Asset Pricing with Endogenously Uninsurable Tail Risk
Author
Abstract
Suggested Citation
DOI: 10.21034/sr.570
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Other versions of this item:
- Hengjie Ai & Anmol Bhandari, 2018. "Asset Pricing with Endogenously Uninsurable Tail Risk," NBER Working Papers 24972, National Bureau of Economic Research, Inc.
Citations
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Cited by:
- Winston Wei Dou & Yan Ji & David Reibstein & Wei Wu, 2021. "Inalienable Customer Capital, Corporate Liquidity, and Stock Returns," Journal of Finance, American Finance Association, vol. 76(1), pages 211-265, February.
- Hengjie Ai & Dana Kiku & Rui Li & Jincheng Tong, 2021. "A Unified Model of Firm Dynamics with Limited Commitment and Assortative Matching," Journal of Finance, American Finance Association, vol. 76(1), pages 317-356, February.
- Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
More about this item
Keywords
Limited commitment; Equity premium puzzle; Tail risk; Dynamic contracting;All these keywords.
JEL classification:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2018-12-24 (Dynamic General Equilibrium)
- NEP-IAS-2018-12-24 (Insurance Economics)
- NEP-MAC-2018-12-24 (Macroeconomics)
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