, Steven, 1999. "An empirically plausible model of low real interest rates and unbacked government debt," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 477-508, December.
  330. Jin, Yi & Zeng, Zhixiong, 2016. "Risk, risk aversion, and a finance-augmented neoclassical economic model of production," International Journal of Production Economics, Elsevier, vol. 176(C), pages 82-91.
  331. Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.