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Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information

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Cited by:

  1. Monica Paiella, 2007. "The Forgone Gains of Incomplete Portfolios," The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1623-1646, 2007 13.
  2. YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
  3. Danthine, Jean-Pierre & Donaldson, John B. & Mehra, Rajnish, 1992. "The equity premium and the allocation of income risk," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 509-532.
  4. Kasper Larsen & Tanawit Sae Sue, 2015. "Radner equilibrium in incomplete Levy models," Papers 1507.02974, arXiv.org, revised Jul 2015.
  5. Mankiw, N. Gregory & Zeldes, Stephen P., 1991. "The consumption of stockholders and nonstockholders," Journal of Financial Economics, Elsevier, vol. 29(1), pages 97-112, March.
  6. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  7. Yulei Luo & William T. Smith & Heng-Fu Zou, 2009. "The Spirit of Capitalism, Precautionary Savings, and Consumption," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 543-554, March.
  8. Duffie, Darrell, 1996. "Incomplete security markets with infinitely many states: An introduction," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 1-8.
  9. Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
  10. Kabderian Dreyer, Johannes & Sharma, Vivek & Smith, William, 2023. "Warm-glow investment and the underperformance of green stocks," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 546-570.
  11. Jock R. Anderson, 1983. "On Risk Deductions In Public Project Appraisal," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 27(3), pages 231-239, December.
  12. Attanasio, Orazio P & Browning, Martin, 1995. "Consumption over the Life Cycle and over the Business Cycle," American Economic Review, American Economic Association, vol. 85(5), pages 1118-1137, December.
  13. Nicolae B. Gârleanu & Stavros Panageas, 2020. "Heterogeneity and Asset Prices: A Different Approach," NBER Working Papers 26607, National Bureau of Economic Research, Inc.
  14. Miles S. Kimball, 1990. "Precautionary Saving and the Marginal Propensity to Consume," NBER Working Papers 3403, National Bureau of Economic Research, Inc.
  15. Cecchetti, Stephen G. & Lam, Pok-sang & Mark, Nelson C., 1993. "The equity premium and the risk-free rate : Matching the moments," Journal of Monetary Economics, Elsevier, vol. 31(1), pages 21-45, February.
  16. Yulei Luo & William T. Smith & Heng-fu Zou, 2009. "The Spirit of Capitalism and Excess Smoothness," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 281-301, November.
  17. Terry A. Marsh, 1985. "Asset Pricing Model Specification and the Term Structure Evidence," NBER Working Papers 1612, National Bureau of Economic Research, Inc.
  18. Pischke, Jorn-Steffen, 1995. "Individual Income, Incomplete Information, and Aggregate Consumption," Econometrica, Econometric Society, vol. 63(4), pages 805-840, July.
  19. Martin D. Evans & Paul Wachtel, 1990. "A Modern Look At Asset Pricing and Short-Term Interest Rates," NBER Working Papers 3245, National Bureau of Economic Research, Inc.
  20. 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.
  21. Mayfield, E. Scott & Murphy, Robert G., 1996. "Explaining the term structure of interest rates: A panel data approach," Journal of Economics and Business, Elsevier, vol. 48(1), pages 11-21, February.
  22. 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.
  23. 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.
  24. repec:zbw:bofrdp:2008_025 is not listed on IDEAS
  25. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
  26. Kasa, Kenneth, 1997. "Consumption-based versus production-based models of international equity markets," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 653-680, September.
  27. Telmer, Chris I. & Zin, Stanley E., 2002. "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1127-1157, July.
  28. Stefano G. Athanasoulis & Robert J. Shiller, 2001. "World Income Components: Measuring and Exploiting Risk-Sharing Opportunities," American Economic Review, American Economic Association, vol. 91(4), pages 1031-1054, September.
  29. Barbachan, José Fajardo, 2002. "Equilibrium in stochastic economies with incomplete financial markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 22(1), May.
  30. Deaton, Angus & Paxson, Christina, 1994. "Intertemporal Choice and Inequality," Journal of Political Economy, University of Chicago Press, vol. 102(3), pages 437-467, June.
  31. Saito, Makoto, 1998. "A simple model of incomplete insurance the case of permanent shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 763-777, May.
  32. Mankiw, N. Gregory, 1986. "The equity premium and the concentration of aggregate shocks," Journal of Financial Economics, Elsevier, vol. 17(1), pages 211-219, September.
  33. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.
  34. 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.
  35. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
  36. Bakshi, Gurdip S. & Zhiwu, Chen, 1997. "An alternative valuation model for contingent claims," Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
  37. Elmendorf, Douglas W & Kimball, Miles S, 2000. "Taxation of Labor Income and the Demand for Risky Assets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 41(3), pages 801-833, August.
  38. Steven J. Davis & Felix Kubler & Paul Willen, 2006. "Borrowing Costs and the Demand for Equity over the Life Cycle," The Review of Economics and Statistics, MIT Press, vol. 88(2), pages 348-362, May.
  39. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  40. Orazio P. Attanasio & Martin Browning, 1994. "Testing the life cycle model consumption: what can we learn from micro and macro data?," Investigaciones Economicas, Fundación SEPI, vol. 18(3), pages 433-463, September.
  41. 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.
  42. Marzo, Massimiliano & Romagnoli, Silvia & Zagaglia, Paolo, 2008. "A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions," Bank of Finland Research Discussion Papers 25/2008, Bank of Finland.
  43. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
  44. Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
  45. Young, Denise & Ryan, David L., 1996. "Empirical testing of a risk-adjusted Hotelling model," Resource and Energy Economics, Elsevier, vol. 18(3), pages 265-289, October.
  46. Buchner, Axel & Kaserer, Christoph & Wagner, Niklas, 2006. "Stochastic modeling of private equity: an equilibrium based approach to fund valuation," CEFS Working Paper Series 2006-02, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
  47. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  48. Neilson, William S. & Winter, Harold, 2002. "A verification of the expected utility calibration theorem," Economics Letters, Elsevier, vol. 74(3), pages 347-351, February.
  49. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  50. Galicia-Sanguino, Lucía & Rojo-Suárez, Javier & Alonso-Conde, Ana B. & López-Pérez, M. Victoria, 2021. "Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  51. Hodrick, Robert J. & Srivastava, Sanjay, 1984. "An investigation of risk and return in forward foreign exchange," Journal of International Money and Finance, Elsevier, vol. 3(1), pages 5-29, April.
  52. John Y. Campbell, 2003. "Two Puzzles of Asset Pricing and Their Implications for Investors," The American Economist, Sage Publications, vol. 47(1), pages 48-74, March.
  53. Pierre‐André Chiappori & Monica Paiella, 2011. "Relative Risk Aversion Is Constant: Evidence From Panel Data," Journal of the European Economic Association, European Economic Association, vol. 9(6), pages 1021-1052, December.
  54. Panageas, Stavros, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," Foundations and Trends(R) in Finance, now publishers, vol. 12(3), pages 199-275, November.
  55. Marzo, Massimiliano & Romagnoli , Silvia & Zagaglia, Paolo, 2008. "A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions," Research Papers in Economics 2008:6, Stockholm University, Department of Economics.
  56. Laurian Lungu & Patrick Minford, 2006. "Explaining The Equity Risk Premium," Manchester School, University of Manchester, vol. 74(6), pages 670-700, December.
  57. Ciprian Necula, 2008. "A Two-Country Discontinuous General Equilibrium Model," Advances in Economic and Financial Research - DOFIN Working Paper Series 23, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
  58. 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.
  59. Robert E. Cumby, 1987. "Consumption Risk and International Asset Returns: Some Empirical Evidence," NBER Working Papers 2383, National Bureau of Economic Research, Inc.
  60. Yosef Bonaparte & Frank J Fabozzi, 2017. "A flexible approach to estimate the equity premium," Applied Economics, Taylor & Francis Journals, vol. 49(59), pages 5940-5950, December.
  61. Timothy K. Chue, 2024. "Social Status, Portfolio Externalities, and International Risk Sharing," JRFM, MDPI, vol. 17(10), pages 1-11, October.
  62. Robert E. Hall, 1985. "Real Interest and Consumption," NBER Working Papers 1694, National Bureau of Economic Research, Inc.
  63. Peter J. Phillips & Michael Baczynski & John Teale, 2009. "Can self‐managed superannuation fund trustees earn the equity risk premium?," Accounting Research Journal, Emerald Group Publishing Limited, vol. 22(1), pages 27-45, July.
  64. 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.
  65. Krueger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers.
  66. Timothy K. Chue, 2004. "The Spirit of Capitalism and International Risk Sharing," Econometric Society 2004 Far Eastern Meetings 589, Econometric Society.
  67. Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly & Bernard Herskovic, 2014. "The Common Factor in Idiosyncratic Volatility," 2014 Meeting Papers 810, Society for Economic Dynamics.
  68. Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros, 2012. "Displacement risk and asset returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 491-510.
  69. Antulio N Bomfim, 2003. "Optimal portfolio allocation in a world without Treasury securities," Journal of Asset Management, Palgrave Macmillan, vol. 4(1), pages 10-21, June.
  70. Adam Szeidl & Raj Chetty, 2005. "Consumption Commitments: Neoclassical Foundations for Habit Formation," 2005 Meeting Papers 122, Society for Economic Dynamics.
  71. N. Gregory Mankiw & Matthew D. Shapiro, 1984. "Risk and Return: Consumption versus Market Beta," NBER Working Papers 1399, National Bureau of Economic Research, Inc.
  72. Päivi Kankaanranta, 2006. "Consumption Over the Life Cycle: A Selected Literature Review," Discussion Papers 7, Aboa Centre for Economics.
  73. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc.
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