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Asset Pricing in Economies with Frictions

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References

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1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited
1992

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Explaining the Variance of Price–Dividend Ratios

482 cited

Cited by

2002Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle493 cited
1999Chapter 8 Micro data and general equilibrium models476 cited
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2011Bond Liquidity Premia304 cited
2001Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets293 cited
2003The Equity Premium in Retrospect260 cited
2001The 6D Bias and the Equity-Premium Puzzle254 cited
2010Asset prices and liquidity in an exchange economy236 cited
2003Diversification benefits of emerging markets subject to portfolio constraints230 cited
2005Optimal Life‐Cycle Asset Allocation: Understanding the Empirical Evidence226 cited
2001Evaluating the specification errors of asset pricing models219 cited
2017The term structure of returns: Facts and theory214 cited
2000Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior208 cited
2008Handbook of the Equity Risk Premium198 cited
2001Quantitative Asset Pricing Implications of Endogenous Solvency Constraints195 cited
2019A Transaction-Cost Perspective on the Multitude of Firm Characteristics183 cited