Asset pricing with jump/diffusion permanent income shocks

DOI10.1016/S0165-1765(02)00116-7MaRDI QIDQ1614798zbMATH OpenOpenAlexFDO

Authors Mark Freeman

Publication date 9 September 2002

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(02)00116-7

zbMATH Keywords

asset pricing theoryincomplete markets

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• Equilibrium asset prices with undiversifiable labor income risk
• The risk-free rate in heterogeneous-agent incomplete-insurance economies

Cited in

(13)

• Expectation revisions and jumps in asset prices
• A simple model of incomplete insurance The case of permanent shocks
• Testable implications of consumption-based asset pricing models with incomplete markets.
• Asset prices with non-permanent shocks to consumption
• Permanent shocks, signal extraction, and portfolio selection
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Incomplete financial markets and jumps in asset prices
• A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
• On the intergenerational sharing of cohort-specific shocks on permanent income
• scientific article; zbMATH DE number 2209551 (Why is no real title available?)
• Asset pricing with endogenously uninsurable tail risk
• Asset pricing for general processes
• Asset returns in an endogenous growth model with incomplete markets

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