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Citations for "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence"

by Alon Brav & George M. Constantinides & Christopher C. Geczy

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  1. Jonathan A. Parker & Bruce Preston, 2004. "Precautionary Saving and Consumption Fluctuations," Working Papers 140, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics.
  2. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2005-04, Federal Reserve Bank of Atlanta.
  3. Buranavityawut, Nonthipoth & Freeman, Mark C. & Freeman, Nisih, 2006. "Has the equity premium been low for 40 years?," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 191-205, August.
  4. Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
  5. Kjetil Storesletten & Chris Telmer & Amir Yaron, 1996. "Asset pricing with idiosyncratic risk and overlapping generations," Economics Working Papers 405, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 1999.
  6. Gomes, Francisco J & Michaelides, Alexander, 2007. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers 6136, C.E.P.R. Discussion Papers.
  7. M. Fatih Guvenen, 2002. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," RCER Working Papers 491, University of Rochester - Center for Economic Research (RCER), revised Mar 2003.
  8. Tom Krebs, 2006. "Multi-Dimensional Risk and the Cost of Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(4), pages 640-658, October.
  9. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  10. Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
  11. Tom Krebs, 2007. "Job Displacement Risk and the Cost of Business Cycles," American Economic Review, American Economic Association, vol. 97(3), pages 664-686, June.
  12. Victoria Atanasov, 2014. "Common Risk Factors in Equity Markets," Tinbergen Institute Discussion Papers 14-070/IV, Tinbergen Institute.
  13. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  14. 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.
  15. Qian, Yiming & John, Kose & John, Teresa A., 2004. "Financial system design and liquidity provision by banks and markets in a dynamic economy," Journal of International Money and Finance, Elsevier, vol. 23(3), pages 385-403, April.
  16. Kris Jacobs & Stephane Pallage & Michel A. Robe, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO.
  17. Dudley, Evan & Zhang, Ning, 2016. "Trust and corporate cash holdings," Journal of Corporate Finance, Elsevier, vol. 41(C), pages 363-387.
  18. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
  19. Karen E. Dynan & Dean M. Maki, 2001. "Does stock market wealth matter for consumption?," Finance and Economics Discussion Series 2001-23, Board of Governors of the Federal Reserve System (U.S.).
  20. Nikolai Roussanov & Michael Michaux & Hui Chen, 2011. "Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty," 2011 Meeting Papers 1369, Society for Economic Dynamics.
  21. 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.
  22. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
  23. Steven J. Davis & Felix Kubler & Paul S. Willen, 2005. "Borrowing costs and the demand for equity over the life cycle," Working Papers 05-7, Federal Reserve Bank of Boston.
  24. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2009. "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium," Review of Economic Studies, Oxford University Press, vol. 76(3), pages 851-878.
  25. Andrei Semenov, 2017. "Background risk in consumption and the equity risk premium," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 407-439, February.
  26. Andrei Semenov, 2004. "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," Working Papers 2004_1, York University, Department of Economics.
  27. John C. Ham & Kevin T. Reilly, 2013. "Implicit Contracts, Life Cycle Labor Supply, And Intertemporal Substitution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54, pages 1133-1158, November.
  28. Pelgrin, F. & St-Amour, P., 2014. "Life cycle responses to health insurance status," Health, Econometrics and Data Group (HEDG) Working Papers 14/13, HEDG, c/o Department of Economics, University of York.
  29. Yamin Ahmad, 2005. "Reconciling The Effects of Monetary Policy Actions on Consumption Within A Heterogeneous Agent Framework," Computing in Economics and Finance 2005 121, Society for Computational Economics.
  30. Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2009. "Quantitative Macroeconomics with Heterogeneous Households," Annual Review of Economics, Annual Reviews, vol. 1(1), pages 319-354, 05.
  31. Alexandros Kostakis, 2007. "Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors," Discussion Papers 07/07, Department of Economics, University of York.
  32. Tom Krebs, 2003. "Growth and Welfare Effects of Business Cycles in Economies with Idiosyncratic Human Capital Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 846-868, October.
  33. Parantap Basu & Andrei Semenovz & Kenji Wadax, 2007. " Uninsurable Risk and Financial Market Puzzles," CDMA Conference Paper Series 0701, Centre for Dynamic Macroeconomic Analysis.
  34. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  35. Bach, Christian & Møller, Stig V., 2011. "Habit-based asset pricing with limited participation consumption," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2891-2901, November.
  36. Kazufumi Yamana, "undated". "Structural Household Finance," Discussion papers ron279, Policy Research Institute, Ministry of Finance Japan.
  37. Alexis Akira Toda & Kieran Walsh, 2015. "The Double Power Law in Consumption and Implications for Testing Euler Equations," Journal of Political Economy, University of Chicago Press, vol. 123(5), pages 1177-1200.
  38. Mirakhor, Abbas, 2010. "Whither Islamic Finance? Risk Sharing in An Age of Crises," MPRA Paper 56341, University Library of Munich, Germany.
  39. Kevin X.D. Huang & Zheng Liu & John Q. Zhu, 2007. "Temptation and Self-Control: Some Evidence and Applications," Vanderbilt University Department of Economics Working Papers 0711, Vanderbilt University Department of Economics.
  40. Stracca, Livio, 2005. "Liquidity and real equilibrium interest rates: a framework of analysis," Working Paper Series 0542, European Central Bank.
  41. Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2004. "Social Interaction and Stock-Market Participation," Journal of Finance, American Finance Association, vol. 59(1), pages 137-163, 02.
  42. Giorgio Primiceri & Thijs van Rens, 2002. "Inequality over the Business Cycle: Estimating Income Risk using Micro-Data on Consumption," Macroeconomics 0212003, EconWPA.
  43. Takekuma, Shin-Ichi, 2010. "The Modigliani-Miller Theorem In A Dynamic Economy," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 51(1), pages 43-55, June.
  44. Jack Favilukis, 2007. "Inequality, stock market participation, and the equity premium," LSE Research Online Documents on Economics 24500, London School of Economics and Political Science, LSE Library.
  45. Richard W. Evans, 2012. "Is Openness Inflationary? Policy Commitment and Imperfect Competition," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  46. Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, 06.
  47. Anisha Ghosh & George Constantinides, 2015. "Asset Pricing with Countercyclical Household Consumption Risk," 2015 Meeting Papers 185, Society for Economic Dynamics.
  48. 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.
  49. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
  50. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  51. Dirk Krueger & Hanno Lustig & Fabrizio Perri, 2007. "Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data," NBER Working Papers 13650, National Bureau of Economic Research, Inc.
  52. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
  53. Askari, Hossein & Iqbal, Zamir & Krichene, Noureddine & Mirakhor, Abbas, 2014. "Understanding Development in an Islamic Framework," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 22, pages 1-36.
  54. Stig V. Møller & Jesper Rangvid, 2012. "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers 2012-42, Department of Economics and Business Economics, Aarhus University.
  55. 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.
  56. De Santis Massimiliano, 2010. "Demystifying the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-33, May.
  57. Tano Santos & Pietro Veronesi, 2016. "Habits and Leverage," NBER Working Papers 22905, National Bureau of Economic Research, Inc.
  58. Motohiro Yogo & Jessica Wachter, 2007. "Why do Household Portfolio Shares Rise in Wealth?," 2007 Meeting Papers 929, Society for Economic Dynamics.
  59. Yeung Lewis Chan & Leonid Kogan, "undated". "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.
  60. Matteo Iacoviello, 2006. "Household Debt and Income Inequality, 1963-2003," 2006 Meeting Papers 585, Society for Economic Dynamics.
  61. Hossein Askari & Noureddine Krichene, 2014. "Islamic finance: an alternative financial system for stability, equity, and growth," PSL Quarterly Review, Economia civile, vol. 67(268), pages 9-54.
  62. Santos, Tano & Veronesi, Pietro, 2016. "Habits and Leverage," CEPR Discussion Papers 11681, C.E.P.R. Discussion Papers.
  63. 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.
  64. Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
  65. 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.
  66. Jeffrey R. Brown & Zoran Ivkovic & Paul A. Smith & Scott Weisbenner, 2008. "Neighbors Matter: Causal Community Effects and Stock Market Participation," Journal of Finance, American Finance Association, vol. 63(3), pages 1509-1531, 06.
  67. Ralph S.J. Koijen & Motohiro Yogo, 2015. "An Equilibrium Model of Institutional Demand and Asset Prices," NBER Working Papers 21749, National Bureau of Economic Research, Inc.
  68. Fatih Guvenen & Serdar Ozkan & Jae Song, 2012. "The Nature of Countercyclical Income Risk," NBER Working Papers 18035, National Bureau of Economic Research, Inc.
  69. Pascal St-Amour, 2005. "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series rp136, International Center for Financial Asset Management and Engineering.
  70. Florin Bilbiie & Roland Straub, 2012. "Changes in the Output Euler Equation and Asset Markets Participation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00680647, HAL.
  71. Muhammet Fatih Guvenen, 2000. "Does Stockholding Provide Perfect Risk Sharing?," GSIA Working Papers 2000-E48, Carnegie Mellon University, Tepper School of Business.
  72. Mordecai Kurz, 2005. "Measuring the Ex-Ante Social Cost of Aggregate Volatility," Discussion Papers 04-006, Stanford Institute for Economic Policy Research.
  73. Liam Graham, 2011. "Learning, information and heterogeneity," CDMA Working Paper Series 201113, Centre for Dynamic Macroeconomic Analysis.
  74. Andrei SEMENOV, "undated". "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," EcoMod2004 330600126, EcoMod.
  75. 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.
  76. repec:pri:wwseco:dp227 is not listed on IDEAS
  77. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
  78. 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.
  79. Goswami, Gautam & Tan, Sinan & Waisman, Maya, 2014. "Understanding the cross-section of the U.S. housing bubble: The roles of lending, transaction costs, and rent growth," Journal of Financial Stability, Elsevier, vol. 15(C), pages 76-90.
  80. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  81. Reyno SEYMORE & Margaret MABUGU & Jan VAN HEERDEN, "undated". "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," EcoMod2010 259600155, EcoMod.
  82. Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," Emory Economics 0507, Department of Economics, Emory University (Atlanta).
  83. 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.
  84. Basu, Parantap & Semenov, Andrei & Wada, Kenji, 2011. "Uninsurable risk and financial market puzzles," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1055-1089, October.
  85. Tom Krebs, 2004. "Welfare Cost of Business Cycles When Markets Are Incomplete," Working Papers 2004-08, Brown University, Department of Economics.
  86. Davide Malacrino & Eran Hoffmann, 2016. "Employment Time and the Cyclicality of Earnings Growth," 2016 Meeting Papers 1556, Society for Economic Dynamics.
  87. Jeffrey R. Brown & Zoran Ivkovich & Paul A. Smith & Scott Weisbenner, 2004. "The Geography of Stock Market Participation: The Influence of Communities and Local Firms," NBER Working Papers 10235, National Bureau of Economic Research, Inc.
  88. Alberto Naudon & Matías Tapia & Felipe Zurita, 2004. "Ignorance, Fixed Costs, and the Stock-Market Participation Puzzle," Documentos de Trabajo 262, Instituto de Economia. Pontificia Universidad Católica de Chile..
  89. Khorunzhina, Natalia, 2011. "Dynamic Stock Market Participation of Households," MPRA Paper 35310, University Library of Munich, Germany.
  90. Li, Yuming & Zhong, Maosen, 2005. "Consumption habit and international stock returns," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 579-601, March.
  91. Bovenberg, A.L. & Koijen, R.S.J. & Nijman, T.E. & Teulings, C.N., 2007. "Saving and investing over the life cycle and the role of collective pension funds," Other publications TiSEM 6eab1341-eda5-4f21-8c06-8, Tilburg University, School of Economics and Management.
  92. Yulei Peng & Anastasia Zervou, 2014. "Monetary Policy Rules and the Equity Premium," Working Papers 20141115_001, Texas A&M University, Department of Economics.
  93. Sean Campbell & Canlin Li, 2003. "Per Capita Consumption, Luxury Consumption and the Presidential Puzzle: A Partial Resolution," Working Papers 2003-18, Brown University, Department of Economics.
  94. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
  95. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
  96. 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.
  97. repec:pri:wwseco:dp222 is not listed on IDEAS
  98. 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.
  99. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  100. Tom Krebs, 2002. "Growth & Welfare Effects of Business Cycles In Economies with Idiosyncratic Human Capital Risk," Working Papers 2002-31, Brown University, Department of Economics.
  101. 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.
  102. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
  103. Abbas Mirakhor, 2014. "Foundations of risk-sharing finance: an Islamic view," Chapters, in: Risk and Regulation of Islamic Banking, chapter 6, pages 107-128 Edward Elgar Publishing.
  104. Alexis Akira Toda & Kieran Walsh, 2015. "Asset Pricing and the One Percent," 2015 Meeting Papers 858, Society for Economic Dynamics.
  105. Tom Krebs, 2003. "Human Capital Risk and Economic Growth," The Quarterly Journal of Economics, Oxford University Press, vol. 118(2), pages 709-744.
  106. Costas Xiouros, 2006. "Asset price volatilities and trading volumes in heterogeneous agent economies," Computing in Economics and Finance 2006 466, Society for Computational Economics.
  107. Zigrand, Jean-Pierre, 2006. "Endogenous market integration, manipulation and limits to arbitrage," Journal of Mathematical Economics, Elsevier, vol. 42(3), pages 301-314, June.
  108. 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.
  109. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
  110. 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.
  111. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  112. 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.
  113. Andrei SEMENOV, "undated". "High-Order Consumption Moments and Asset Pricing," EcoMod2004 330600127, EcoMod.
  114. Fatih Guvenen, 2005. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation of Cross-sectional Heterogeneity?," Finance 0507009, EconWPA.
  115. Alok Kumar, 2013. "Inflation, Redistribution, and Real Activities," Department Discussion Papers 1302, Department of Economics, University of Victoria.
  116. 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.
  117. Kim, Youngsoo & Lee, Bong Soo, 2007. "Limited participation and the closed-end fund discount," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 381-399, February.
  118. 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.
  119. Annette Vissing-Jorgensen, 2002. "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution," NBER Working Papers 8896, National Bureau of Economic Research, Inc.
  120. HORI Masahiro & SHIMIZUTANI Satoshi, 2003. "Asset Holding and Consumption: Evidence from Japanese Panel Data in the 1990s," ESRI Discussion paper series 055, Economic and Social Research Institute (ESRI).
  121. Tom Krebs, 2002. "Asset Returns in an Endogenous Growth Model with Incomplete Markets," Working Papers 2002-18, Brown University, Department of Economics.
  122. Gregory Phelan & Alexis Akira Toda, 2015. "On the Robustness of Theoretical Asset Pricing Models," Department of Economics Working Papers 2015-10, Department of Economics, Williams College.
  123. Xiaoquan Jiang, 2010. "Return dispersion and expected returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(2), pages 107-135, June.
  124. Lars Peter Hansen, 2012. "Risk Pricing over Alternative Investment Horizons," Working Papers 2012-008, Becker Friedman Institute for Research In Economics.
  125. Matteo Iacoviello & Marina Pavan, 2007. "An Equilibrium Model of Lumpy Housing Investment," Rivista di Politica Economica, SIPI Spa, vol. 97(2), pages 15-44, March-Apr.
  126. Jacobs, Kris, 2007. "Consumption-leisure nonseparabilities in asset market participants' preferences," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2131-2138, October.
  127. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  128. Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
  129. Balduzzi, Pierluigi & Yao, Tong, 2007. "Testing heterogeneous-agent models: an alternative aggregation approach," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 369-412, March.
  130. Hsu, Jason C., 2012. "What drives equity market non-participation?," The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 86-114.
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