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### Citations

2039 | The cross-section of expected stock returns
- Fama, French
- 1992
(Show Context)
Citation Context ...lude as estimation targets the mean, volatility and CAPM alpha of a portfolio of value minus growth firms, where value and growth firms are defined according to their book-to-market ratios (following =-=Fama and French, 1992-=-). We discuss the construction of these variables in detail in Appendix B. Due to data limitations, each of these statistics is available for different parts of the sample. We use the longest availabl... |

1408 | Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis, - Epstein, Zin - 1991 |

888 |
A First Course in Stochastic Processes
- Karlin
- 1966
(Show Context)
Citation Context ... by f(u) = cu −2− 2κu σ2u exp ( − 2θ uσ2u ) , (A.3) where c is a constant that solves ∫∞ 0 f(u)du = 1. Further, as long as 2κu ≥ σ2u, the cross-sectional variance of u is finite. 40 Proof. We follow (=-=Karlin and Taylor, 1981-=-, p. 221). The forward Kolmogorov equation for the stationary transition density f(u) yields the ODE 0 = −κu ∂ ∂u [(1− u)f(u)] + 1 2 σ2u ∂2 ∂u2 [ u2f(u) ] (A.4) Integrating the above with respect to u... |

806 | Asset prices under habit formation and catching up with the
- Abel
- 1990
(Show Context)
Citation Context ...thus builds upon the extensive literature that emphasizes the role of consumption externalities and relative wealth concerns for asset prices, investment, and consumption dynamics (Duesenberry, 1949; =-=Abel, 1990-=-; Gali, 1994; Roussanov, 2010). Closest to our work is Roussanov (2010), who argues that households may invest in risky, zero-mean gambles whose payoff is uncorrelated with the aggregated state when t... |

700 |
The New Issues Puzzle
- Loughran, Ritter
- 1995
(Show Context)
Citation Context ...mented for firms with high past investment (Titman, Wei, and Xie, 2004), price-earnings ratios (Rosenberg, Reid, and Lanstein, 1985), labor hiring (Bazdrech, Belo, and Lin, 2009), new share issuance (=-=Loughran and Ritter, 1995-=-). The strong patterns of return comovement among firms with similar characteristics have motivated the use of empirical factor models (Fama and French, 1993). However, the economic origins of these e... |

634 | Satisfaction and Comparison Income - Clark, Oswald |

583 | Debt, deficits, and finite horizons
- Blanchard
- 1985
(Show Context)
Citation Context ...ution of a household’s relative wealth in (30) is conditional on the household survival; thus, the first term captures the flow payoff of the annuity, as it is standard in perpetual youth OLG models (=-=Blanchard, 1985-=-). The second term captures changes in the households’ wealth resulting from innovation. Both the drift and the return to successful innovation depend on the fraction of shareholder wealth that accrue... |

530 | A Theory of Debt Based on the Inalienability of Human Capital - Hart, Moore - 1994 |

429 |
Asset pricing with heterogeneous consumers
- Constantinides, Duffie
- 1996
(Show Context)
Citation Context ...y increases households’ uninsurable consumption risk. The fact that time-varying cross-sectional dispersion of consumption can increase the volatility of the stochastic discount factor is well known (=-=Constantinides and Duffie, 1996-=-; Storesletten, Telmer, and Yaron, 2007; Constantinides and Ghosh, 2014). The existing literature uses reduced-form specifications of idiosyncratic labor income risk. In our setting, time variation in... |

318 | Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk - Heaton, C, et al. |

263 | Income Inequality in the United States, 1913-1998,” Quarterly - Saez |

245 | Liquidity Constraints, Household Wealth, and Entrepreneurship - Hurst, Lusardi |

225 |
Persuasive evidence of market inefficiency
- Rosenberg, Reid, et al.
- 1985
(Show Context)
Citation Context ...992, 1993) for more details. Similar patterns to the returns of high market to book firms have been documented for firms with high past investment (Titman, Wei, and Xie, 2004), price-earnings ratios (=-=Rosenberg, Reid, and Lanstein, 1985-=-), labor hiring (Bazdrech, Belo, and Lin, 2009), new share issuance (Loughran and Ritter, 1995). The strong patterns of return comovement among firms with similar characteristics have motivated the us... |

183 | The dynamic effects of neutral and investment-specific shocks, - Fisher - 2006 |

180 | Yaron: 2004, `Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles - Bansal, A |

164 |
Simulation Estimators of Time Series Models,"
- LEE, INGRAM
- 1991
(Show Context)
Citation Context ...erefore, we target the volatility of the ratio of net payout to book assets. 13 sample to compute them. 2.2 Methodology We estimate the parameter vector p using the simulated minimum distance method (=-=Ingram and Lee, 1991-=-). Denote by X the vector of target statistics in the data and by X (p) the corresponding statistics generated by the model given parameters p, computed as X (p) = 1 S S∑ i=1 X̂i(p), (20) where X̂i(p)... |

157 |
Keeping up with the Joneses: Consumption Externalities, Portfolio Choice, and Asset Prices
- Gali
- 1994
(Show Context)
Citation Context ...upon the extensive literature that emphasizes the role of consumption externalities and relative wealth concerns for asset prices, investment, and consumption dynamics (Duesenberry, 1949; Abel, 1990; =-=Gali, 1994-=-; Roussanov, 2010). Closest to our work is Roussanov (2010), who argues that households may invest in risky, zero-mean gambles whose payoff is uncorrelated with the aggregated state when they have pre... |

154 |
Is more always better? a survey on positional concerns
- Solnick, Hemenway
- 1998
(Show Context)
Citation Context ...ling for household income, the rank in the income distribution or the income of a peer group, is negatively related to self-reported measures of happiness and satisfaction (Clark and Oswald, 10 1996; =-=Solnick and Hemenway, 1998-=-; Ferrer-i Carbonell, 2005; Luttmer, 2005; Card, Mas, Moretti, and Saez, 2012). These relative income concerns are substantial; for example, the point estimates in Luttmer (2005) imply that the income... |

139 | Reconciling conflicting evidence on the elasticity of intertemporal substitution: a macroeconomic perspective - Guvenen - 2006 |

128 | Equilibrium cross section of returns - Gomes, Kogan, et al. - 2003 |

114 |
I.: Brownian motion and stochastic calculus, GTM 113
- Karatzas, Shreve
- 1991
(Show Context)
Citation Context ...at a classical solution to the corresponding differential equation, subject to the suitable growth and integrability constraints, characterizes the value function. Similarly, the Feynman-Kac Theorem (=-=Karatzas and Shreve, 1991-=-, e.g, Theorem 7.6) provides an analogous result for the prices of various financial assets. Because we solve for equilibrium numerically, we cannot show that the classical solutions to our differenti... |

95 |
Neighbors as negatives: Relative earnings and well-being. The Quarterly
- Luttmer
- 2005
(Show Context)
Citation Context ...ribution or the income of a peer group, is negatively related to self-reported measures of happiness and satisfaction (Clark and Oswald, 10 1996; Solnick and Hemenway, 1998; Ferrer-i Carbonell, 2005; =-=Luttmer, 2005-=-; Card, Mas, Moretti, and Saez, 2012). These relative income concerns are substantial; for example, the point estimates in Luttmer (2005) imply that the income of households in the same metropolitan a... |

94 | Habit Persistence, - Boldrin, Christiano, et al. - 2001 |

85 | Modeling and Measuring Organization Capital - Atkeson, Kehoe |

77 | 2009): “Long-Run Stockholder Consumption Risk and Asset Returns,” The - Malloy, Moskowitz, et al. |

71 | The exact law of large numbers via Fubini extension and characterization of insurable risks”, - SUN - 2006 |

60 | Continuous-Time Security Pricing, a Utility Gradient Approach
- Duf, Skiadas
- 1994
(Show Context)
Citation Context ...s is the same in the two markets, and therefore the optimal consumption processes are also the same. Since the consumption-portfolio choice problem in the fictitious market is standard, according to (=-=Duffie and Skiadas, 1994-=-, Theorem 2), the utility gradient of the agent at the optimal consumption policy defines a valid SDF process Λ̂t, Λ̂t = exp (∫ t 0 ∂φ(C?s , J ? s ;Cs) ∂J?s ds ) ∂φ(C?t , J ? t ;Ct) ∂C?t . (A.17) Thus... |

46 | Long-run productivity risk: A new hope for production-based asset pricing - Croce - 2010 |

40 | Lazy investors, discretionary consumption, and the cross-section of stock returns - Jagannathan, Wang - 2007 |

39 | The Replacement Problem,
- Cooley, Greenwood, et al.
- 1997
(Show Context)
Citation Context ...stry-wide factors and input differences. Further, an extensive literature documents a significant impact of embodied technological progress on economic growth and fluctuations (see, e.g. Solow, 1960; =-=Cooley, Greenwood, and Yorukoglu, 1997-=-; Greenwood, Hercowitz, and Krusell, 1997; Fisher, 2006). Since technological progress can take many forms, we distinguish between embodied and disembodied technological progress to obtain a broader u... |

39 | Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing, working paper - Garleanu, Panageas |

31 | 2006. “The Polarization of the U.S - Autor, Katz, et al. - 2008 |

30 | Investment shocks and asset prices - Papanikolaou - 2011 |

29 | Diversification and its discontents: idiosyncratic and entrepreneurial risk in the quest for social status, unpublished paper
- Roussanov
- 2007
(Show Context)
Citation Context ...ensive literature that emphasizes the role of consumption externalities and relative wealth concerns for asset prices, investment, and consumption dynamics (Duesenberry, 1949; Abel, 1990; Gali, 1994; =-=Roussanov, 2010-=-). Closest to our work is Roussanov (2010), who argues that households may invest in risky, zero-mean gambles whose payoff is uncorrelated with the aggregated state when they have preferences over the... |

26 | Becker (2007): “Evolutionary Efficiency and Happiness - Rayo, S |

25 | Organization capital and the cross-section of expected returns. Working paper - Eisfeldt, Papanikolaou - 2011 |

22 | Inequality at Work: The Effect of - Card, Mas, et al. |

21 | Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?, - Larrain, Yogo - 2008 |

19 | Toward a quantitative general equilibrium asset pricing model with intangible capital. Working paper - Ai, Croce, et al. - 2011 |

18 | Ursua (2008): “Macroeconomic Crises since 1870 - Barro, F |

18 | Energy use, technical progress and productivity growth: a survey of economic issues´, - Berndt - 1990 |

17 | Displacement risk and asset returns - Garleanu, Kogan, et al. - 2012 |

15 |
P.L.: PDE solutions of stochastic differential utility
- Duffie, Lions
- 1992
(Show Context)
Citation Context ... formulation of the lemma, we characterize the value function of a household, as well as prices of financial assets, such as Pt in (A.42), using differential equations. Verification results, such as (=-=Duffie and Lions, 1992-=-, Sec. 4), show that a classical solution to the corresponding differential equation, subject to the suitable growth and integrability constraints, characterizes the value function. Similarly, the Fey... |

15 | Yaron (2007), Asset Pricing with Idiosyncratic Risk and Overlapping Generations, Review of Economic Dynamics - Storesletten, C, et al. |

13 | Lochstoer (2010). Long-run risk through consumption smoothing - Kaltenbrunner, A |

12 | Income and well-being: An empirical analysis of the comparison income effect, - Carbonell, A - 2005 |

12 | 2012b). A theory of firm characteristics and stock returns: The role of investment-specific shocks. Working paper - Kogan, Papanikolaou |

11 | On existence of rich Fubini extensions, Economic Theory, on-line version, - Podczeck - 2009 |

10 | Intangible risk - Hansen, Heaton, et al. - 2005 |

9 | Lundblad (2005): “Consumption, Dividends, and the Cross Section of Equity Returns - Bansal, Dittmar, et al. |

8 | Technological Growth and Asset Pricing. - Garleanu, Panageas, et al. - 2012 |

7 | Ian Dew-Becker (2008) “Controversies about the Rise of American Inequality: A Survey” NBER Working Paper No - Gordon |

7 | 2001) ”The impact of vintage and survival on productivity: evidence from cohorts of U.S. manufacturing plants - Jensen, McGuckin, et al. |

6 |
Income, saving, and the theory of consumer behavior, Harvard economic studies
- Duesenberry
- 1949
(Show Context)
Citation Context ...sumption. Our work thus builds upon the extensive literature that emphasizes the role of consumption externalities and relative wealth concerns for asset prices, investment, and consumption dynamics (=-=Duesenberry, 1949-=-; Abel, 1990; Gali, 1994; Roussanov, 2010). Closest to our work is Roussanov (2010), who argues that households may invest in risky, zero-mean gambles whose payoff is uncorrelated with the aggregated ... |

5 | 2014): “Asset Pricing with Countercyclical Household Consumption Risk - Constantinides, Ghosh |

3 | Holmström (2000): “Global Optimization of Costly Nonconvex Functions Using Radial Basis Functions - Björkman, K |

3 | 2010): “Asset Pricing in a Production Economy with Chew-Dekel Preferences,” Review of Economic Dynamics - CAMPANALE, CASTRO, et al. |

3 | Interpreting factor models. Working Paper - Kozak, Nagel, et al. - 2014 |

2 |
Investment and
- Solow
- 1960
(Show Context)
Citation Context ...ontier technology at time s. Growth in ξ affects only the output of new projects created using the latest frontier of technology. In this respect our model follows the standard vintage-capital model (=-=Solow, 1960-=-). Second, the labor-augmenting productivity process xt follows an arithmetic random walk dxt = µx dt+ σx dBx,t. (4) Here, Bx is a standard Brownian motion independent of all other productivity shocks... |

1 | 2015): “A Theory of Liquidity and Risk Management Based on the Inalienability of Risky Human Capital,” Working paper - Bolton, Wang, et al. |

1 | How risky is consumption in the long-run? Benchmark estimates from a novel unbiased and efficient estimator,” Working paper - Dew-Becker - 2014 |

1 | What Drives Peer Effects in Financial Decision-Making? Neural and Behavioral Evidence,” Working paper - Frydman - 2015 |

1 | Sufi (2011): “Explaining Corporate Capital Structure - Rauh, A |

1 |
Frontiers of business cycle research
- Rouwenhorst
- 1995
(Show Context)
Citation Context ... the fact that consumption rises while dividends fall after a positive technology shock, leading to a negative correlation between aggregate payouts of the corporate sector and consumption (see e.g., =-=Rouwenhorst, 1995-=-). In our setup, consumption and dividends are positively correlated, which helps the model deliver a sizeable equity premium. 17 3 Examining the Model’s Mechanism To obtain some intuition about the a... |