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Risk aversion, risk premia, and the labor margin with generalized recursive preferences
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Risk aversion, risk premia, and the labor margin with generalized recursive preferences (2017)Risk aversion, risk premia, and the labor…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Nominal Rigidities and the Dy…Interest and Prices (2004)Interest and PricesOptimal monetary policy with staggered wage and price contracts (2000)Optimal monetary policy with …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Recursive Methods in Economic Dynamics (1989)Recursive Methods in Economic…Production, growth and business cycles (1988)Production, growth and busine…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…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…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)Discretion versus policy rules in practice (1993)Staggered Prices in a Utility-Maximizing Framework (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The General Theory of Employment, Interest, and Money (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Aggregate Dynamics and Staggered Contracts (1980)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)A model of unconventional monetary policy (2010)The Role of Monetary Policy (1995)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimation and Inference of Impulse Responses by Local Projections (2005)The Impact of Uncertainty Shocks (2009)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Indivisible labor and the business cycle (1985)Occupational Choice and the Process of Development (1993)The Theory of Incentives: The Principal-Agent Model (2001)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)On the measurement of inequality (1970)The arbitrage theory of capital asset pricing (1976)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy5,868 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1989Recursive Methods in Economic Dynamics3,065 cited
  • 2004Interest and Prices2,583 cited
  • 2000Optimal monetary policy with staggered wage and price contracts2,281 cited
  • 1988Production, growth and business cycles2,193 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited

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  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
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