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Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty
16 references·0 citing·46 second hop
Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty (2014)Horizon-Dependent Risk Aversion and the T…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Risk Aversion and Incentive Effects (2002)Risk Aversion and Incentive E…Prospect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Golden Eggs and Hyperbolic Discounting (1997)Golden Eggs and Hyperbolic Di…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Myopia and Inconsistency in Dynamic Utility Maximization (1973)Myopia and Inconsistency in D…Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)Specious reward: A behavioral theory of impulsiveness and impulse control. (1975)Anomalies in Intertemporal Choice: Evidence and an Interpretation (1992)Time Discounting and Time Preference: A Critical Review (2002)Implications of rational inattention (2003)Does Culture Affect Economic Outcomes? (2006)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Prospect Theory: An Analysis of Decision under Risk (1979)Oxytocin increases trust in humans (2005)Gender Differences in Preferences (2009)INDIVIDUAL RISK ATTITUDES: MEASUREMENT, DETERMINANTS, AND BEHAVIORAL CONSEQUENCES (2011)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Market Liquidity and Funding Liquidity (2008)Bank lending during the financial crisis of 2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1997Golden Eggs and Hyperbolic Discounting6,117 cited
  • 2002Risk Aversion and Incentive Effects5,973 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 2001Prospect Theory and Asset Prices1,876 cited

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  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
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