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Evaluating the effects of incomplete markets on risk sharing and asset pricing

Heaton, John - In: Journal of political economy 104 (1996) 3, pp. 443-487

Persistent link: https://www.econbiz.de/10001199127

The effects of incomplete insurance markets and trading costs in a consumption-based asset pricing model

Heaton, John - In: Journal of economic dynamics & control 16 (1992) 3, pp. 601-620

Persistent link: https://www.econbiz.de/10001130442

The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices

Heaton, John - In: Carnegie Rochester conference series on public policy : … 42 (1995), pp. 1-32

Persistent link: https://www.econbiz.de/10001183800

Econometric evaluation of asset pricing models

Hansen, Lars Peter; Heaton, John; Luttmer, Erzo Gerrit Jan - 1993

Persistent link: https://www.econbiz.de/10000878768

Intangible risk

Hansen, Lars Peter; Heaton, John; Li, Nan - In: Measuring capital in the new economy, (pp. 111-149). 2005

Persistent link: https://www.econbiz.de/10003080879

Finite-sample properties of some alternative GMM estimators

Hansen, Lars Peter - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 3, pp. 262-280

Persistent link: https://www.econbiz.de/10001334396

Econometric evaluation of asset pricing models

Hansen, Lars Peter - In: The review of financial studies 8 (1995) 2, pp. 237-274

Persistent link: https://www.econbiz.de/10001184653

Asset pricing with undiversifiable income risk and short sales constraints : deepening the equity premium puzzle

Lucas, Deborah J. - In: Journal of monetary economics 34 (1994) 3, pp. 325-341

Persistent link: https://www.econbiz.de/10001175097

Asset pricing with incomplete markets

Lucas, Deborah J. - In: Hitotsubashi journal of economics 34 (1993), pp. 163-179

Persistent link: https://www.econbiz.de/10001162439

Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing

Heaton, John; Lucas, Deborah J. - 2021

We examine asset prices and consumption patterns in a model in which agents face both aggregate and idiosyncratic income shocks, and insurance markets are incomplete. Agents reduce consumption variability by trading in a stock and bond market to offset idiosyncratic shocks, but transactions...

Persistent link: https://www.econbiz.de/10013247655