Asset pricing in production economies

Journal of Monetary Economics

Volumn 41, Issue 2, 1998, Pages 257-275

  Jermann, Urban J ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

C63; Capital adjustment costs; E22; Equity premium; G12; Habit formation

Indexed keywords

EID: 0000278184     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-3932(97)00078-0     Document Type: Article

References (40)

1. Abel, A.B., 1980. Empirical investment equations: an integrative framework, Carnegie-Rochester Conf. Ser. on Public Policy, vol. 12, pp. 39-91.
2. Abel, A.B., 1990. Asset pricing under habit formation and catching up with the Joneses, AEA Papers and Proceedings, vol. 80, pp. 38-42.
3. Abel, A.B., 1995. Risk premia and term premia in general equilibrium, Wharton School, unpublished.
4. Baxter M., Crucini M.J. Explaining saving-investment correlations. American Economic Review. 83:1993;416-436.
5. Benninga S., Protopapadakis A. Leverage, time preference, and the 'equity premium puzzle'. Journal of Monetary Economics. 25:1990;49-58.
6. Boldrin, M., Christiano, J.C., Fisher, J., 1995. Asset pricing lessons for modeling business cycles, NBER Working Paper, no 5262, September 1995.
7. Campbell, J.Y., 1986. Bond and stock returns in a simple exchange model. Quarterly Journal of Economics, 785-803.
8. Campbell J.Y. Understanding risk and return. Journal of Political Economy. 104:1996;298-345.
9. Campbell, J.Y., Cochrane J.H., 1995. By force of habit: A consumption-based explanation of aggregate stock market behavior, NBER Working Paper, No. 4995, January, 1995.
10. Chen N. Financial investment opportunities and the macroeconomy. Journal of Finance. 46:1991;529-554.
11. Cochrane J.H. Production-based asset pricing and the link between stock returns and economic fluctuations. Journal of Finance. 46:1991;209-237.
12. Cochrane, J.H., Hansen, L.P., 1992. Asset pricing explorations for macroeconomics, NBER Macroeconomics Annual 1992, 115-165.
13. Constantinides G.M. Habit formation: a resolution of the equity premium puzzle. Journal of Political Economy. 98:1990;519-543.
14. Danthine J.-P., Donaldson J.B., Mehra R. The equity premium and the allocation of income risk. Journal of Economic Dynamics and Control. 17:1992;509-532.
15. Danthine, J.-P., Donaldson, J.B, 1994. Asset pricing implications of real market frictions. Université de Lausanne, Cahiers de recherches économiques, No. 9504, December 1994.
16. Eisner R., Strotz R.H. Determinants of Business Investment, Impacts of Monetary Policy. compiled by the Commission on Money and Credit. 1963;Prentice-Hall, Englewood Cliffs.
17. Estrella A., Hardouvelis G.A. The term structure as a predictor of real economic activity. Journal of Finance. 46:1991;555-577.
18. Fama E.F. Stock returns, expected returns, and real activity. Journal of Finance. 45:1990;1081-1108.
19. Fama E.F., French K.R. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics. 25:1989;23-49.
20. Ferson W.E., Constantinides G.M. Habit persistence and durability in aggregate consumption. Journal of Financial Economics. 29:1991;199-240.
21. Hansen L.P., Singleton K.J. Stochastic consumption, risk aversion, and the temporal behavior of asset returns. Journal of Political Economy. 91:1983;249-265.
22. Hayashi F. Tobin's marginal and average. q : a neoclassical interpretation Econometrica. 50:1982;213-224.
23. Heaton J. The interaction between time-nonseparable preferences and time aggregation. Econometrica. 61:1993;353-385.
24. Ibbotson Associates, 1994. Stocks, Bonds, Bills, Inflation 1994 Yearbook. Ibbotson Associates, Chicago.
25. Jermann, U.J., 1994. Economic fluctuations and asset returns. Ph.D. dissertation, Graduate Institute of International Studies, University of Geneva.
26. Judd K.L. Projection methods for solving aggregate growth models. Journal of Economic Theory. 58:1992;410-452.
27. King, R.G., Plosser, C.I., Rebelo, S.T. 1988. Production, growth and business cycles. Journal of Monetary Economics 21, 195-232, 309-341.
28. Kydland F.E., Prescott E.C. Time-to-build and aggregate fluctuations. Econometrica. 50:1982;1345-1370.
29. Lucas, R.E., Jr., 1978. Asset prices in an exchange economy. Econometrica 46, 1429-1445.
30. Lucas, R.E., Jr., Prescott, E.C., 1971. Investment under uncertainty. Econometrica 39, 659-681.
31. Masulis R.W. The Debt/Equity Choice. 1988;Ballinger, Cambridge, MA.
32. Mehra R., Prescott E.C. The equity premium: a puzzle. Journal of Monetary Economics. 15:1985;145-161.
33. Prescott, E.C., 1986. Theory ahead of business cycle measurement. Carnegie-Rochester Conf. Ser. on Public Policy, vol. 25, pp. 11-66.
34. Rietz T.A. The equity risk premium: a solution. Journal of Monetary Economics. 22:1988;117-132.
35. Rouwenhorst, G.K., 1995. Asset returns and business cycles. In: Cooley, T.F. (Ed.), Frontiers of Business Cycle Research, pp. 294-330.
36. Singleton, K.J., 1990. Asset Pricing Models. Handbook of Monetary Economics, vol. 1, Elsevier, Amsterdam, pp. 584-626.
37. Stock, J.H., Watson M.W., 1989. New indexes of coincident and leading economic indicators, NBER Macroeconomics Annual 1989, 351-394.
38. Tauchen, G., 1986. Finite state markov-chain approximations to univariate and vector autoregressions. Economic Letters, 177-181.
39. Taylor J., Uhlig H. Solving nonlinear stochastic growth models: A comparison of alternative solution methods. Journal of Business and Economic Statistics. 8:1990;1-17.
40. Tallarini, T.D., Jr., 1994. Risk-sensitive real business cycles, University of Chicago, unpublished.