Consumer Asset Pricing Model Based on Heterogeneous Consumers and the Mystery of 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.
- Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007.
"Housing, consumption and asset pricing,"
Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
- Monika Piazzesi & Martin Schneider & Selale Tuzel, 2004. "Housing, Consumption and Asset Pricing," 2004 Meeting Papers 357c, Society for Economic Dynamics.
- Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006. "Housing, Consumption, and Asset Pricing," NBER Working Papers 12036, National Bureau of Economic Research, Inc.
- Telmer, Chris I, 1993.
"Asset-Pricing Puzzles and Incomplete Markets,"
Journal of Finance, American Finance Association, vol. 48(5), pages 1803-1832, December.
- Chris I. Telmer, 1991. "Asset Pricing Puzzles and Incomplete Markets," Working Paper 806, Economics Department, Queen's University.
- Jacobs, Kris & Pallage, Stéphane & Robe, Michel A., 2013.
"Market incompleteness and the equity premium puzzle: Evidence from state-level data,"
Journal of Banking & Finance, Elsevier, vol. 37(2), pages 378-388.
- Kris Jacobs & Michel A. Robe & Stéphane Pallage, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO.
- 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.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- 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.
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
- Aase, Knut K., 2013. "Recursive utility and the equity premium puzzle: A discrete-time approach," Discussion Papers 2013/3, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
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.- John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
- Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
- Rodriguez, Juan Carlos, 2006. "Consumption, the persistence of shocks, and asset price volatility," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1741-1760, November.
- Edmond, Chris & Weill, Pierre-Olivier, 2012.
"Aggregate implications of micro asset market segmentation,"
Journal of Monetary Economics, Elsevier, vol. 59(4), pages 319-335.
- Pierre-Olivier Weill & Chris Edmond, 2008. "Aggregate implications of micro asset market segmentation," 2008 Meeting Papers 481, Society for Economic Dynamics.
- Chris Edmond & Pierre-Olivier Weill, 2011. "Aggregate Implications of Micro Asset Market Segmentation," Department of Economics - Working Papers Series 1117, The University of Melbourne.
- Chris Edmond & Pierre-Olivier Weill, 2009. "Aggregate Implications of Micro Asset Market Segmentation," NBER Working Papers 15254, National Bureau of Economic Research, Inc.
- Ludvigson, Sydney C., 2013.
"Advances in Consumption-Based Asset Pricing: Empirical Tests,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906,
Elsevier.
- Sydney C. Ludvigson, 2011. "Advances in Consumption-Based Asset Pricing: Empirical Tests," NBER Working Papers 16810, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2005.
"Financial Markets and the Real Economy,"
Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- George M. Constantinides, 2006.
"Market Organization And The Prices Of Financial Assets,"
Manchester School, University of Manchester, vol. 74(s1), pages 1-23, September.
- Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
- Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
- Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021, January-A.
- Elena Márquez de la Cruz, 2005.
"La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español,"
Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
- Elena Márquez de la Cruz, 2004. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 04-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Telmer, Chris I. & Zin, Stanley E., 2002. "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1127-1157, July.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010.
"Stock and bond returns with Moody Investors,"
Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc.
- Ravi Bansal, 2007.
"Long-run risks and financial markets,"
Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
- Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc.
- Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
- Zimper, Alexander, 2012. "Asset pricing in a Lucas fruit-tree economy with the best and worst in mind," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 610-628.
- David N. DeJong & Emilio Espino, 2007. "The Cyclical Behavior of Equity Turnover," Working Paper 294, Department of Economics, University of Pittsburgh, revised Jun 2010.
- Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
- Ashley Lim & Yihui Lan & Sirimon Treepongkaruna, 2020. "Asset pricing and energy consumption risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3813-3850, December.
- Lagos, Ricardo, 2010.
"Asset prices and liquidity in an exchange economy,"
Journal of Monetary Economics, Elsevier, vol. 57(8), pages 913-930, November.
- Ricardo Lagos, 2005. "Asset Prices and Liquidity in an Exchange Economy," 2005 Meeting Papers 143, Society for Economic Dynamics.
- Ricardo Lagos, 2006. "Asset prices and liquidity in an exchange economy," Staff Report 373, Federal Reserve Bank of Minneapolis.
- 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.
- Jose Ursua & Jon Steinsson & Emi Nakamura & Robert Barro, 2008. "Crises and Recoveries in an Empirical Model of Consumption Disasters," 2008 Meeting Papers 1089, Society for Economic Dynamics.
- Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2010. "Crises and Recoveries in an Empirical Model of Consumption Disasters," NBER Working Papers 15920, National Bureau of Economic Research, Inc.
More about this item
Keywords
CAPM; CARA; puzzle of equity premium;All these keywords.
JEL classification:
- G00 - Financial Economics - - General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2020-03-02 (Financial Markets)
- NEP-UPT-2020-03-02 (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:pra:mprapa:98506. 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: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.