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Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility
16 references·4 citing·35 second hop
Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility (2005)Risk preferences in multi-period consumpt…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…ARE WOMEN MORE RISK AVERSE? (1998)ARE WOMEN MORE RISK AVERSE?Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study (1997)Preference Parameters and Beh…The Equity Premium: It's Still a Puzzle (1996)The Equity Premium: It's Stil…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Consumption and Liquidity Constraints: An Empirical Investigation (1989)Consumption and Liquidity Con…The equity premium: A puzzle (1985)The equity premium: A puzzleThe Framing of Decisions and the Psychology of Choice (1981)The Framing of Decisions and …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…THE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…Habit Formation and Dynamic Demand Functions (1970)Habit Formation and Dynamic D…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Consumption Smoothing and Precautionary Saving under Recursive Preferences (2016)Consumption Smoothing and Pre…Habit Formation and Risk Preference Dependence (2014)Habit Formation and Risk Pref…Is relative risk aversion constant? A reinterpretation of recent asset allocation findings at the micro level (2012)Is relative risk aversion con…Generalised Means of Simple Utility Functions with Risk Aversion (2007)Generalised Means of Simple U…Credit Rationing in Markets with Imperfect Information (1981)Golden Eggs and Hyperbolic Discounting (1997)The analysis of household surveys (1997)Econometric Analysis of Cross Section and Panel Data (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Perception of Risk (1987)Prospect theory: An analysis of decision under risk (1988)Toward a Theory of Situation Awareness in Dynamic Systems (1995)Framing Processes and Social Movements: An Overview and Assessment (2000)Rational Expectations and the Theory of Price Movements (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Judgment under Uncertainty: Heuristics and Biases (1975)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Risk as feelings. (2001)INDIVIDUAL RISK ATTITUDES: MEASUREMENT, DETERMINANTS, AND BEHAVIORAL CONSEQUENCES (2011)An Intertemporal Capital Asset Pricing Model (1973)ARCH modeling in finance (1992)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
this work references cited by second hop

References

  • 1981The Framing of Decisions and the Psychology of Choice17,834 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1997Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study2,399 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1989Consumption and Liquidity Constraints: An Empirical Investigation1,933 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1998ARE WOMEN MORE RISK AVERSE?1,730 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 1996The Equity Premium: It's Still a Puzzle944 cited
  • 1970Habit Formation and Dynamic Demand Functions

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  • 2012Is relative risk aversion constant? A reinterpretation of recent asset allocation findings at the micro level1 cited
  • 2016Consumption Smoothing and Precautionary Saving under Recursive Preferences1 cited
  • 2007Generalised Means of Simple Utility Functions with Risk Aversion0 cited
  • 2014Habit Formation and Risk Preference Dependence0 cited