Idiosyncratic risk and the equity premium: Evidence from the consumer expenditure survey

Journal of Monetary Economics

Volumn 49, Issue 2, 2002, Pages 309-334

  Cogley, Timothy ^a  

^a ARIZONA STATE UNIVERSITY   (United States)

Author keywords

Asset pricing

Indexed keywords

EID: 0036205601     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-3932(01)00106-4     Document Type: Article

References (38)

1. Household choices in equilibrium
2. Is consumption growth consistent with intertemporal optimization? Evidence from the Consumer Expenditure Survey
3. Relative wage movements and the distribution of consumption
4. Asset holding and consumption volatility
5. An empirical resurrection of the simple consumption CAPM with power utility
6. A simple test of consumption insurance
7. Where is the market going? Uncertain facts and novel theories
8. Asset pricing explorations for macroeconomics
9. Asset pricing with heterogeneous consumers
10. Equity premium and risk-free rate puzzles at long horizons
11. Consumption-based modeling of long-horizon returns
12. Intertemporal choice and inequity
13. Multiperiod security markets with differential information: Martingales and resolution times
14. Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns I: A theoretical framework
15. Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns II: An empirical analysis
16. Why do so few hold stocks?
17. The sensitivity of consumption to transitory income: Estimates from panel data on households
18. Restrictions 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 non-linear rational expectations models
21. Martingales and arbitrage in multiperiod securities markets
22. Evaluating the effects of incomplete markets on risk sharing and asset pricing
23. Incomplete markets and security prices: Do asset-pricing puzzles result from aggregation problems?
24. Disentangling the coefficient of relative risk aversion from the elasticity of intertemporal substitution: An irrelevance result
25. Self-control and retirement savings
26. Asset pricing with undiversifiable income risk and short sales constraints: Deeping the equity premium puzzle
27. Full insurance in the presence of aggregate uncertainty
28. The equity premium and the concentration of aggregate shocks
29. The consumption of stockholders and non-stockholders
30. The equity premium: A puzzle
31. On testing for full insurance using consumer expenditure survey data
32. Asset-pricing puzzles with incomplete markets
33. Persistent idiosyncratic shocks and incomplete markets
34. Limited stock market participation
35. The equity premium puzzle and the risk-free rate puzzle
36. Consumption and liquidity constraints: An empirical investigation