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The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices
16 references·3 citing·46 second hop
The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices (1995)The importance of investor heterogeneity …Asset Pricing with Heterogeneous Consumers (1996)Asset Pricing with Heterogene…Uninsured Idiosyncratic Risk and Aggregate Saving (1994)Uninsured Idiosyncratic Risk …Understanding Consumption (1992)Understanding ConsumptionSubstitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…The Consumption of Stockholders and Non-Stockholders (1990)The Consumption of Stockholde…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…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 risk premium a solution (1988)The equity risk premium a sol…THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…The equity premium: A puzzle (1985)The equity premium: A puzzleCredit Rationing in Markets with Imperfect Information (1981)Credit Rationing in Markets w…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Liquidity in Asset Markets with Search Frictions (2007)Liquidity in Asset Markets wi…The Dynamics of the Hedge Fund Industry (2005)The Dynamics of the Hedge Fun…Consumption-based modeling of long-horizon returns (1998)Consumption-based modeling of…Increases in risk and in risk aversion (1974)Risk Sharing and Incentives in the Principal and Agent Relationship (1979)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Financial Dependence and Growth (1996)An Intertemporal Capital Asset Pricing Model (1973)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Optimal Investment, Growth Options, and Security Returns (1998)The Economics and Psychology of Personality Traits (2008)Expected Stock Returns and Variance Risk Premia (2009)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Short- Term Interest Rates as Predictors of Inflation (2021)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Theory ahead of business-cycle measurement (1986)Precautionary Saving in the Small and in the Large (1989)Income and Wealth Heterogeneity in the Macroeconomy (1998)Interpreting the Evidence on Life Cycle Skill Formation (2005)Emerging Market Business Cycles: The Cycle Is the Trend (2007)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Endogenous Technological Change (1990)Dynamic Econometrics (1995)Precautionary Saving and Social Insurance (1995)From Physical to Human Capital Accumulation: Inequality and the Process of Development (2004)Golden Eggs and Hyperbolic Discounting (1997)The analysis of household surveys (1997)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)
this work references cited by second hop

References

  • 1981Credit Rationing in Markets with Imperfect Information12,762 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1994Uninsured Idiosyncratic Risk and Aggregate Saving2,799 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1989Consumption and Liquidity Constraints: An Empirical Investigation1,933 cited
  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited
  • 1992Understanding Consumption1,461 cited
  • 1988The equity risk premium a solution1,397 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 1990The Consumption of Stockholders and Non-Stockholders1,289 cited
  • 1996Asset Pricing with Heterogeneous Consumers1,197 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies

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Cited by

  • 2007Liquidity in Asset Markets with Search Frictions54 cited
  • 2005The Dynamics of the Hedge Fund Industry19 cited
  • 1998Consumption-based modeling of long-horizon returns18 cited