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Evaluating asset pricing models with limited commitment using household consumption data

Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio - 2007

"We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption...

Persistent link: https://www.econbiz.de/10003653413

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Nocke, Volker; Thanassoulis, John - In: Journal of the European Economic Association 12 (2014) 2, pp. 337-367

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