Asset pricing with undiversifiable income risk and short sales constraints. Deepening the equity premium puzzle

Journal of Monetary Economics

Volumn 34, Issue 3, 1994, Pages 325-341

  Lucas, Deborah J ^a  

^a NORTHWESTERN UNIVERSITY   (United States)

Author keywords

Asset pricing; Market efficiency

Indexed keywords

EID: 0001378029     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-3932(94)90022-1     Document Type: Article

References (20)

1. Asset returns with transactions costs and uninsured individual risk
2. Habit Formation: A Resolution of the Equity Premium Puzzle
3. Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
4. Implications of Security Market Data for Models of Dynamic Economies
5. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
6. Cost of Business Cycles with Indivisibilities and Liquidity Constraints
7. Expectations and volatility of consumption and asset returns
8. Disentangling the Coefficient of Relative Risk Aversion from the Elasticity of Intertemporal Substitution: An Irrelevance Result
9. Asset Prices in an Exchange Economy
10. The equity premium and the concentration of aggregate shocks
11. The equity premium: A puzzle
12. The equity risk premium: A solution
13. Borrowing Constraints and Aggregate Economic Activity
14. The equity premium puzzle and the risk-free rate puzzle
15. Equilibrium asset prices with undiversifiable labor income risk
16. Consumption and Liquidity Constraints: An Empirical Investigation