Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Greenwood, Jeremy & Yorukoglu, Mehmet, 1997.
"1974,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 46(1), pages 49-95, June.
- Greenwood, J. & Yorukoglu, M., 1996. "1974," RCER Working Papers 429, University of Rochester - Center for Economic Research (RCER).
- Greenwood, Jeremy & Hercowitz, Zvi & Krusell, Per, 2000.
"The role of investment-specific technological change in the business cycle,"
European Economic Review, Elsevier, vol. 44(1), pages 91-115, January.
- Greenwood, J. & Hercowitz, Z. & Krusell, P., 1998. "The Role of Investment-Specific Technological Change in the Business Cycle," RCER Working Papers 449, University of Rochester - Center for Economic Research (RCER).
- Campbell, John Y., 1994.
"Inspecting the mechanism: An analytical approach to the stochastic growth model,"
Journal of Monetary Economics, Elsevier, vol. 33(3), pages 463-506, June.
- John Y. Campbell, 1992. "Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model," NBER Working Papers 4188, National Bureau of Economic Research, Inc.
- Campbell, John, 1994. "Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model," Scholarly Articles 3196342, Harvard University Department of Economics.
- Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
- Greenwood, Jeremy & Hercowitz, Zvi & Krusell, Per, 1997.
"Long-Run Implications of Investment-Specific Technological Change,"
American Economic Review, American Economic Association, vol. 87(3), pages 342-362, June.
- Greenwood, J. & Hercowitz, Z. & Krusell, P., 1995. "Long-Run Implications of Investment-Specific Technological Change," University of Western Ontario, Departmental Research Report Series 9510, University of Western Ontario, Department of Economics.
- Greenwood, J. & Hercowitz, Z. & Krusell, P., 1996. "Long-Run Implications of Investment-Specific Technological Change," RCER Working Papers 420, University of Rochester - Center for Economic Research (RCER).
- Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2002.
"Habit formation: a resolution of the equity premium puzzle?,"
Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1261-1288, September.
- Otrok, C. & Ravikumar, B. & Whiteman, C., 1998. "Habit Formation: A Resolution of the Equity Premium Puzzle?," Working Papers 98-04, University of Iowa, Department of Economics.
- Greenwood, Jeremy & Hercowitz, Zvi & Huffman, Gregory W, 1988. "Investment, Capacity Utilization, and the Real Business Cycle," American Economic Review, American Economic Association, vol. 78(3), pages 402-417, June.
- Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001.
"Habit Persistence, Asset Returns, and the Business Cycle,"
American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1999. "Habit persistence, asset returns and the business cycles," Working Paper Series WP-99-14, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001.
"Habit Persistence, Asset Returns, and the Business Cycle,"
American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, . "Habit persistence, asset returns and the business cycle," Staff Report, Federal Reserve Bank of Minneapolis.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1999. "Habit persistence, asset returns and the business cycles," Working Paper Series WP-99-14, Federal Reserve Bank of Chicago.
- 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Tseng, Chung-Li & Zhu, Wei & Dmitriev, Alexandre, 2009.
"Variable capacity utilization, ambient temperature shocks and generation asset valuation,"
Energy Economics, Elsevier, vol. 31(6), pages 888-896, November.
- Chung-Li & Wei Zhu & Alexandre Dmitriev, 2009. "Variable Capacity Utilization, Ambient Temperature Shocks and Generation Asset Valuation," Discussion Papers 2009-14, School of Economics, The University of New South Wales.
- Tenhofen, Jörn & Wolff, Guntram B., 2010. "Does anticipation of government spending matter? The role of (non-)defense spending," Bonn Econ Discussion Papers 12/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
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.- Garlappi, Lorenzo & Song, Zhongzhi, 2017. "Capital utilization, market power, and the pricing of investment shocks," Journal of Financial Economics, Elsevier, vol. 126(3), pages 447-470.
- Francois Gourio, 2005.
"Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns,"
2005 Meeting Papers
66, Society for Economic Dynamics.
- François Gourio, 2005. "Operating Leverage,Stock Market Cyclicality,and the Cross-Section of Returns," Boston University - Department of Economics - Working Papers Series WP2005-002, Boston University - Department of Economics.
- Giuliano Curatola & Michael Donadelli & Patrick Gruning & Christoph Meinerding, 2016.
"Investment-Specific Shocks, Business Cycles, and Asset Prices,"
Bank of Lithuania Working Paper Series
36, Bank of Lithuania.
- Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick & Meinerding, Christoph, 2016. "Investment-specific shocks, business cycles, and asset prices," SAFE Working Paper Series 129, Leibniz Institute for Financial Research SAFE.
- Lin, Xiaoji, 2012.
"Endogenous technological progress and the cross-section of stock returns,"
Journal of Financial Economics, Elsevier, vol. 103(2), pages 411-427.
- Xiaoji Lin, 2009. "Endogenous Technological Progress and the Cross Section of Stock Returns," FMG Discussion Papers dp634, Financial Markets Group.
- Lin, Xiaoji, 2012. "Endogenous Technological Progress and the Cross Section of Stock Returns," Working Paper Series 2012-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Lin, Xiaoji, 2009. "Endogenous technological progress and the cross section of stock returns," LSE Research Online Documents on Economics 29047, London School of Economics and Political Science, LSE Library.
- Lin, Xiaoji, 2009. "Endogenous technological progress and the cross section of stock returns," MPRA Paper 14829, University Library of Munich, Germany.
- Jonas D. M. Fisher, 2002.
"Technology shocks matter,"
Working Paper Series
WP-02-14, Federal Reserve Bank of Chicago.
- Jonas Fisher, 2004. "Technology Shocks Matter," Econometric Society 2004 North American Winter Meetings 14, Econometric Society.
- Huang-Meier, Winifred & Freeman, Mark C. & Mazouz, Khelifa, 2015. "Why are aggregate equity payouts pro-cyclical?," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 98-108.
- Fiori, Giuseppe, 2012. "Lumpiness, capital adjustment costs and investment dynamics," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 381-392.
- Thomas Brand, 2017. "Vitesse et composition des ajustements budgétaires en équilibre général : une analyse appliquée à la zone euro," Revue économique, Presses de Sciences-Po, vol. 68(HS1), pages 159-182.
- Peter Ireland & Scott Schuh, 2008.
"Productivity and U.S. Macroeconomic Performance: Interpreting the Past and Predicting the Future with a Two-Sector Real Business Cycle Model,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 473-492, July.
- Peter N. Ireland & Scott Schuh, 2006. "Productivity and U.S. macroeconomic performance: interpreting the past and predicting the future with a two-sector real business cycle model," Working Papers 06-10, Federal Reserve Bank of Boston.
- Peter N. Ireland & Scott Schuh, 2006. "Productivity and U.S. Macroeconomic Performance: Interpreting the Past and Predicting the Future with a Two-Sector Real Business Cycle Model," Boston College Working Papers in Economics 642, Boston College Department of Economics.
- Peter N. Ireland & Scott Schuh, 2007. "Productivity and U.S. Macroeconomic Performance: Interpreting the Past and Predicting the Future with a Two-Sector Real Business Cycle Model," NBER Working Papers 13532, National Bureau of Economic Research, Inc.
- Caunedo, Julieta, 2020.
"Aggregate fluctuations and the industry structure of the US economy,"
European Economic Review, Elsevier, vol. 129(C).
- Julieta Caunedo, 2014. "Aggregate Fluctuations and the Industry Structure of the US Economy," 2014 Meeting Papers 1194, Society for Economic Dynamics.
- Huang-Meier, Winifred & Freeman, Mark C., 2015. "Aggregate dividends and consumption smoothing," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 324-335.
- Michael T. Kiley & Jean-Philippe Laforte & Rochelle M. Edge, 2008. "The Sources of Fluctuations in Residential Investment: A View from a Policy-Oriented DSGE Model of the U.S. Economic," 2008 Meeting Papers 990, Society for Economic Dynamics.
- Lars Lochstoer & Harjoat S. Bhamra, 2009. "Return Predictability and Labor Market Frictions in a Real Business Cycle Model," 2009 Meeting Papers 1257, Society for Economic Dynamics.
- David N. DeJong & Emilio Espino, 2007. "The Cyclical Behavior of Equity Turnover," Working Paper 294, Department of Economics, University of Pittsburgh, revised Jun 2010.
- Christoph Gortz & John D. Tsoukalas, 2013.
"Learning, Capital Embodied Technology and Aggregate Fluctuations,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 708-723, October.
- Gortz, Christoph & John, Tsoukalas, 2011. "Learning, capital-embodied technology and aggregate fluctuations," MPRA Paper 35438, University Library of Munich, Germany, revised Nov 2011.
- Christoph Görtz & John Tsoukalas, 2011. "Learning, Capital-Embodied Technology and Aggregate Fluctuations," Discussion Papers 11/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Christoph Gortz & John D. Tsoukalas, 2012. "Code and data files for "Learning, Capital Embodied Technology and Aggregate Fluctuations"," Computer Codes 11-165, Review of Economic Dynamics.
- James M. Nason & Takashi Kano, 2004.
"Business Cycle Implications of Habit Formation,"
Computing in Economics and Finance 2004
175, Society for Computational Economics.
- James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Econometric Society 2004 Far Eastern Meetings 619, Econometric Society.
- Stuart J. Fowler & Bichaka Fayissa, 2007. "Public Capital Spending Shocks and the Price of Investment: Evidence from a Panel of Countries," Working Papers 200702, Middle Tennessee State University, Department of Economics and Finance.
- Kjetil Storesletten & Chris Telmer & Amir Yaron, 2007.
"Asset Pricing with Idiosyncratic Risk and Overlapping Generations,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(4), pages 519-548, October.
- 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.
- Yaron, Amir & Storesletten, Kjetil & Telmer, Chris, 2001. "Asset Pricing with Idiosyncratic Risk and Overlapping Generations," CEPR Discussion Papers 3065, C.E.P.R. Discussion Papers.
- Storesletten, Kjetil & Telmer, Chris & Yaron, Amir, 2002. "Asset pricing with idiosyncratic risk and overlapping generations," Seminar Papers 703, Stockholm University, Institute for International Economic Studies.
- 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.
- Rahul Nath, 2018. "Equity Pricing New Keynesian Models with Nominal Rigidities and Investment," Economics Series Working Papers 850, University of Oxford, Department of Economics.
- Burkhard Heer & Alfred Maussner & Bernd Suessmuth, 2018.
"Cyclical Asset Returns in the Consumption and Investment Goods Sector,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 28, pages 51-70, April.
- Burkhard Heer & Alfred Maussner & Bernd Süssmuth, 2013. "Cyclical Asset Returns in the Consumption and Investment Goods Sector," CESifo Working Paper Series 4364, CESifo.
- Heer, Burkhard & Maußner, Alfred & Süssmuth, Bernd, 2014. "Cyclical Asset Returns in the Consumption and Investment Goods Sector," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100319, Verein für Socialpolitik / German Economic Association.
- Burkhard Heer & Alfred Maussner & Bernd Suessmuth, 2017. "Code and data files for "Cyclical Asset Returns in the Consumption and Investment Goods Sector"," Computer Codes 14-26, Review of Economic Dynamics.
Corrections
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:eee:dyncon:v:31:y:2007:i:8:p:2637-2658. 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jedc .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.