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Equilibrium asset prices with undiversifiable labor income risk
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Equilibrium asset prices with undiversifiable labor income risk (1992)Equilibrium asset prices with undiversifi…Standard Risk Aversion (1991)Standard Risk AversionAsset returns with transactions costs and uninsured individual risk (1991)Asset returns with transactio…Asset returns and intertemporal preferences (1991)Asset returns and intertempor…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…Proper Risk Aversion (1987)Proper Risk AversionThe equity premium and the concentration of aggregate shocks (1986)The equity premium and the co…The equity premium: A puzzle (1985)The equity premium: A puzzleAn Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Risk Aversion with Random Initial Wealth (1981)Risk Aversion with Random Ini…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The Effect of Uncertainty on Saving Decisions (1970)The Effect of Uncertainty on …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets (2017)Aggregation of heterogenous b…Comparative Risk Aversion under Background Risk Revisited (2010)Comparative Risk Aversion und…Financial Innovation, Market Participation, and Asset Prices (2004)Financial Innovation, Market …Dynamic Equilibrium with Liquidity Constraints (2003)Dynamic Equilibrium with Liqu…Human-Capital-Adjusted Capital Asset Pricing Model (2002)Human-Capital-Adjusted Capita…Can output explain the predictability and volatility of stock returns? (2002)Can output explain the predic…The importance of the number of different agents in a heterogeneous asset-pricing model (2001)The importance of the number …Incomplete Markets and Volatility (2001)Incomplete Markets and Volati…Complete monotonicity, background risk, and risk aversion (1997)Complete monotonicity, backgr…The effects of incomplete insurance markets and trading costs in a consumption-based asset pricing model (1992)The effects of incomplete ins…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Risk and uncertainty: a fallacy of large numbers (1963)Essays in the Theory of Risk-Bearing. (1972)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Strategic Asset Allocation (2002)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)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)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle (2002)Evaluating the effects of incomplete markets on risk sharing nad asset pricing (2010)The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2016)An Intertemporal Capital Asset Pricing Model (1973)ARCH modeling in finance (1992)Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Debt, Deficits, and Finite Horizons (1985)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Macroeconomic determinants of growth: Cross-country evidence (1985)An empirical analysis of cross-national economic growth, 1951–1980 (1989)The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence (1992)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)The Role of Social Capital in Financial Development (2004)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)
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References

  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 1970The Effect of Uncertainty on Saving Decisions923 cited
  • 1991Standard Risk Aversion851 cited
  • 1987Proper Risk Aversion540 cited
  • 1986The equity premium and the concentration of aggregate shocks436 cited
  • 1991Asset returns and intertemporal preferences383 cited
  • 1991Asset returns with transactions costs and uninsured individual risk320 cited
  • 1981Risk Aversion with Random Initial Wealth235 cited

Cited by

  • 2003Dynamic Equilibrium with Liquidity Constraints93 cited
  • 2001The importance of the number of different agents in a heterogeneous asset-pricing model78 cited
  • 1992The effects of incomplete insurance markets and trading costs in a consumption-based asset pricing model

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77 cited
  • 2001Incomplete Markets and Volatility72 cited
  • 2004Financial Innovation, Market Participation, and Asset Prices71 cited
  • 2002Can output explain the predictability and volatility of stock returns?37 cited
  • 2017Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets33 cited
  • 2002Human-Capital-Adjusted Capital Asset Pricing Model23 cited
  • 1997Complete monotonicity, background risk, and risk aversion1 cited
  • 2010Comparative Risk Aversion under Background Risk Revisited1 cited