When the Going Gets Tough: Durable Consumption and the Equity Premium
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- 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.
- Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Clark, 1991. "The Equity Premium and the Risk Free Rate: Matching the Moments," NBER Working Papers 3752, National Bureau of Economic Research, Inc.
- S.G. Cecchetti & P. Lam & N.C. Mark, 2010. "The equity premium and the risk-free rate: matching the moments," Levine's Working Paper Archive 1396, David K. Levine.
- Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004.
"Equilibrium stock return dynamics under alternative rules of learning about hidden states,"
Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1925-1954, September.
- Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001 41, Society for Computational Economics.
- Eichenbaum, Martin & Hansen, Lars Peter, 1990.
"Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 53-69, January.
- Martin S. Eichenbaum & Lars Peter Hansen, 1987. "Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data," NBER Working Papers 2181, National Bureau of Economic Research, Inc.
- Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.
- Larry G. Epstein & Martin Schneider, 2008.
"Ambiguity, Information Quality, and Asset Pricing,"
Journal of Finance, American Finance Association, vol. 63(1), pages 197-228, February.
- Larry Epstein & Martin Schneider, 2004. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 507, University of Rochester - Center for Economic Research (RCER).
- Larry Epstein & Martin Schneider, 2005. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 519, University of Rochester - Center for Economic Research (RCER).
- João F. Gomes & Leonid Kogan & Motohiro Yogo, 2009.
"Durability of Output and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 941-986.
- Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007. "Durability of Output and Expected Stock Returns," NBER Working Papers 12986, National Bureau of Economic Research, Inc.
- Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007. "Durability of Output and Expected Stock Returns," 2007 Meeting Papers 432, Society for Economic Dynamics.
- Masao Ogaki & Carmen M. Reinhart, 1998.
"Measuring Intertemporal Substitution: The Role of Durable Goods,"
Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 1078-1098, October.
- Ogaki, M & Reinhart, C-M, 1995. "Measuring Intertemporal Substitution : The Role of Durable Goods," RCER Working Papers 404, University of Rochester - Center for Economic Research (RCER).
- Reinhart, Carmen & Ogaki, Masao, 1995. "Measuring intertemporal substitution: The role of durable goods," MPRA Paper 13690, University Library of Munich, Germany.
- Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-286, April.
- Dunn, Kenneth B. & Singleton, Kenneth J., 1986.
"Modeling the term structure of interest rates under non-separable utility and durability of goods,"
Journal of Financial Economics, Elsevier, vol. 17(1), pages 27-55, September.
- Kenneth B. Dunn & Kenneth J. Singleton, 1984. "Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods," NBER Working Papers 1415, National Bureau of Economic Research, Inc.
- Larry G. Epstein & Stanley E. Zin, 2013.
"Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework,"
World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 12, pages 207-239,
World Scientific Publishing Co. Pte. Ltd..
- Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-969, July.
- Larry G. Epstein & Stanley E. Zin, 1987. "Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns I: A Theoretical Framework," Working Paper 699, Economics Department, Queen's University.
- Michael Johannes & Lars A. Lochstoer & Yiqun Mou, 2016. "Learning about Consumption Dynamics," Journal of Finance, American Finance Association, vol. 71(2), pages 551-600, April.
- Qiang Dai & Kenneth J. Singleton & Wei Yang, 2007.
"Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1669-1706, 2007 12.
- Qiang Dai & Kenneth J. Singleton & Wei Yang, 2004. "Regime shifts in a dynamic term structure model of U.S. Treasury bond yields," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Mark Schneider & Jonathan W. Leland & Nathaniel T. Wilcox, 2018.
"Ambiguity framed,"
Journal of Risk and Uncertainty, Springer, vol. 57(2), pages 133-151, October.
- Mark Schneider & Jonathan Leland & Nathaniel T. Wilcox, 2016. "Ambiguity Framed," Working Papers 16-11, Chapman University, Economic Science Institute.
- Ravi Bansal & Amir Yaron, 2004.
"Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,"
Journal of Finance,
American Finance Association, vol. 59(4), pages 1481-1509, August.
- Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
- Tomáš Havránek, 2015. "Measuring Intertemporal Substitution: The Importance Of Method Choices And Selective Reporting," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1180-1204, December.
- John Y. Campbell, Robert J. Shiller, 1988.
"The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors,"
The Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
- John Y. Campbell & Robert J. Shiller, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
- Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
- Yihong Xia, 2001. "Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," Journal of Finance, American Finance Association, vol. 56(1), pages 205-246, February.
- Motohiro Yogo, 2006. "A Consumption‐Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 61(2), pages 539-580, April.
- Ang, Andrew & Bekaert, Geert, 2002.
"Regime Switches in Interest Rates,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
- Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
- Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
- Veronesi, Pietro, 1999. "Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model," The Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 975-1007.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.
- Pakoš, Michal, 2013.
"Long-run risk and hidden growth persistence,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
- Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018.
"Ambiguity and the historical equity premium,"
Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2012.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2015.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rrr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2016.
- Sujoy Mukerji & Kevin Sheppard & Fabrice Collard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Post-Print halshs-00594096, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," PSE-Ecole d'économie de Paris (Postprint) halshs-01886571, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2017. "Ambiguity and the historical equity premium," Working Papers 835, Queen Mary University of London, School of Economics and Finance.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00594096, HAL.
- Bjørn Eraker & Ivan Shaliastovich & Wenyu Wang, 2016. "Durable Goods, Inflation Risk, and Equilibrium Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 193-231.
- Nengjiu Ju & Jianjun Miao, 2012.
"Ambiguity, Learning, and Asset Returns,"
Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
- Nengjiu Ju & Jianjun Miao, "undated". "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
- Jianjun Miao & NENGJIU JU, 2010. "Ambiguity, Learning, And Asset Returns," Boston University - Department of Economics - Working Papers Series WP2010-031, Boston University - Department of Economics.
- Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009.
- Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers 438, China Economics and Management Academy, Central University of Finance and Economics.
- Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.
- Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
- Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
- 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.
- John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
- Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.
- Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004.
"Equilibrium stock return dynamics under alternative rules of learning about hidden states,"
Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1925-1954, September.
- Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001 41, Society for Computational Economics.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Bidarkota, Prasad V. & Dupoyet, Brice V. & McCulloch, J. Huston, 2009. "Asset pricing with incomplete information and fat tails," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1314-1331, June.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2014.
"Dynamic Asset Allocation with Ambiguous Return Predictability,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
- Hui Chen & Nengjiu Ju & Jianjun Miao, "undated". "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series wp2009-015, Boston University - Department of Economics.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2008. "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-179, Boston University - Department of Economics, revised Feb 2009.
- João F. Gomes & Leonid Kogan & Motohiro Yogo, 2009.
"Durability of Output and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 941-986.
- Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007. "Durability of Output and Expected Stock Returns," NBER Working Papers 12986, National Bureau of Economic Research, Inc.
- Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007. "Durability of Output and Expected Stock Returns," 2007 Meeting Papers 432, Society for Economic Dynamics.
- Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022.
"Relative Risk Aversion: A Meta-Analysis,"
MetaArXiv
b8uhe, Center for Open Science.
- Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," EconStor Preprints 260586, ZBW - Leibniz Information Centre for Economics.
- Guidolin, Massimo & Timmermann, Allan, 2007.
"Asset allocation under multivariate regime switching,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
- Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
- Roh, Tai-Yong & Lee, Changjun & Min, Byoung-Kyu, 2019. "Consumption growth predictability and asset prices," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 95-118.
- Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2016-11-06 (Utility Models and Prospect Theory)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:man:cgbcrp:225. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marianne Sensier (email available below). General contact details of provider: https://edirc.repec.org/data/semanuk.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.