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Citations for "Asset Pricing with Heterogeneous Consumers"

by Constantinides, George M & Duffie, Darrell

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  1. Abbas Mirakhor & S. Nuri Erbas, 2007. "The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality," IMF Working Papers 07/230, .
  2. Piero Gottardi & Atsushi Kajii & Tomoyuki Nakajima, 2010. "Optimal taxation and constrained inefficiency in an infinite-horizon economy with incomplete markets," KIER Working Papers 745, Kyoto University, Institute of Economic Research.
  3. Farmer, Roger E A, 2014. "Asset Prices in a Lifecycle Economy," CEPR Discussion Papers 9897, C.E.P.R. Discussion Papers.
  4. Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
  5. Alexis Akira Toda & Kieran Walsh, 2015. "Asset Pricing and the One Percent," 2015 Meeting Papers 858, Society for Economic Dynamics.
  6. Parke, William R. & Waters, George A., 2014. "On The Evolutionary Stability Of Rational Expectations," Macroeconomic Dynamics, Cambridge University Press, vol. 18(07), pages 1581-1606, October.
  7. Andrés Carvajal, 2003. "Testable Restrictions On The Equilibrium Manifold Under Random Preferences," BORRADORES DE ECONOMIA 001899, BANCO DE LA REPÚBLICA.
  8. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
  9. Esther Eiling, 2013. "Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 68(1), pages 43-84, 02.
  10. Campbell, Sean D. & Diebold, Francis X., 2005. "Stock returns and expected business conditions: Half a century of direct evidence," CFS Working Paper Series 2005/22, Center for Financial Studies (CFS).
  11. Wang, Qin & Ren, Yu & Zou, Yiheng, 2016. "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, vol. 58(C), pages 64-74.
  12. Martin Lettau & Sydney Ludvigson, 2003. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," NBER Working Papers 9848, National Bureau of Economic Research, Inc.
  13. 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.
  14. Fatih Guvenen, 2005. "Learning Your Earning: Are Labor Income Shocks Really Very Persistent?," Macroeconomics 0507004, EconWPA.
  15. Heathcote, Jonathan & Storesletten, Kjetil & Violante, Giovanni L, 2007. "Consumption and Labour Supply with Partial Insurance: An Analytical Framework," CEPR Discussion Papers 6280, C.E.P.R. Discussion Papers.
  16. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
  17. Tom Krebs & Pravin Krishna, 2005. "Trade Policy, Income Risk and Welfare," 2005 Meeting Papers 271, Society for Economic Dynamics.
  18. 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.
  19. Michał Gradzewicz & Krzysztof Makarski & Joanna Tyrowicz, 2013. "Do We Really Need to Start From Scratch? Economic Theory on Economic Crises," Working Papers 2013-17, Faculty of Economic Sciences, University of Warsaw.
  20. Sun, Yeneng, 2006. "The exact law of large numbers via Fubini extension and characterization of insurable risks," Journal of Economic Theory, Elsevier, vol. 126(1), pages 31-69, January.
  21. Marco Taboga, 2002. "The Realized Equity Premium has been Higher than Expected: Further Evidence," CeRP Working Papers 29, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  22. repec:pri:wwseco:dp227 is not listed on IDEAS
  23. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2014. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  24. Susan Sunila Sharma & Paresh Kumar Narayan & Xinwei Zheng, 2011. "An analysis of firm and market volatility," Financial Econometics Series 2011_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  25. Pástor, Lˇuboš & Veronesi, Pietro, 2016. "Income inequality and asset prices under redistributive taxation," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 1-20.
  26. Barlevy, Gadi & Tsiddon, Daniel, 2006. "Earnings inequality and the business cycle," European Economic Review, Elsevier, vol. 50(1), pages 55-89, January.
  27. Kuhn, Moritz, 2008. "Recursive equilibria in an Aiyagari style economy with permanent income shocks," MPRA Paper 32323, University Library of Munich, Germany, revised 09 Dec 2009.
  28. Salomons, Roelof & Sterken, Elmer, 2009. "Corporate control rights and the long-run equity risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 63-76, February.
  29. 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.
  30. Mark Huggett & Greg Kaplan, 2012. "The Money Value of a Man," Working Papers 2012-009, Human Capital and Economic Opportunity Working Group.
  31. 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.
  32. YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
  33. Nicholas Barberis & Ming Huang & Tano Santos, 1999. "Prospect Theory and Asset Prices," NBER Working Papers 7220, National Bureau of Economic Research, Inc.
  34. Hanno Lustig & Stijn Van Nieuwerburgh, 2003. "Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective," NBER Working Papers 9959, National Bureau of Economic Research, Inc.
  35. Nitschka, Thomas, 2006. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Technical Reports 2006,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  36. Daniel Harenberg & Alexander Ludwig, 2014. "Social Security and the Interactions Between Aggregate and Idiosyncratic Risk," Working Paper Series in Economics 71, University of Cologne, Department of Economics.
  37. Xavier Ragot & Edouard Challe, 2011. "Precautionary Saving over the Business Cycle," 2011 Meeting Papers 517, Society for Economic Dynamics.
  38. Adriano A. Rampini & S. Viswanathan, 2016. "Household Risk Management," NBER Working Papers 22293, National Bureau of Economic Research, Inc.
  39. Ang, Andrew & Maddaloni, Angela, 2003. "Do demographic changes affect risk premiums? Evidence from international data," Working Paper Series 0208, European Central Bank.
  40. Soosung Hwang & Steve Satchell, 2005. "GARCH model with cross-sectional volatility: GARCHX models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 203-216.
  41. Fagereng, Andreas & Guiso, Luigi & Pistaferri, Luigi, 2016. "Back to background risk?," CEPR Discussion Papers 11051, C.E.P.R. Discussion Papers.
  42. James Feigenbaum & Geng Li, 2008. "Lifecycle dynamics of income uncertainty and consumption," Finance and Economics Discussion Series 2008-27, Board of Governors of the Federal Reserve System (U.S.).
  43. Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008. "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Staff Working Papers 08-16, Bank of Canada.
  44. Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-00944920, HAL.
  45. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
  46. Annette Vissing-Jorgensen, 2002. "Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures," NBER Working Papers 8884, National Bureau of Economic Research, Inc.
  47. Kjetil Storesletten & Chris Telmer & Amir Yaron, "undated". "Asset pricing with idiosyncratic risk and overlapping generations," GSIA Working Papers 226, Carnegie Mellon University, Tepper School of Business.
  48. Martin Gonzalez Eiras & Laurent Calvet & Paolo Sodini, 2004. "Financial Innovation, Market Participation, and Asset Prices," Working Papers 76, Universidad de San Andres, Departamento de Economia, revised Sep 2004.
  49. Fernando Alvarez & Urban J. Jermann, 1998. "Asset Pricing when Risk Sharing is Limited by Default," NBER Working Papers 6476, National Bureau of Economic Research, Inc.
  50. Krebs, Tom & Yao, Yao, 2016. "Labor Market Risk in Germany," IZA Discussion Papers 9869, Institute for the Study of Labor (IZA).
  51. Marco Taboga, 2004. "The equity premium in the long-run," Applied Financial Economics, Taylor & Francis Journals, vol. 14(9), pages 645-650.
  52. George M. Constantinides & Anisha Ghosh, 2008. "Asset pricing tests with long run risks in consumption growth," LSE Research Online Documents on Economics 24428, London School of Economics and Political Science, LSE Library.
  53. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.).
  54. Farmer, Roger E A, 2015. "Global Sunspots and Asset Prices in a Monetary Economy," CEPR Discussion Papers 10402, C.E.P.R. Discussion Papers.
  55. Harris Schlesinger & Christian Gollier, 2001. "Changes in Risk and Asset Prices," CESifo Working Paper Series 443, CESifo Group Munich.
  56. Christian Julliard, 2004. "Human capital and international portfolio choice," LSE Research Online Documents on Economics 4813, London School of Economics and Political Science, LSE Library.
  57. Geppert, Christian & Ludwig, Alexander & Abiry, Raphael, 1970. "Secular Stagnation? Growth, Asset Returns and Welfare in the Next Decades: First Results," MEA discussion paper series 201605, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
  58. George-Marios Angeletos & Laurent-Emmanuel Calvet, 2004. "Incomplete Market Dynamics in a Neoclassical Production Economy," NBER Working Papers 11016, National Bureau of Economic Research, Inc.
  59. 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.
  60. Lettau, M. & Uhlig, H.F.H.V.S., 1997. "Preferences, Consumption Smoothing and Risk Premia," Discussion Paper 1997-60, Tilburg University, Center for Economic Research.
  61. Tom Krebs, 2003. "Human Capital Risk and Economic Growth," The Quarterly Journal of Economics, Oxford University Press, vol. 118(2), pages 709-744.
  62. Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
  63. Ahn, Seryoong & Choi, Kyoung Jin & Koo, Hyeng Keun, 2015. "A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 9-22.
  64. John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  65. George Constantinides & John Donaldson & Rajnish Mehra, 2007. "Junior is rich: bequests as consumption," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(1), pages 125-155, July.
  66. Hogrefe, Jan & Yao, Yao, 2012. "Offshoring and labor income risk," ZEW Discussion Papers 12-025, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  67. repec:hal:wpaper:hal-00843150 is not listed on IDEAS
  68. Kohara, Miki & Ohtake, Fumio & Saito, Makoto, 2001. "A Test of the Full Insurance Hypothesis: The Case of Japan," Discussion Papers 2001-05, Graduate School of Economics, Hitotsubashi University.
  69. 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.
  70. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  71. 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.
  72. Luis M. Viceira, 1999. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," NBER Working Papers 7409, National Bureau of Economic Research, Inc.
  73. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May.
  74. R. Anton BRAUN & NAKAJIMA Tomoyuki, 2009. "Optimal Monetary Policy When Asset Markets are Incomplete," Discussion papers 09050, Research Institute of Economy, Trade and Industry (RIETI).
  75. Krebs, Tom & Krishna, Pravin & Maloney, William F., 2012. "Income risk, income mobility and welfare," Policy Research Working Paper Series 6254, The World Bank.
  76. Emilio Espino & Thomas Hintermaier, 2009. "Asset trading volume in a production economy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(2), pages 231-258, May.
  77. Garcia, R. & Bonomo, M., 1993. "Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles," Cahiers de recherche 9334, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  78. François Legrand & Xavier Ragot, 2016. "Optimal policy with heterogeneous agents and aggregate shocks : An application to optimal public debt dynamics," 2016 Meeting Papers 1272, Society for Economic Dynamics.
  79. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008. "Multifrequency jump-diffusions: An equilibrium approach," Post-Print hal-00459681, HAL.
  80. Mohammad R. Jahan‐Parvar & Xuan Liu & Philip Rothman, 2013. "Equity Returns and Business Cycles in Small Open Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(6), pages 1117-1146, 09.
  81. repec:pit:wpaper:294 is not listed on IDEAS
  82. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, 08.
  83. Fatih Guvenen, 2007. "An Empirical Investigation of Labor Income Processes," NBER Working Papers 13394, National Bureau of Economic Research, Inc.
  84. repec:pri:cepsud:238kaplan is not listed on IDEAS
  85. 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.
  86. Tom Krebs, 2006. "Recursive equilibrium in endogenous growth models with incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(3), pages 505-523, November.
  87. Koeppl, Thorsten Volker, 2004. "Risk sharing through financial markets with endogenous enforcement of trades," Working Paper Series 0319, European Central Bank.
  88. Tom Krebs, 2002. "Asset Returns in an Endogenous Growth Model with Incomplete Markets," Working Papers 2002-18, Brown University, Department of Economics.
  89. Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," Working Papers 01-2, University of Pennsylvania, Wharton School, Weiss Center.
  90. Fatih Guvenen, 2011. "Macroeconomics With Heterogeneity: A Practical Guide," NBER Working Papers 17622, National Bureau of Economic Research, Inc.
  91. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc.
  92. Kosuke Aoki & Tomoyuki Nakajima & Kalin Nikolov, 2014. "Safe Asset Shortages and Asset Price Bubbles," KIER Working Papers 894, Kyoto University, Institute of Economic Research.
  93. Fatih Guvenen, 2007. "Do Stockholders Share Risk More Effectively than Nonstockholders?," The Review of Economics and Statistics, MIT Press, vol. 89(2), pages 275-288, May.
  94. anmol bhandari & Hengjie Ai, 2016. "Asset Pricing with Endogenously Uninsurable Tail Risks," 2016 Meeting Papers 1523, Society for Economic Dynamics.
  95. Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
  96. Longstaff, Francis A, 2005. "Asset Pricing in Markets with Illiquid Assets," University of California at Los Angeles, Anderson Graduate School of Management qt2458g38x, Anderson Graduate School of Management, UCLA.
  97. Roger E.A. Farmer, 2016. "Pricing Assets in an Economy with Two Types of People," NBER Working Papers 22228, National Bureau of Economic Research, Inc.
  98. Jonathan Parker & Bruce Preston, 2002. "Precautionary Saving and Consumption Fluctuations," NBER Working Papers 9196, National Bureau of Economic Research, Inc.
  99. 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.
  100. Joao Cocco & Nuno Clara, 2016. "An Analysis of Consumer Debt Restructuring Policies," 2016 Meeting Papers 480, Society for Economic Dynamics.
  101. Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks, and Welfare," Discussion Papers 1285, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  102. Johnson, Timothy C. & Lee, Jaehoon, 2014. "On the systematic volatility of unpriced earnings," Journal of Financial Economics, Elsevier, vol. 114(1), pages 84-104.
  103. 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.
  104. Danthine, Jean-Pierre & Donaldson, John B & Siconolfi, Paolo, 2005. "Distribution Risk and Equity Returns," CEPR Discussion Papers 5425, C.E.P.R. Discussion Papers.
  105. Juan Pablo Medina, 2004. "The Default Rate and Price of Capital in a Costly External Finance Model," Working Papers Central Bank of Chile 297, Central Bank of Chile.
  106. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2006. "Macroeconomic implications of changes in the term premium," Working Paper Series 2006-46, Federal Reserve Bank of San Francisco.
  107. David K. Levine & William Zame, 2001. "Does Market Incompleteness Matter," Levine's Working Paper Archive 78, David K. Levine.
  108. Michael S. O'Doherty, 2012. "On the Conditional Risk and Performance of Financially Distressed Stocks," Management Science, INFORMS, vol. 58(8), pages 1502-1520, August.
  109. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
  110. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  111. Marc-Andre Letendre, 2000. "Linear Approximation Methods and International Real Business Cycles with Incomplete Asset Markets," Econometric Society World Congress 2000 Contributed Papers 1539, Econometric Society.
  112. Kjetil Storesletten, 2003. "The Research Agenda: Kjetil Storesletten on Inequality in Macroeconomics," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 5(1), November.
  113. Ramchand, Latha, 1999. "Asset pricing in open economies with incomplete markets: implications for foreign currency returns," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 871-890, December.
  114. Basu, Parantap & Wada, Kenji, 2006. "Is low international risk sharing consistent with a high equity premium? A reconciliation of two puzzles," Economics Letters, Elsevier, vol. 93(3), pages 436-442, December.
  115. Robert J. Barro, 2005. "Rare Events and the Equity Premium," NBER Working Papers 11310, National Bureau of Economic Research, Inc.
  116. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
  117. Alon Brav & George M. Constantinides & Christopher C. Geczy, "undated". "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Rodney L. White Center for Financial Research Working Papers 23-99, Wharton School Rodney L. White Center for Financial Research.
  118. George M. Constantinides & Anisha Ghosh, 2014. "Asset Pricing with Countercyclical Household Consumption Risk," NBER Working Papers 20110, National Bureau of Economic Research, Inc.
  119. Dirk Krueger & Fabrizio Perri, 1999. "Risk sharing: private insurance markets or redistributive taxes?," Staff Report 262, Federal Reserve Bank of Minneapolis.
  120. Sanjay Banerjee & Parantap Basu, 2005. " Uninsured Risks, Loan Contracts and the Declining Equity Premium," CDMA Conference Paper Series 0502, Centre for Dynamic Macroeconomic Analysis.
  121. Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2014. "Optimal Tax Progressivity: An Analytical Framework," NBER Working Papers 19899, National Bureau of Economic Research, Inc.
  122. Pierre-Olivier Gourinchas & Jonathan A. Parker, 2001. "The Empirical Importance of Precautionary Saving," American Economic Review, American Economic Association, vol. 91(2), pages 406-412, May.
  123. Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
  124. Kedar-Levy, Haim, 2006. "Can baby-boomers' retirement increase stock prices?," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 284-299, May.
  125. Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013. "Crises and Recoveries in an Empirical Model of Consumption Disasters," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 35-74, July.
  126. Rodríguez López, Rosa, 1996. "Modelos intertemporales de valoración de activos: análisis empírico para el caso español," DEE - Documentos de Trabajo. Economía de la Empresa. DB 6415, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  127. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  128. 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.
  129. Kim, Seewon, 2013. "Prudent consumers: New evidence from the Consumer Expenditure Survey," Economic Modelling, Elsevier, vol. 33(C), pages 77-85.
  130. Siu, Tak Kuen, 2008. "A game theoretic approach to option valuation under Markovian regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1146-1158, June.
  131. Charlotte Ostergaard & Bent E. Sorensen & Oved Yosha, 2000. "Consumption and aggregate constraints : evidence from U.S. states and Canadian provinces," Research Working Paper RWP 00-04, Federal Reserve Bank of Kansas City.
  132. Carvajal, Andres & Ray, Indrajit & Snyder, Susan, 2004. "Equilibrium behavior in markets and games: testable restrictions and identification," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 1-40, February.
  133. Gottardi, Piero & Kajii, Atsushi & Nakajima, Tomoyuki, 2014. "Optimal taxation and debt with uninsurable risks to human capital accumulation," Economics Working Papers ECO2014/08, European University Institute.
  134. Manuel Amador & Pierre-Olivier Weill, 2008. "Learning from Prices: Public Communication and Welfare," NBER Working Papers 14255, National Bureau of Economic Research, Inc.
  135. 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.
  136. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
  137. Martin Lettau, 2001. "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports 130, Federal Reserve Bank of New York.
  138. Marcelo Bianconi, 2004. "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Discussion Papers Series, Department of Economics, Tufts University 0413, Department of Economics, Tufts University.
  139. Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," University of St. Gallen Department of Economics working paper series 2006 2006-07, Department of Economics, University of St. Gallen.
  140. 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.
  141. Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros, 2012. "Displacement risk and asset returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 491-510.
  142. Le Grand, F. & Ragot, X., 2010. "Prices and volumes of options: A simple theory of risk sharing when markets are incomplete," Working papers 302, Banque de France.
  143. Pedro H. Albuquerque, 2003. "A practical log-linear aggregation method with examples: heterogeneous income growth in the USA," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 665-678.
  144. 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.
  145. Harenberg, Daniel & Ludwig, Alexander, 2014. "Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk," MEA discussion paper series 201413, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
  146. Grishchenko, Olesya V., 2010. "Internal vs. external habit formation: The relative importance for asset pricing," Journal of Economics and Business, Elsevier, vol. 62(3), pages 176-194, May.
  147. 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.
  148. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.
  149. 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, 08.
  150. Guo, Hui, 2004. "Limited Stock Market Participation and Asset Prices in a Dynamic Economy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 495-516, September.
  151. Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
  152. John Heaton & Deborah Lucas, 1993. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," NBER Working Papers 4249, National Bureau of Economic Research, Inc.
  153. Fousseni Chabi-Yo, 2006. "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Staff Working Papers 06-38, Bank of Canada.
  154. Andrew Atkeson & Christopher Phelan, 1994. "Reconsidering the Costs of Business Cycles with Incomplete Markets," NBER Working Papers 4719, National Bureau of Economic Research, Inc.
  155. Fatih Guvenen & Serdar Ozkan & Jae Song, 2012. "The Nature of Countercyclical Income Risk," NBER Working Papers 18035, National Bureau of Economic Research, Inc.
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