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Asset Pricing with Countercyclical Household Consumption Risk
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Asset Pricing with Countercyclical Household Consumption Risk (2016)Asset Pricing with Countercyclical Househ…Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Variable Rare Disasters: An E…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Limited Asset Market Participation and the Elasticity of Intertemporal Substitution (2002)Limited Asset Market Particip…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…Asset Pricing with Heterogeneous Consumers (1996)Asset Pricing with Heterogene…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Consumption of Stockholders and Non-Stockholders (1990)The Consumption of Stockholde…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The equity risk premium a solution (1988)The equity risk premium a sol…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Conditional risk and the pricing kernel (2025)Conditional risk and the pric…First-Order Prudence and Its Implications for Precautionary Savings and the Risk-Free Rate (2024)First-Order Prudence and Its …Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden (2024)Countercyclical Income Risk a…Firm and Worker Dynamics in a Frictional Labor Market (2022)Firm and Worker Dynamics in a…Dissecting the Equity Premium (2022)Dissecting the Equity PremiumAutomation and the displacement of labor by capital: Asset pricing theory and empirical evidence (2022)Automation and the displaceme…Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks (2021)Welfare Costs of Idiosyncrati…Wealth Fluctuations and Risk Preferences: Evidence from U.S. Investor Portfolios (2020)Wealth Fluctuations and Risk …Family and government insurance: Wage, earnings, and income risks in the Netherlands and the U.S. (2020)Family and government insuran…Earnings Risk in the Household: Evidence from Millions of US Tax Returns (2020)Earnings Risk in the Househol…Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden (2020)Countercyclical Income Risk a…The Equity Premium and the One Percent (2019)The Equity Premium and the On…Consumption Fluctuations and Expected Returns (2019)Consumption Fluctuations and …Intertemporal Risk, Uncertainty Resolution, and Recursive Preferences: A Closed-Form Example (2018)Intertemporal Risk, Uncertain…Climbing and Falling Off the Ladder: Asset Pricing Implications of Labor Market Event Risk (2014)Climbing and Falling Off the …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)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The equity premium: A puzzle (1985)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)Short- Term Interest Rates as Predictors of Inflation (2021)The Behavior of Stock-Market Prices (1965)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)Presidential Address: Discount Rates (2011)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
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  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
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  • 1990The Consumption of Stockholders and Non-Stockholders1,289 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 1996Asset Pricing with Heterogeneous Consumers1,197 cited
  • 2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *

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1,059 cited
  • 2002Limited Asset Market Participation and the Elasticity of Intertemporal Substitution1,011 cited
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    • 2020Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden20 cited
    • 2020Wealth Fluctuations and Risk Preferences: Evidence from U.S. Investor Portfolios19 cited
    • 2021Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks13 cited
    • 2024First-Order Prudence and Its Implications for Precautionary Savings and the Risk-Free Rate2 cited
    • 2018Intertemporal Risk, Uncertainty Resolution, and Recursive Preferences: A Closed-Form Example0 cited