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Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

BRAV, ALON; CONSTANTINIDES, GEORGE M.; GECZY, CHRISTOPHER C. - Center for Research in Security Prices (CRSP), Booth … - 1999

Persistent link: https://www.econbiz.de/10005742795

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

Brav, Alon; Constantinides, George M.; Geczy, Christopher C. - In: Journal of Political Economy 110 (2002) 4, pp. 793-824

We present evidence that the equity premium and the premium of value stocks over growth stocks are consistent in the 198296 period with a stochastic discount factor calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible...

Persistent link: https://www.econbiz.de/10005782308

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

Brav, Alon; Constantinides, George M.; Geczy, Christopher C. - Rodney L. White Center for Financial Research, Wharton …

Persistent link: https://www.econbiz.de/10005657019

Is the abnormal return following equity issuances anomalous?

Brav, Alon; Géczy, Christopher; Gompers, Paul A. - In: Journal of financial economics 56 (2000) 2, pp. 209-249

Persistent link: https://www.econbiz.de/10001474456

Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence

Brav, Alon - 2012

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/10013102192

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 consistent in the 1982-96 period with a stochastic discount factor calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible...

Persistent link: https://www.econbiz.de/10012787164

Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence

Brav, Alon - 2001

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/10012787574

Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence

Brav, Alon - 2010

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/10012763346

Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence

Brav, Alon - 2002

Persistent link: https://www.econbiz.de/10012741982

The Real Effects of Hedge Fund Activism: Productivity, Asset Allocation, and Labor Outcomes

Jiang, Wei; Brav, Alon; Kim, Hyunseob - National Bureau of Economic Research (NBER) - 2011

This paper studies the long-term effect of hedge fund activism on the productivity of target firms using plant-level information from the U.S. Census Bureau. A typical target firm improves its production efficiency in the three years after an activist intervention, and the improvements are most...

Persistent link: https://www.econbiz.de/10009325519