Consumption-Based Asset Pricing, Part 2: Habit Formation, Conditional Risks, Long-Run Risks, and Rare Disasters
Author
Abstract
Suggested Citation
DOI: 10.1146/annurev-financial-091115-014822
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Djeutem Edouard & Nguimkeu Pierre, 2020. "Robust learning in the foreign exchange market," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-14, January.
- Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019.
"The Total Risk Premium Puzzle,"
NBER Working Papers
25653, National Bureau of Economic Research, Inc.
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019. "The Total Risk Premium Puzzle?," Working Paper Series 2019-10, Federal Reserve Bank of San Francisco.
- Taylor, Alan M. & Jordà , Òscar & Schularick, Moritz, 2019. "The Total Risk Premium Puzzle," CEPR Discussion Papers 13595, C.E.P.R. Discussion Papers.
- Calvet, Laurent-Emmanuel & Grandmont, Jean-Michel & Lemaire, Isabelle, 2018.
"Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets,"
Research in Economics, Elsevier, vol. 72(1), pages 117-146.
- Laurent Calvet & Jean-Michel Grandmont & Isabelle Lemaire, 2004. "Aggregation oh Heterogeneous Beliefs, Asset Pricing and Risk Sharing in Complete Financial Markets," Working Papers 2004-12, Center for Research in Economics and Statistics.
More about this item
Keywords
asset pricing; CCAPM; consumption; habit formation; long-run risk; nonseparable preferences; rare disasters;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
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:anr:refeco:v:7:y:2015:p:85-131. 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.
We have no bibliographic references for this item. You can help adding them by using 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: http://www.annualreviews.org (email available below). General contact details of provider: http://www.annualreviews.org .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.