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Asset pricing with heterogeneous consumers and limited participation : empirical evidence

Brav, Alon; Kōnstantinidēs, Giōrgos; Géczy, Christopher - 1999

Persistent link: https://www.econbiz.de/10001425214

Asset pricing with heterogeneous consumers and limited participation : empirical evidence

Brav, Alon; Kōnstantinidēs, Giōrgos; Géczy, Christopher - In: Journal of political economy 110 (2002) 4, pp. 793-824

Persistent link: https://www.econbiz.de/10001688151

Asset pricing with heterogenous consumers and limited participation : empirical evidence

Brav, Alon; Kōnstantinidēs, Giōrgos; Géczy, Christopher - 1999

Persistent link: https://www.econbiz.de/10001447281

Asset pricing with heterogeneous consumers and limited participation : empirical evidence

Brav, Alon; Kōnstantinidēs, Giōrgos; Géczy, Christopher - 2002

Persistent link: https://www.econbiz.de/10001653861

Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence

Brav, Alon - 1999

The Euler equations of consumption are tested on the household consumption of non-durables and services, reconstructed from the CEX database. The estimated relative risk aversion coefficient of the representative household decreases, and the estimated unexplained mean equity premium decreases,...

Persistent link: https://www.econbiz.de/10012471379

Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence

Brav, Alon - 2002

We present evidence that the equity premium and the premium of value stocks over growth stocks are explained in the 1982 1996 period with a stochastic discount factor (SDF) calculated as the weighted average of individual households' marginal rate of substitution with low and economically...

Persistent link: https://www.econbiz.de/10012469893