journal article Jan 01, 2022

The Equity Premium With Undiversified Investors and Financial Frictions

View at Publisher Save 10.2139/ssrn.4236861
Topics

No keywords indexed for this article. Browse by subject →

References
57
[1]
Hengjie Ai "Asset pricing with endogenously uninsurable tail risk" Econometrica (2021) 10.3982/ecta15142
[2]
Hengjie Ai A Quantitative Model of Dynamic Moral Hazard. The Review of Financial Studies (2022)
[3]
Henjie Ai "A unified model of firm dynamics with limited commitment and assortative matching" The Journal of Finance (2021) 10.1111/jofi.12980
[4]
Laurent Bach "Rich pickings? risk, return, and skill in household wealth" American Economic Review (2020) 10.1257/aer.20170666
[5]
Cynthia Balloch "Asset allocation and returns in the portfolios of the wealthy" LSE Financial Markets Group (2023)
[6]
Robert J Barro "Rare disasters, asset prices, and welfare costs" American Economic Review (2009) 10.1257/aer.99.1.243
[7]
Really Uncertain Business Cycles

Nicholas Bloom, Max Floetotto, Nir Jaimovich et al.

Econometrica 2018 10.3982/ecta10927
[8]
Corina Boar "Why are returns to private business wealth so dispersed? Working Paper 29705" National Bureau of Economic Research (2022)
[9]
Catherine Sylvain "Countercyclical labor income risk and portfolio choices over the life cycle" The Review of Financial Studies
[10]
Paolo Sylvain Catherine "Countercyclical income risk and portfolio choices: Evidence from sweden" The Journal of Finance (2024) 10.1111/jofi.13341
[11]
George M Constantinides "Asset pricing with heterogeneous consumers" Journal of Political Economy (1996) 10.1086/262023
[12]
Asset Pricing with Countercyclical Household Consumption Risk

GEORGE M. CONSTANTINIDES, ANISHA GHOSH

The Journal of Finance 2017 10.1111/jofi.12471
[13]
William Diamond "Credit cycles with market-based household leverage" Journal of Financial Economics (2022) 10.1016/j.jfineco.2021.11.001
[14]
Julio D�vila "Constrained efficiency in the neoclassical growth model with uninsurable idiosyncratic shocks" Econometrica (2012) 10.3982/ecta5989
[15]
Andrea L Eisfeldt Human Capitalists. NBER Macroeconomics Annual 2022 (2022)
[16]
Vadim Elenev A Macroeconomic Model With Financially Constrained Producers and Intermediaries (2021)
[17]
Andreas Fagereng "Saving behavior across the wealth distribution: The importance of capital gains" National Bureau of Economic Research (2019)
[18]
Andreas Fagereng "Heterogeneity and persistence in returns to wealth" Econometrica (2020) 10.3982/ecta14835
[19]
Jack Favilukis "Inequality, stock market participation, and the equity premium" Journal of Financial Economics (2013) 10.1016/j.jfineco.2012.10.008
[20]
The Elephant in the Room: The Impact of Labor Obligations on Credit Markets

Jack Favilukis, Xiaoji Lin

American Economic Review 2020 10.1257/aer.20170156
[21]
Ernst Fehr "The lure of authority: Motivation and incentive effects of power" The American Economic Review (2013) 10.1257/aer.103.4.1325
[22]
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *

Xavier Gabaix

The Quarterly Journal of Economics 2012 10.1093/qje/qjs001
[23]
Francisco Gomes "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents" The Review of Financial Studies
[24]
Joao F Gomes "Equilibrium asset pricing with leverage and default" The Journal of Finance (2021) 10.1111/jofi.12987
[25]
Matthieu Gomez "Wealth inequality and asset prices" The Review of Economic Studies
[26]
Fran�ois Gourio "Disaster risk and business cycles" American Economic Review (2012) 10.1257/aer.102.6.2734
[27]
Fran�ois Gourio "Credit risk and disaster risk" American Economic Journal: Macroeconomics (2013)
[28]
Matteo Daniel L Greenwald Financial and total wealth inequality with declining interest rates. Working Paper 28613 (2021)
[29]
Fatih Guvenen "The nature of countercyclical income risk" Journal of Political Economy (2014) 10.1086/675535
[30]
John Heaton "The effects of incomplete insurance markets and trading costs in a consumption-based asset pricing model" Journal of Economic Dynamics and Control (1992) 10.1016/0165-1889(92)90051-f
[31]
John Heaton "Portfolio choice and asset prices: The importance of entrepreneurial risk" The Journal of Finance (2000) 10.1111/0022-1082.00244
[32]
John Heaton "Evaluating the effects of incomplete markets on risk sharing and asset pricing" Journal of Political Economy (1996) 10.1086/262030
[33]
Joachim Hubmer Sources of us wealth inequality: Past, present, and future. NBER Macroeconomics Annual (2021)
[34]
Oscar Jorda "Macrofinancial history and the new business cycle facts" NBER Macroeconomics Annual (2016) 10.1086/690241
[35]
Judd Kenneth Numerical methods in economics (1998)
[36]
Georg Kaltenbrunner "Long-Run Risk through Consumption Smoothing" The Review of Financial Studies (2010) 10.1093/rfs/hhq033
[37]
Katya Kartashova "Private equity premium puzzle revisited" American Economic Review (2014) 10.1257/aer.104.10.3297
[38]
Matthias Kehrig The Cyclical Nature of the Productivity Distribution (2015)
[39]
Dirk Krueger "When is market incompleteness irrelevant for the price of aggregate risk (and when is it not" Journal of Economic Theory (2010) 10.1016/j.jet.2009.10.005
[40]
On the Size Distribution of Business Firms

Robert E. Lucas

The Bell Journal of Economics 1978 10.2307/3003596
[41]
Randall Morck "Management ownership and market valuation: An empirical analysis" The Distribution of Power Among Corporate Managers, Shareholders, and Directors (1988)
[42]
Tobias J Moskowitz "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?" American Economic Review (2002) 10.1257/00028280260344452
[43]
Emi Nakamura "Eli Ofek and David Yermack. Taking stock: Equity-based compensation and the evolution of managerial ownership" American Economic Journal: Macroeconomics (2000)
[44]
Investment, Idiosyncratic Risk, and Ownership

VASIA PANOUSI, DIMITRIS PAPANIKOLAOU

The Journal of Finance 2012 10.1111/j.1540-6261.2012.01743.x
[45]
Diversification and Its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status

NIKOLAI ROUSSANOV

The Journal of Finance 2010 10.1111/j.1540-6261.2010.01593.x
[46]
Geert Rouwenhorst "Asset pricing implications of equilibrium business cycle models" Frontiers of Business Cycle Research (1995) 10.1515/9780691218052-014
[47]
Emmanuel Saez "Wealth Inequality in the United States since 1913: Evidence from Capitalized Income Tax Data" The Quarterly Journal of Economics
[48]
Sergio Salgado (2020)
[49]
Lawrence Schmidt "Climbing and Falling Off the Ladder: Asset Pricing Implications of Labor Market Event Risk" SSRN 2471342 (2015)
[50]
D W Lawrence "Climbing and falling off the ladder: Asset pricing implications of labor market event risk" Journal of Financial Economics (2025)

Showing 50 of 57 references

Metrics
0
Citations
57
References
Details
Published
Jan 01, 2022
Cite This Article
Vadim Elenev, Tim Landvoigt (2022). The Equity Premium With Undiversified Investors and Financial Frictions. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4236861
Related

You May Also Like