Evaluating the effects of incomplete markets on risk sharing and asset pricing

Journal of Political Economy

Volumn 104, Issue 3, 1996, Pages 443-487

  Heaton, John ^a,b   Lucas, Deborah J ^a,b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4243088649     PISSN: 00223808     EISSN: None     Source Type: Journal    
DOI: 10.1086/262030     Document Type: Review

References (31)

1. Abowd, John M., and Card, David. "On the Covariance Structure of Earnings and Hours Changes." Econometrica 57 (March 1989): 411-45.
2. Aiyagari, S. Rao. "Uninsured Idiosyncratic Risk and Aggregate Saving." Q.J.E. 109 (August 1994): 659-84.
3. Aiyagari, S. Rao, and Gertler, Mark. "Asset Returns with Transactions Costs and Uninsured Individual Risk." J. Monetary Econ. 27 (June 1991): 311-31.
4. Amihud, Yakov, and Mendelson, Haim. "Asset Pricing and the Bid-Ask Spread." J. Financial Econ. 17 (December 1986): 223-49.
5. Bewley, Truman F. "Stationary Monetary Equilibrium with a Continuum of Independently Fluctuating Consumers." In Contributions to Mathematical Economics in Honor of Gerard Debreu, edited by Werner Hildenbrand and Andreu Mas-Colell. Amsterdam: North-Holland, 1986.
6. Clarida, Richard H. "International Lending and Borrowing in a Stochastic Stationary Equilibrium." Internal. Econ. Rev. 31 (August 1990): 543-58.
7. Constantinides, George M. "Capital Market Equilibrium with Transaction Costs." J.P.E. 94 (August 1986): 842-62.
8. Constantinides, George M., and Duffie, Darrell. "Asset Pricing with Heterogeneous Consumers." Manuscript. Chicago: Univ. Chicago, Grad. School Bus., 1994.
9. Dumas, Bernard. "Two-Person Dynamic Equilibrium in the Capital Market." Rev. Financial Studies 2, no. 2 (1989): 157-88.
10. Hansen, Lars Peter, and Jagannathan, Ravi. "Implications of Security Market Data for Models of Dynamic Economies." J.P.E. 99 (April 1991): 225-62.
11. Hansen, Lars Peter, and Singleton, Kenneth J. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns." J.P.E. 91 (April 1983): 249-65.
12. He, Hua, and Modest, David M. "Market Frictions and Consumption-Based Asset Pricing." J.P.E. 103 (February 1995): 94-117.
13. 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.
14. _. "The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices." Carnegie-Rochester Conf. Ser. Public Policy 42 (June 1995): 1-32.
15. Huggett, Mark. "The Risk-Free Rate in Heterogeneous Agent Incomplete-Insurance Economies." J. Econ. Dynamics and Control 17 (September/November 1993): 953-69.
16. Lucas, Deborah J. "Asset Pricing with Undiversifiable Income Risk and Short Sales Constraints: Deepening the Equity Premium Puzzle." J. Monetary Econ. 34 (December 1994): 325-41.
17. MaCurdy, Thomas E. "The Use of Time Series Processes to Model the Error Structure of Earnings in a Longitudinal Data Analysis." J. Econometrics 18 (January 1982): 83-114.
18. Mankiw, N. Gregory. "The Equity Premium and the Concentration of Aggregate Shocks." J. Financial Econ. 17 (September 1986): 211-19.
19. Mankiw, N. Gregory, and Zeldes, Stephen P. "The Consumption of Stockholders and Nonstockholders." J. Financial Econ. 29 (March 1991): 97-112.
20. Marcet, Albert, and Singleton, Kenneth J. "Equilibrium Asset Prices and Savings of Heterogeneous Agents in the Presence of Incomplete Markets and Portfolio Constraints." Manuscript. Stanford, Calif.: Stanford Univ., Grad. School Bus., 1991.
21. Mehra, Rajnish, and Prescott, Edward C. "The Equity Premium: A Puzzle." J. Monetary Econ. 15 (March 1985): 145-61.
22. Pratt, John W., and Zeckhauser, Richard J. "Proper Risk Aversion." Econometrica 55 (January 1987): 143-54.
23. Saito, Makoto. "Limited Market Participation and Asset Pricing." Manuscript. Vancouver: Univ. British Columbia, Dept. Econ., 1995.
24. Scheinkman, José A. "Discussion: Market Incompleteness and the Equilibrium Valuation of Assets." In Theory of Valuation: Frontiers of Modern Financial Theory, vol. 1, edited by Sudipto Bhattacharya and George M. Constantinides. Totowa, N.J.: Rowman and Littlefield, 1989.
25. Scheinkman, José A., and Weiss, Laurence. "Borrowing Constraints and Aggregate Economic Activity." Econometrica 54 (January 1986): 23-45.
26. Sharpe, William F. Investments. 3d ed. Englewood Cliffs, N.J.: Prentice-Hall, 1985.
27. Tauchen, George, and Hussey, Robert. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models." Econometrica 59 (March 1991): 371-96.
28. Telmer, Chris I. "Asset-Pricing Puzzles and Incomplete Markets." J. Finance 48 (December 1993): 1803-32.
29. Vayanos, Dimitri, and Vila, Jean-Luc. "Equilibrium Interest Rate and Liquidity Premium under Proportional Transactions Costs." Manuscript. Stanford, Calif.: Stanford Univ., Grad. School Bus., 1995.
30. Weil, Philippe. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle." J. Monetary Econ. 24 (November 1989): 401-21.
31. _. "Equilibrium Asset Prices with Undiversifiable Labor Income Risk." J. Econ. Dynamics and Control 16 (July/October 1992): 769-90.