Results 1  10
of
624
The Equity Premium: A Puzzle
 Journal of Monetary Economics
, 1985
"... Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 18891978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equ ..."
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Cited by 1751 (40 self)
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Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 18891978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equilibrium model which is not an ArrowDebreu economy will be the one that Simultaneously rationalizes both historically observed large average equity return and the small average riskfree return. 1.
Asset prices under habit formation and catching up with the Joneses
 AMERICAN ECONOMIC REVIEW PAPERS AND PROCEEDINGS 80
, 1990
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Finite state Markovchain approximations to univariate and vector autoregressions
 Economics Letters
, 1986
"... The paper develops a procedure for finding a discretevalued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. 1. ..."
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Cited by 493 (0 self)
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The paper develops a procedure for finding a discretevalued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. 1.
The Consumption of Stockholders and Nonstockholders
 Journal of Financial Economics
, 1991
"... Only onefourth of U.S. families own stock. This paper examines whether the consumption of stockholders differs from the consumption of nonstockholders and. if so. whether these differences help explain the empirical failures of the consumptionbased CAPivl. Household panel data are used to construc ..."
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Cited by 421 (4 self)
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Only onefourth of U.S. families own stock. This paper examines whether the consumption of stockholders differs from the consumption of nonstockholders and. if so. whether these differences help explain the empirical failures of the consumptionbased CAPivl. Household panel data are used to construct time series on the consumption of each group. The results indicate that the consumption of stockholders is more volatile and more highly correlated with the excess return on the stock market. These differences help explain the size of the equity premium, although they do not fully resolve the equity premium puzzle. 1.
The JumpRisk Premia Implicit in Options: Evidence from an Integrated TimeSeries Study
 Journal of Financial Economics
"... Abstract: This paper examines the joint time series of the S&P 500 index and nearthemoney shortdated option prices with an arbitragefree model, capturing both stochastic volatility and jumps. Jumprisk premia uncovered from the joint data respond quickly to market volatility, becoming more p ..."
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Cited by 419 (3 self)
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Abstract: This paper examines the joint time series of the S&P 500 index and nearthemoney shortdated option prices with an arbitragefree model, capturing both stochastic volatility and jumps. Jumprisk premia uncovered from the joint data respond quickly to market volatility, becoming more prominent during volatile markets. This form of jumprisk premia is important not only in reconciling the dynamics implied by the joint data, but also in explaining the volatility “smirks” of crosssectional options data.
Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model
, 1998
"... This paper investigates the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs. Agents choose from a finite set of predictors of future prices of a risky asset and revise their `beliefs' in each period in a boundedly rational way, according to a `fitnes ..."
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Cited by 385 (27 self)
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This paper investigates the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs. Agents choose from a finite set of predictors of future prices of a risky asset and revise their `beliefs' in each period in a boundedly rational way, according to a `fitness measure' such as past realized profits. Price fluctuations are thus driven by an evolutionary dynamics between different expectation schemes (`rational animal spirits'). Using a mixture of local bifurcation theory and numerical methods, we investigate possible bifurcation routes to complicated asset price dynamics. In particular, we present numerical evidence of strange, chaotic attractors when the intensity of choice to switch prediction strategies is high.
Quadraturebased methods for obtaining approximate solutions to nonlinear asset pricing models
 ECONOMETRICA
, 1991
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Nonparametric Estimation of StatePrice Densities Implicit In Financial Asset Prices
 JOURNAL OF FINANCE
, 1997
"... Implicit in the prices of traded financial assets are ArrowDebreu prices or, with continuous states, the stateprice density (SPD). We construct a nonparametric estimator for the SPD implicit in option prices and derive its asymptotic sampling theory. This estimator provides an arbitragefree metho ..."
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Cited by 339 (6 self)
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Implicit in the prices of traded financial assets are ArrowDebreu prices or, with continuous states, the stateprice density (SPD). We construct a nonparametric estimator for the SPD implicit in option prices and derive its asymptotic sampling theory. This estimator provides an arbitragefree method of pricing new, complex, or illiquid securities while capturing those features of the data that are most relevant from an assetpricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility "smiles" for option prices. We perform Monte Carlo experiments and extract the SPD from actual S&P 500 option prices.
Efficient Capital Market: II” ,
 Journal of Finance, No
, 1991
"... SEQUELS ARE RARELY AS good as the originals, so I approach this review of the market efflciency literature with trepidation. The task is thornier than it was 20 years ago, when work on efficiency was rather new. The literature is now so large that a full review is impossible, and is not attempted h ..."
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Cited by 337 (0 self)
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SEQUELS ARE RARELY AS good as the originals, so I approach this review of the market efflciency literature with trepidation. The task is thornier than it was 20 years ago, when work on efficiency was rather new. The literature is now so large that a full review is impossible, and is not attempted here. Instead, I discuss the work that I find most interesting, and I offer my views on what we have learned from the research on market efficiency. I. The Theme I take the market efficiency hypothesis to be the simple statement that security prices fully reflect all available information. A precondition for this strong version of the hypothesis is that information and trading costs, the costs of getting prices to reflect information, are always 0 (Grossman and Stiglitz (1980)). A weaker and economically more sensible version of the efficiency hypothesis says that prices reflect information to the point where the marginal benefits of acting on information (the profits to be made) do not exceed the marginal costs (Jensen (1978)). Since there are surely positive information and trading costs, the extreme version of the market efficiency hypothesis is surely false. Its advantage, however, is that it is a clean benchmark that allows me to sidestep the messy problem of deciding what are reasonable information and trading costs. I can focus instead on the more interesting task of laying out the evidence on the adjustment of prices to various kinds of information. Each reader is then free to judge the scenarios where market efficiency is a good approximation (that is, deviations from the extreme version of the efficiency hypothesis are within information and trading costs) and those where some other model is a better simplifying view of the world. Ambiguity about information and trading costs is not, however, the main obstacle to inferences about market efficiency. The jointhypothesis problem is more serious. Thus, market efficiency per se is not testable. It must be