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Human capital, weak identification, and asset pricing
Zhang, Qiang - In: Journal of money, credit and banking : JMCB 38 (2006) 4, pp. 873-899
Persistent link: https://www.econbiz.de/10003343651
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Saving-based asset-pricing
Dreyer, Johannes Kabderian; Schneider, Johannes; Smith, … - In: Journal of banking & finance 37 (2013) 9, pp. 3704-3715
Persistent link: https://www.econbiz.de/10010126286
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Equity premium with habits, wealth inequality and background risk
Giannikos, Christos; Koimisis, Georgios - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-15
risk premium. We show that the dynamics of external additive habits with wealth inequality are complex when a background … risk is present. It is ambiguous whether wealth inequality will increase or decrease the equity premium even when the … income uncertainty is low. This result extends literature by suggesting that wealth inequality has a small role in explaining …
Persistent link: https://www.econbiz.de/10012626100
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Saving-based asset pricing and leisure
Dreyer, Johannes Kabderian; Schneider, Johannes; Smith, … - In: Annals of economics and finance 21 (2020) 2, pp. 507-526
Persistent link: https://www.econbiz.de/10012647888
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Chapter 61 Intertemporal Substitution and Risk Aversion
Hansen, Lars Peter; Heaton, John; Lee, Junghoon; … - In: Handbook of econometrics : volume 6A, (pp. 3967-4056). 2007
intertemporal substitution and risk aversion parameters on equilibrium short-run and long-run risk prices and on equilibrium wealth. …
Persistent link: https://www.econbiz.de/10014024954
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Non-standard preferences in asset pricing and household finance
Goossens, Jorgo - 2023
Persistent link: https://www.econbiz.de/10013549809
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Disappointment aversion and the equity premium puzzle : new international evidence
Xie, Yuxin; Pantelous, Athanasios A.; Florackis, Chris - In: The European journal of finance 22 (2016) 10/12, pp. 1189-1203
Persistent link: https://www.econbiz.de/10011715339
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Disentangling risk aversionand intertemporal substitution through a reference level
Garcia, René; Renault, Eric; Semenov, Andrei - In: Finance research letters 3 (2006) 3, pp. 181-193
Persistent link: https://www.econbiz.de/10003374037
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The intertemporal relation between expected return and risk on currency
Bali, Turan G.; Yılmaz, Kamil - 2009 - rev.
The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper is the first to examine the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides...
Persistent link: https://www.econbiz.de/10008670144
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International evidence on the equity premium puzzle and time discounting
Rieger, Marc Oliver; Wang, Mei; Hens, Thorsten - In: Multinational finance journal : MF ; quarterly … 17 (2013) 3/4, pp. 149-163
Persistent link: https://www.econbiz.de/10011457672