메뉴 건너뛰기




Volumn 64, Issue 6, 1996, Pages 1439-1467

Asset pricing in economies with frictions

(1)  Luttmer, Erzo G J a  

a NONE

Author keywords

Aggregate consumption; Asset pricing; Borrowing constraints; Transaction costs; Variability of IMRSs

Indexed keywords


EID: 0001116758     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171838     Document Type: Article
Times cited : (143)

References (49)
  • 1
    • 44949278227 scopus 로고
    • Asset Returns with Transaction Costs and Uninsured Individual Risk
    • AIYAGARI, S. R., AND M. GERTLER (1991): "Asset Returns with Transaction Costs and Uninsured Individual Risk," Journal of Monetary Economics, 27, 311-331.
    • (1991) Journal of Monetary Economics , vol.27 , pp. 311-331
    • Aiyagari, S.R.1    Gertler, M.2
  • 3
    • 84977725247 scopus 로고
    • Liquidity, Maturity and the Yields on U.S. Treasury Securities
    • _ (1991): "Liquidity, Maturity and the Yields on U.S. Treasury Securities," Journal of Finance, 46, 1411-1425.
    • (1991) Journal of Finance , vol.46 , pp. 1411-1425
  • 4
    • 0000194163 scopus 로고
    • The Valuation Problem in Arbitrage Price Theory
    • CLARK, S. A. (1993): "The Valuation Problem in Arbitrage Price Theory," Journal of Mathematical Economics, 22, 463-478.
    • (1993) Journal of Mathematical Economics , vol.22 , pp. 463-478
    • Clark, S.A.1
  • 5
    • 0000286891 scopus 로고
    • Explaining the Variance of Price-Dividend Ratios
    • COCHRANE, J. H. (1992): "Explaining the Variance of Price-Dividend Ratios," The Review of Financial Studies, 5, 243-280
    • (1992) The Review of Financial Studies , vol.5 , pp. 243-280
    • Cochrane, J.H.1
  • 6
    • 0002646438 scopus 로고
    • Asset Pricing Explorations for Macroeconomics
    • Cambridge, MA: MIT Press
    • COCHRANE, J. H., AND L. P. HANSEN (1992): "Asset Pricing Explorations for Macroeconomics," Macroeconomics Annual 1992. Cambridge, MA: MIT Press, 115-165.
    • (1992) Macroeconomics Annual 1992 , pp. 115-165
    • Cochrane, J.H.1    Hansen, L.P.2
  • 7
    • 84936823769 scopus 로고
    • Capital Market Equilibrium with Transaction Costs
    • CONSTANTINIDES, G. M. (1986): "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, 94, 842-862.
    • (1986) Journal of Political Economy , vol.94 , pp. 842-862
    • Constantinides, G.M.1
  • 8
    • 0001368451 scopus 로고
    • Convex Duality in Constrained Portfolio Optimization
    • CVITANIC, J., AND I. KARATZAS (1992): "Convex Duality in Constrained Portfolio Optimization," The Annals of Applied Probability, 2, 767-818.
    • (1992) The Annals of Applied Probability , vol.2 , pp. 767-818
    • Cvitanic, J.1    Karatzas, I.2
  • 9
    • 0001517908 scopus 로고
    • Saving and Liquidity Constraints
    • DEATON, A. (1991): "Saving and Liquidity Constraints," Econometrica, 59, 1221-1248.
    • (1991) Econometrica , vol.59 , pp. 1221-1248
    • Deaton, A.1
  • 10
    • 38249040011 scopus 로고
    • Modeling the Term Structure of Interest Rates under Non-Separable Utility and Durability of Goods
    • DUNN, K. B., AND K. J. SINGLETON (1986): "Modeling the Term Structure of Interest Rates under Non-Separable Utility and Durability of Goods," Journal of Financial Economics, 17, 27-55.
    • (1986) Journal of Financial Economics , vol.17 , pp. 27-55
    • Dunn, K.B.1    Singleton, K.J.2
  • 11
    • 0000206041 scopus 로고
    • Intertemporal Asset Pricing under Knightian Uncertainty
    • ESPTEIN, L. G., AND T. WANG (1994): "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, 62, 283-322.
    • (1994) Econometrica , vol.62 , pp. 283-322
    • Esptein, L.G.1    Wang, T.2
  • 12
    • 0000911048 scopus 로고
    • The Information in the Term Structure
    • FAMA, E. F. (1984): "The Information in the Term Structure," Journal of Financial Economics, 13, 509-528
    • (1984) Journal of Financial Economics , vol.13 , pp. 509-528
    • Fama, E.F.1
  • 13
    • 34250890715 scopus 로고
    • Business Conditions and Expected Returns on Stocks and Bonds
    • FAMA, E. F., AND K. R. FRENCH (1989): "Business Conditions and Expected Returns on Stocks and Bonds," Journal of Financial Economics, 25, 23-40.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-40
    • Fama, E.F.1    French, K.R.2
  • 14
    • 29444457191 scopus 로고
    • Economic Equilibrium with Costly Marketing
    • FOLEY, D. K. (1970): "Economic Equilibrium with Costly Marketing," Journal of Economic Theory, 2, 276-291.
    • (1970) Journal of Economic Theory , vol.2 , pp. 276-291
    • Foley, D.K.1
  • 15
    • 0001969053 scopus 로고
    • Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
    • GROSSMAN, S. J., AND G. LAROQUE (1990): "Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods," Economeirica, 58, 25-51.
    • (1990) Economeirica , vol.58 , pp. 25-51
    • Grossman, S.J.1    Laroque, G.2
  • 16
    • 0001235146 scopus 로고
    • Equilibrium with Transaction Costs
    • HAHN, F. H. (1971): "Equilibrium with Transaction Costs," Econometrica, 39, 417-439.
    • (1971) Econometrica , vol.39 , pp. 417-439
    • Hahn, F.H.1
  • 17
    • 84934563125 scopus 로고
    • Implications of Security Market Data for Models of Dynamic Economies
    • HANSEN, L. P., AND R. JAGANNATHAN (1991): "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, 99, 225-262.
    • (1991) Journal of Political Economy , vol.99 , pp. 225-262
    • Hansen, L.P.1    Jagannathan, R.2
  • 19
    • 85017108575 scopus 로고
    • Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
    • HANSEN, L. P., AND K. J. SINGLETON (1982): "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, 50, 587-613.
    • (1982) Econometrica , vol.50 , pp. 587-613
    • Hansen, L.P.1    Singleton, K.J.2
  • 20
    • 0001803554 scopus 로고
    • Tests for Liquidity Constraints: A Critical Survey and Some New Observations
    • HAYASHI, F. (1987): "Tests for Liquidity Constraints: A Critical Survey and Some New Observations," Advances in Econometrics, Fifth World Congress, 2, 91-120.
    • (1987) Advances in Econometrics, Fifth World Congress , vol.2 , pp. 91-120
    • Hayashi, F.1
  • 24
    • 0000789996 scopus 로고
    • Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
    • HODRICK, R. J. (1992): "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," The Review of Financial Studies, 5, 357-386.
    • (1992) The Review of Financial Studies , vol.5 , pp. 357-386
    • Hodrick, R.J.1
  • 25
    • 0000705481 scopus 로고
    • Martingales and Arbitrage and Securities Markets with Transaction Costs
    • JOUINI, E., AND H. KALLAL (1995): "Martingales and Arbitrage and Securities Markets with Transaction Costs," Journal of Economic Theory, 66, 178-197.
    • (1995) Journal of Economic Theory , vol.66 , pp. 178-197
    • Jouini, E.1    Kallal, H.2
  • 26
    • 46149129689 scopus 로고
    • Predicting Returns in the Stock and Bond Markets
    • KEIM, D. B., AND R. F. STAMBAUGH (1986): "Predicting Returns in the Stock and Bond Markets," Journal of Financial Economics, 17, 357-390.
    • (1986) Journal of Financial Economics , vol.17 , pp. 357-390
    • Keim, D.B.1    Stambaugh, R.F.2
  • 27
    • 0003105093 scopus 로고
    • Arbitrage and Equilibrium in Economies with Infinitely Many Commodities
    • KREPS, D. (1981): "Arbitrage and Equilibrium in Economies with Infinitely Many Commodities," Journal of Mathematical Economics, 8, 15-35.
    • (1981) Journal of Mathematical Economics , vol.8 , pp. 15-35
    • Kreps, D.1
  • 28
    • 0000443739 scopus 로고
    • Risk Aversion and the Martingale Property of State Prices
    • LEROY, S. F. (1973): "Risk Aversion and the Martingale Property of State Prices," International Economic Review, 14, 436-446.
    • (1973) International Economic Review , vol.14 , pp. 436-446
    • Leroy, S.F.1
  • 30
    • 0000150312 scopus 로고
    • Asset Pricing in an Exchange Economy
    • LUCAS, R. E., JR. (1978): "Asset Pricing in an Exchange Economy," Econometrica, 46, 1429-1445.
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas Jr., R.E.1
  • 34
    • 38249036553 scopus 로고
    • The Monotonicity of the Term Premium - A Closer Look
    • MCCULLOCH, J. H. (1987): "The Monotonicity of the Term Premium - A Closer Look," Journal of Financial Economics, 18, 185-192.
    • (1987) Journal of Financial Economics , vol.18 , pp. 185-192
    • Mcculloch, J.H.1
  • 36
    • 0000134722 scopus 로고
    • Short-Selling, Default Risk and the Existence of Equilibrium in a Securities Model
    • MILNE, F. (1980): "Short-Selling, Default Risk and the Existence of Equilibrium in a Securities Model," International Economic Review, 21, 255-267.
    • (1980) International Economic Review , vol.21 , pp. 255-267
    • Milne, F.1
  • 37
    • 0000706085 scopus 로고
    • A Simple Positive Semi-Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
    • NEWEY, W. K., AND K. D. WEST (1987): "A Simple Positive Semi-Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 38
    • 0010863826 scopus 로고
    • Valuation of Risky Assets in Arbitrage Free Economies with Frictions
    • PRISMAN, E. Z. (1986): "Valuation of Risky Assets in Arbitrage Free Economies with Frictions," Journal of Finance, 41, 545-559.
    • (1986) Journal of Finance , vol.41 , pp. 545-559
    • Prisman, E.Z.1
  • 39
    • 84928461617 scopus 로고
    • Arbitrage and Martingales with Taxation
    • Ross, S. A. (1987): "Arbitrage and Martingales with Taxation," Journal of Economic Theory, 95, 371-393.
    • (1987) Journal of Economic Theory , vol.95 , pp. 371-393
    • Ross, S.A.1
  • 41
    • 44949275901 scopus 로고
    • Liquidity Constraints and the Permanent Income Hypothesis - Evidence from Panel Data
    • RUNKLE, D. E. (1991): "Liquidity Constraints and the Permanent Income Hypothesis - Evidence from Panel Data," Journal of Monetary Economics, 27, 73-98.
    • (1991) Journal of Monetary Economics , vol.27 , pp. 73-98
    • Runkle, D.E.1
  • 42
    • 0000531855 scopus 로고
    • Consumption, Asset Markets and Macroeconomic Fluctuations
    • SHILLER, R. J. (1982): "Consumption, Asset Markets and Macroeconomic Fluctuations," CarnegieRochester Conference on Public Policy, 17, 203-238.
    • (1982) CarnegieRochester Conference on Public Policy , vol.17 , pp. 203-238
    • Shiller, R.J.1
  • 43
    • 84977731442 scopus 로고
    • Diagnosing Asset Pricing Models Using the Distribution of Asset Returns
    • SNOW, K. N. (1991): "Diagnosing Asset Pricing Models Using the Distribution of Asset Returns," Journal of Finance, 46, 955-984.
    • (1991) Journal of Finance , vol.46 , pp. 955-984
    • Snow, K.N.1
  • 44
    • 38249032278 scopus 로고
    • The Information in Forward Rates: Implications for Models of the Term Structure
    • STAMBAUGH, R. F. (1988): "The Information in Forward Rates: Implications for Models of the Term Structure," Journal of Financial Economics, 21, 41-70.
    • (1988) Journal of Financial Economics , vol.21 , pp. 41-70
    • Stambaugh, R.F.1
  • 47
    • 38249004563 scopus 로고
    • The Equity Premium Puzzle and the Risk Free Rate Puzzle
    • WEIL, P. (1989): "The Equity Premium Puzzle and the Risk Free Rate Puzzle," Journal of Monetary Economics, 24, 401-421.
    • (1989) Journal of Monetary Economics , vol.24 , pp. 401-421
    • Weil, P.1
  • 48
    • 0000284943 scopus 로고
    • The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models
    • WOLAK, F. A. (1991): "The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models," Econometrica, 59, 981-995.
    • (1991) Econometrica , vol.59 , pp. 981-995
    • Wolak, F.A.1
  • 49
    • 84936047538 scopus 로고
    • Consumption and Liquidity Constraints: An Empirical Investigation
    • ZELDES, S. P. (1989): "Consumption and Liquidity Constraints: An Empirical Investigation," Journal of Political Economy, 97, 305-346.
    • (1989) Journal of Political Economy , vol.97 , pp. 305-346
    • Zeldes, S.P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.