Market incompleteness and the equity premium puzzle: Evidence from state-level data
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DOI: 10.1016/j.jbankfin.2012.09.005
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- Kris Jacobs & Stephane Pallage & Michel A. Robe, 2005. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," Computing in Economics and Finance 2005 47, Society for Computational Economics.
- Kris Jacobs & Michel A. Robe & Stéphane Pallage, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO.
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- Ashley Lim & Yihui Lan & Sirimon Treepongkaruna, 2020. "Asset pricing and energy consumption risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3813-3850, December.
- Yan, Yu & Wang, Yiming, 2020. "Consumer Asset Pricing Model Based on Heterogeneous Consumers and the Mystery of Equity Premium," MPRA Paper 98506, University Library of Munich, Germany.
- Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2020. "Natural disasters and risk aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 818-835.
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More about this item
Keywords
Heterogeneity; Idiosyncratic consumption risk; Incomplete markets; Consumption-based asset pricing model; Risk aversion; Equity premium puzzle;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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