Prices as factors: Approximate aggregation with incomplete markets

Journal of Economic Dynamics and Control

Volumn 26, Issue 7-8, 2002, Pages 1127-1157

  Telmer, Chris I ^a   Zin, Stanley E ^a  

^a CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Asset pricing; CAPM; Incomplete markets

Indexed keywords

EID: 0036192969     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(01)00050-1     Document Type: Article

References (38)

1. Asset returns with transactions costs and uninsured individual risk
2. Quantitative asset pricing implications of endogeneous solvency constraints
3. Does heterogeneity matter for asset pricing
4. A general equilibrium model of changing risk premia: Theory and tests
5. Asset pricing with heterogeneous consumers and limited participation: Empirical evidence
6. An intertemporal asset pricing model with stochastic consumption and investment opportunities
7. The equity premium and the risk free rate: Matching the moments
8. Economic forces and the stock market
9. Idiosyncratic risk and the equity premium: Evidence from the consumer expenditure survey
10. Intertemporal asset pricing with heterogeneous consumers and without demand aggregation
11. Asset pricing with heterogeneous consumers
12. Heterogeneity, aggregate uncertainty and the short term interest rate: A case study of two solution techniques
13. The independence axiom and asset returns
14. Risk aversion, and the temporal behaviour of consumption and asset returns: An empirical analysis
15. Multifactor explanations of asset pricing anomalies
16. The variation of economic risk premiums
17. Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information
18. Implications of security market data for models of dynamic economies
19. The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models
20. Generalized instrumental variables estimation of nonlinear rational expectations models
21. Evaluating the effects of incomplete markets on risk sharing and asset pricing
22. The conditional CAPM and the cross-section of expected returns
23. Income and wealth heterogeneity, portfolio choice, and equilibrium asset returns
24. The empirical foundations of the arbitrage pricing theory
25. Does market incompleteness matter?
26. The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets
27. Asset Pricing with Undiversifiable Risk and Short Sales Constraints: Deepening the Equity Premium Puzzle
28. Asset Prices in an exchange economy
29. The equity premium and the concentration of aggregate shocks
30. Equilibrium assets prices and savings of heterogeneous agents in the presence of portfolio constraints
31. The equity puzzle
32. The Arbitrage theory of capital asset pricing
33. The cross-country consumption dispersion and the world business cycle
34. Capital asset prices: A theory of market equilibrium under conditions of risk
35. Asset pricing with idiosyncratic risk and overlapping generations
36. Asset pricing puzzles and incomplete markets
37. Endogeneous borrowing constraints with incomplete markets