메뉴 건너뛰기




Volumn 104, Issue 2, 1996, Pages 219-240

Asset pricing with heterogeneous consumers

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0001691088     PISSN: 00223808     EISSN: None     Source Type: Journal    
DOI: 10.1086/262023     Document Type: Article
Times cited : (642)

References (61)
  • 1
    • 0003007882 scopus 로고
    • Asset Prices under Habit Formation and Catching Up with the Joneses
    • May
    • Abel, Andrew B. "Asset Prices under Habit Formation and Catching Up with the Joneses." A.E.R. Papers and Proc. 80 (May 1990): 38-42.
    • (1990) A.E.R. Papers and Proc. , vol.80 , pp. 38-42
    • Abel, A.B.1
  • 2
    • 44949278227 scopus 로고
    • Asset Returns with Transactions Costs and Uninsured Individual Risk
    • June
    • Aiyagari, S. Rao, and Gertler, Mark. "Asset Returns with Transactions Costs and Uninsured Individual Risk." J. Monetary Econ. 27 (June 1991): 311-31.
    • (1991) J. Monetary Econ. , vol.27 , pp. 311-331
    • Aiyagari, S.R.1    Gertler, M.2
  • 3
    • 0000189855 scopus 로고
    • Is the Extended Family Altruistically Linked? Direct Testing Using Micro Data
    • December
    • Altonji, Joseph G.; Hayashi, Fumio; and Kotlikoff, Laurence J. "Is the Extended Family Altruistically Linked? Direct Testing Using Micro Data." A.E.R. 82 (December 1992): 1177-98.
    • (1992) A.E.R. , vol.82 , pp. 1177-1198
    • Altonji, J.G.1    Hayashi, F.2    Kotlikoff, L.J.3
  • 4
    • 0003306859 scopus 로고
    • Nonstandard Methods with Applications in Economics
    • edited by Werner Hildenbrand and Hugo Sonnenschein. Amsterdam: North-Holland
    • Anderson, Robert M. "Nonstandard Methods with Applications in Economics." In Handbook of Mathematical Economics, vol. 4, edited by Werner Hildenbrand and Hugo Sonnenschein. Amsterdam: North-Holland, 1991.
    • (1991) Handbook of Mathematical Economics , vol.4
    • Anderson, R.M.1
  • 5
    • 85029560478 scopus 로고    scopus 로고
    • Asmussen, Soren. Applied Probability and Queues. New York: Wiley, 1987.
  • 6
    • 85029556956 scopus 로고    scopus 로고
    • Attanasio, Orazio, and Davis, Steven J. "Relative Wage Movements and the Distribution of Consumption." Working paper. Stanford, Calif.: Stanford Univ., 1993.
  • 7
    • 85029553436 scopus 로고    scopus 로고
    • Ben-Zvi, Shemuel, and Sussman, Oren. "The Equity Premium and the Rate of Return on Stocks." Working paper. Philadelphia: Univ. Pennsylvania, 1989.
  • 8
    • 85029568761 scopus 로고    scopus 로고
    • Bertaut, Carol C. "Who Holds Stock in the U.S.? An Empirical Investigation." Working paper. College Park: Univ. Maryland, 1992.
  • 9
    • 85029568182 scopus 로고    scopus 로고
    • Bewley, Truman F. "Thoughts on Tests of the Intertemporal Asset Pricing Model." Working paper. Evanston, Ill.: Northwestern Univ., 1982.
  • 10
    • 85029550458 scopus 로고    scopus 로고
    • Blume, Marshall E., and Zeldes, Stephen P. "The Structure of Stock Ownership in the U.S." Working paper. Philadelphia: Univ. Pennsylvania, 1993.
  • 11
    • 0000194163 scopus 로고
    • The Valuation Problem in Arbitrage Price Theory
    • Clark, Stephen A. "The Valuation Problem in Arbitrage Price Theory." J. Math. Econ. 22, no. 5 (1993): 463-78.
    • (1993) J. Math. Econ. , vol.22 , Issue.5 , pp. 463-478
    • Clark, S.A.1
  • 12
    • 0000771587 scopus 로고
    • A Simple Test of Consumption Insurance
    • October
    • Cochrane, John H. "A Simple Test of Consumption Insurance." J.P.E. 99 (October 1991): 957-76.
    • (1991) J.P.E. , vol.99 , pp. 957-976
    • Cochrane, J.H.1
  • 13
    • 85029553626 scopus 로고    scopus 로고
    • Cochrane, John H., and Hansen, Lars Peter. "Asset Pricing Explorations for Macroeconomics." In NBER Macroeconomics Annual 1992, edited by Olivier J. Blanchard and Stanley Fischer. Cambridge, Mass.: MIT Press, 1992.
  • 14
    • 0001400264 scopus 로고
    • Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation
    • April
    • Constantinides, George M. "Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation." J. Bus. 55 (April 1982): 253-67.
    • (1982) J. Bus. , vol.55 , pp. 253-267
    • Constantinides, G.M.1
  • 15
    • 84935322716 scopus 로고
    • Habit Formation: A Resolution of the Equity Premium Puzzle
    • June
    • _. "Habit Formation: A Resolution of the Equity Premium Puzzle." J.P.E. 98 (June 1990): 519-43.
    • (1990) J.P.E. , vol.98 , pp. 519-543
  • 16
    • 0001780650 scopus 로고
    • Macroeconomic Performance and the Disadvantaged
    • Cutler, David M., and Katz, Lawrence F. "Macroeconomic Performance and the Disadvantaged." Breakings Papers Econ. Activity, no. 2 (1991), pp. 1-61.
    • (1991) Breakings Papers Econ. Activity , Issue.2 , pp. 1-61
    • Cutler, D.M.1    Katz, L.F.2
  • 17
    • 38249011376 scopus 로고
    • The Equity Premium and the Allocation of Income Risk
    • July-October
    • Danthine, Jean-Pierre; Donaldson, John B.; and Mehra, Rajnish. "The Equity Premium and the Allocation of Income Risk." J. Econ. Dynamics and Control 16 (July-October 1992): 509-32.
    • (1992) J. Econ. Dynamics and Control , vol.16 , pp. 509-532
    • Danthine, J.-P.1    Donaldson, J.B.2    Mehra, R.3
  • 18
    • 85029565954 scopus 로고    scopus 로고
    • Delbaen, Freddy, and Schachermayer, Wolfgang. "A General Version of the Fundamental Theorem of Asset Pricing." Working paper. Vienna: Univ. Vienna, 1992.
  • 19
    • 85029568848 scopus 로고    scopus 로고
    • Duffie, Darrell. "The Nature of Incomplete Security Markets." In Advances in Economic Theory, edited by Jean-Jacques Laffont. Cambridge: Cambridge Univ. Press, 1990.
  • 20
    • 85029557942 scopus 로고    scopus 로고
    • _. Dynamic Asset Pricing Theory. Princeton, N.J.: Princeton Univ. Press, 1992.
  • 21
    • 0000022420 scopus 로고
    • Multiperiod Security Markets with Differential Information: Martingales and Resolution Times
    • Duffie, Darrell, and Huang, Chi-fu. "Multiperiod Security Markets with Differential Information: Martingales and Resolution Times." J. Math. Econ. 15, no. 3 (1986): 283-303.
    • (1986) J. Math. Econ. , vol.15 , Issue.3 , pp. 283-303
    • Duffie, D.1    Huang, C.-F.2
  • 22
    • 38149144032 scopus 로고
    • Continuous-Time Security Pricing: A Utility Gradient Approach
    • March
    • Duffie, Darrell, and Skiadas, Costis. "Continuous-Time Security Pricing: A Utility Gradient Approach." J. Math. Econ. 23 (March 1994): 107-31.
    • (1994) J. Math. Econ. , vol.23 , pp. 107-131
    • Duffie, D.1    Skiadas, C.2
  • 23
    • 84935429666 scopus 로고
    • Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
    • April
    • Epstein, Larry G., and Zin, Stanley E. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis." J.P.E. 99 (April 1991): 263-86.
    • (1991) J.P.E. , vol.99 , pp. 263-286
    • Epstein, L.G.1    Zin, S.E.2
  • 24
    • 0001897337 scopus 로고
    • An Expository Note on Individual Risk without Aggregate Uncertainty
    • February
    • Feldman, Mark, and Gilles, Christian. "An Expository Note on Individual Risk without Aggregate Uncertainty." J. Econ. Theory 35 (February 1985): 26-32.
    • (1985) J. Econ. Theory , vol.35 , pp. 26-32
    • Feldman, M.1    Gilles, C.2
  • 25
    • 0000853427 scopus 로고
    • Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
    • October
    • Ferson, Wayne E., and Constantinides, George M. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests." J. Financial Econ. 29 (October 1991): 199-240.
    • (1991) J. Financial Econ. , vol.29 , pp. 199-240
    • Ferson, W.E.1    Constantinides, G.M.2
  • 26
    • 85029564934 scopus 로고    scopus 로고
    • Green, Edward. "Individual-Level Randomness in a Nonatomic Population." Working Paper no. 227. Pittsburgh: Univ. Pittsburgh, 1989.
  • 27
    • 84934563125 scopus 로고
    • Implications of Security Market Data for Models of Dynamic Economies
    • April
    • Hansen, Lars Peter, and Jagannathan, Ravi. "Implications of Security Market Data for Models of Dynamic Economies." J.P.E. 99 (April 1991): 225-62.
    • (1991) J.P.E. , vol.99 , pp. 225-262
    • Hansen, L.P.1    Jagannathan, R.2
  • 28
    • 85017108575 scopus 로고
    • Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
    • September
    • Hansen, Lars Peter, and Singleton, Kenneth J. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models." Econometrica 50 (September 1982): 1269-86.
    • (1982) Econometrica , vol.50 , pp. 1269-1286
    • Hansen, L.P.1    Singleton, K.J.2
  • 29
    • 38649141305 scopus 로고
    • Martingales and Arbitrage in Multiperiod Securities Markets
    • June
    • Harrison, J. Michael, and Kreps, David M. "Martingales and Arbitrage in Multiperiod Securities Markets." J. Econ. Theory 20 (June 1979): 381-408.
    • (1979) J. Econ. Theory , vol.20 , pp. 381-408
    • Harrison, J.M.1    Kreps, D.M.2
  • 30
    • 84937290579 scopus 로고
    • Market Frictions and Consumption-Based Asset Pricing
    • February
    • He, Hua, and Modest, David M. "Market Frictions and Consumption-Based Asset Pricing." J.P.E. 103 (February 1995): 94-117.
    • (1995) J.P.E. , vol.103 , pp. 94-117
    • He, H.1    Modest, D.M.2
  • 31
    • 0000519804 scopus 로고
    • The Interaction between Time-Nonseparable Preferences and Time Aggregation
    • March
    • Heaton, John. "The Interaction between Time-Nonseparable Preferences and Time Aggregation." Econometrica 61 (March 1993): 353-85.
    • (1993) Econometrica , vol.61 , pp. 353-385
    • Heaton, J.1
  • 32
    • 38249013007 scopus 로고
    • The Effects of Incomplete Insurance Markets and Trading Costs in a Consumption-Based Asset Pricing Model
    • July-October
    • Heaton, John, and Lucas, Deborah J. "The Effects of Incomplete Insurance Markets and Trading Costs in a Consumption-Based Asset Pricing Model." J. Econ. Dynamics and Control 16 (July-October 1992): 601-20.
    • (1992) J. Econ. Dynamics and Control , vol.16 , pp. 601-620
    • Heaton, J.1    Lucas, D.J.2
  • 33
    • 85029566640 scopus 로고    scopus 로고
    • _. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing." Working Paper no. 4249. Cambridge, Mass.: NBER, January 1993; rev. 1994. (a)
  • 34
    • 85029567774 scopus 로고    scopus 로고
    • _. "The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices." Working paper. Cambridge: Massachusetts Inst. Tech.; Evanston, Ill.: Northwestern Univ., 1994. (b)
  • 35
    • 85029560020 scopus 로고    scopus 로고
    • Heston, Steven L. "Sticky Consumption." Working paper. New Haven, Conn.: Yale Univ., 1991.
  • 36
    • 85029565534 scopus 로고    scopus 로고
    • Huggett, Mark. "The Risk-Free Rate in Heterogeneous-Agent, Incomplete-Insurance Economies." Working paper. Urbana-Champaign: Univ. Illinois, 1991.
  • 37
    • 84934563022 scopus 로고
    • Cost of Business Cycles with Indivisibilities and Liquidity Constraints
    • December
    • Imrohoroglu, Ayse. "Cost of Business Cycles with Indivisibilities and Liquidity Constraints." J.P.E. 97 (December 1989): 1364-83.
    • (1989) J.P.E. , vol.97 , pp. 1364-1383
    • Imrohoroglu, A.1
  • 38
    • 0003085090 scopus 로고
    • The Law of Large Numbers with a Continuum of IID Random Variables
    • February
    • Judd, Kenneth L. "The Law of Large Numbers with a Continuum of IID Random Variables." J. Econ. Theory 35 (February 1985): 19-25.
    • (1985) J. Econ. Theory , vol.35 , pp. 19-25
    • Judd, K.L.1
  • 39
    • 0002541131 scopus 로고
    • Precautionary Saving in the Small and in the Large
    • January
    • Kimball, Miles S. "Precautionary Saving in the Small and in the Large." Econometnca 58 (January 1990): 53-73.
    • (1990) Econometnca , vol.58 , pp. 53-73
    • Kimball, M.S.1
  • 40
    • 0003105093 scopus 로고
    • Arbitrage and Equilibrium in Economies with Infinitely Many Commodities
    • March
    • Kreps, David M. "Arbitrage and Equilibrium in Economies with Infinitely Many Commodities." J. Math. Econ. 8 (March 1981): 15-35.
    • (1981) J. Math. Econ. , vol.8 , pp. 15-35
    • Kreps, D.M.1
  • 41
    • 85029550748 scopus 로고    scopus 로고
    • Lucas, Deborah J. "Asset Pricing with Undiversifiable Income Risk and Short Sales Constraints: Deepening the Equity Premium Puzzle." Working paper. Evanston, Ill.: Northwestern Univ., 1991.
  • 42
    • 0000150312 scopus 로고
    • Asset Prices in an Exchange Economy
    • November
    • Lucas, Robert E., Jr. "Asset Prices in an Exchange Economy." Econometrica 46 (November 1978): 1429-45.
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas Jr., R.E.1
  • 43
    • 85029548799 scopus 로고    scopus 로고
    • Luttmer, Erzo G. J. "Asset Pricing in Economies with Frictions." Working paper. Evanston, Ill.: Northwestern Univ., 1993.
  • 44
    • 84934564247 scopus 로고
    • Full Insurance in the Presence of Aggregate Uncertainty
    • October
    • Mace, Barbara J. "Full Insurance in the Presence of Aggregate Uncertainty." J.P.E. 99 (October 1991): 928-56.
    • (1991) J.P.E. , vol.99 , pp. 928-956
    • Mace, B.J.1
  • 45
    • 0000339532 scopus 로고
    • The Equity Premium and the Concentration of Aggregate Shocks
    • September
    • Mankiw, N. Gregory. "The Equity Premium and the Concentration of Aggregate Shocks." J. Financial Econ. 17 (September 1986): 211-19.
    • (1986) J. Financial Econ. , vol.17 , pp. 211-219
    • Mankiw, N.G.1
  • 46
    • 0002874783 scopus 로고
    • The Consumption of Stockholders and Nonstockholders
    • March
    • Mankiw, N. Gregory, and Zeldes, Stephen P. "The Consumption of Stockholders and Nonstockholders." J. Financial Econ. 29 (March 1991): 97-112.
    • (1991) J. Financial Econ. , vol.29 , pp. 97-112
    • Mankiw, N.G.1    Zeldes, S.P.2
  • 47
    • 85029551896 scopus 로고    scopus 로고
    • Marcel, Albert, and Singleton, Kenneth J. "Optimal Consumption-Savings Decisions and Equilibrium Asset Prices in a Model with Heterogeneous Consumers Subject to Portfolio Constraints." Working paper. Pittsburgh: Carnegie-Mellon Univ.; Stanford, Calif.: Stanford Univ., 1991.
  • 48
    • 46549099071 scopus 로고
    • The Equity Premium: A Puzzle
    • March
    • Mehra, Rajnish, and Prescott, Edward C. "The Equity Premium: A Puzzle." J. Monetary Econ. 15 (March 1985): 145-61.
    • (1985) J. Monetary Econ. , vol.15 , pp. 145-161
    • Mehra, R.1    Prescott, E.C.2
  • 49
    • 85029561914 scopus 로고    scopus 로고
    • Mehrling, Perry. "Idiosyncratic Risk, Borrowing Constraints and Asset Prices." Working paper. New York: Barnard Coll., 1994.
  • 50
    • 85029560118 scopus 로고    scopus 로고
    • Nason, Jason N. "The Equity Premium and Time-Varying Risk Behavior." Working paper. Washington: Fed. Reserve Board, 1988.
  • 51
    • 45549121696 scopus 로고
    • The Equity Risk Premium: A Solution
    • July
    • Rietz, Thomas A. "The Equity Risk Premium: A Solution." J. Monetary Econ. 22 (July 1988): 117-31.
    • (1988) J. Monetary Econ. , vol.22 , pp. 117-131
    • Rietz, T.A.1
  • 52
    • 85029568920 scopus 로고    scopus 로고
    • Santos, Manuel, and Woodford, Michael. "Rational Asset Pricing Bubbles." Manuscript. Chicago: Univ. Chicago, 1994.
  • 53
    • 84986777994 scopus 로고
    • Martingale Measures for Discrete-Time Processes with Infinite Horizon
    • January
    • Schachermayer, Wolfgang. "Martingale Measures for Discrete-Time Processes with Infinite Horizon." Math. Finance 4 (January 1994): 25-55.
    • (1994) Math. Finance , vol.4 , pp. 25-55
    • Schachermayer, W.1
  • 54
    • 85029570085 scopus 로고    scopus 로고
    • Scheinkman, José A. "Discussion: Market Incompleteness and the Equilibrium Valuation of Assets." In Theory of Valuation: Frontiers of Modern Financial Theory, edited by Sudipto Bhattacharya and George M. Constantinides. Totowa, N.J.: Rowman and Littlefield, 1989.
  • 55
    • 0002154338 scopus 로고
    • Borrowing Constraints and Aggregate Economic Activity
    • January
    • Scheinkman, José A., and Weiss, Laurence. "Borrowing Constraints and Aggregate Economic Activity." Econometrica 54 (January 1986): 23-45.
    • (1986) Econometrica , vol.54 , pp. 23-45
    • Scheinkman, J.A.1    Weiss, L.2
  • 56
    • 0039095262 scopus 로고
    • Asset-Pricing Puzzles and Incomplete Markets
    • December
    • Telmer, Chris I. "Asset-Pricing Puzzles and Incomplete Markets." J. Finance 48 (December 1993): 1803-32.
    • (1993) J. Finance , vol.48 , pp. 1803-1832
    • Telmer, C.I.1
  • 57
    • 85029563966 scopus 로고    scopus 로고
    • Townsend, Robert M. "Risk and Insurance in Village India." Working paper. Chicago: Univ. Chicago, 1992.
  • 58
    • 85029567118 scopus 로고    scopus 로고
    • Uhlig, Harald. "A Law of Large Numbers for Large Economies." Working paper. Minneapolis: Univ. Minnesota; Princeton, N.J.: Princeton Univ., 1990.
  • 59
    • 38249004563 scopus 로고
    • The Equity Premium Puzzle and the Risk-Free Rate Puzzle
    • November
    • Weil, Philippe. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle." J. Monetary Econ. 24 (November 1989): 401-21.
    • (1989) J. Monetary Econ. , vol.24 , pp. 401-421
    • Weil, P.1
  • 60
    • 85029559714 scopus 로고    scopus 로고
    • _. "Equilibrium Asset Prices with Undiversifiable Labor Income Risk." Working paper. Cambridge, Mass.: Harvard Univ., 1992.
  • 61
    • 0000112188 scopus 로고
    • The Theory of Syndicates
    • January
    • Wilson, Robert B. "The Theory of Syndicates." Econometrica 36 (January 1968): 119-32.
    • (1968) Econometrica , vol.36 , pp. 119-132
    • Wilson, R.B.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.