Asset Prices in an Exchange Economy

From MaRDI portal
Publication:4182195

DOI10.2307/1913837zbMath0398.90016OpenAlexW2119143694MaRDI QIDQ4182195

Robert E. jun. Lucas

Publication date: 1978

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913837



Related Items

Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles), Sharing idiosyncratic risk even though prices are ``wrong, A market utility approach to investment valuation, On trees and logs, Econophysics: past and present, Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations, Solving asset pricing models with stochastic volatility, A theory of disasters and long-run growth, Equilibrium variance risk premium in a cost-free production economy, Market equilibrium with heterogeneous recursive-utility-maximizing agents, Is Krebs-Porteus utility distinguishable from intertemporal expected utility?, Why do dividend yields forecast stock returns?, Tax rate uncertainty and the sensitivity of consumption to income in an overlapping generations model, Income redistributions without catastrophes, Equilibrium asset prices and exchange rates, Stationary sunspot equilibrium in a cash-in-advance economy, Learning, regime switches, and equilibrium asset pricing dynamics, Balanced-growth-consistent recursive utility, Asset and commodity prices with multi-attribute durable goods, The persistence in volatility of the US term premium 1970--1986, A Bayesian approach to diagnosis of asset pricing models, Statistical equilibrium in one-step forward looking economic models, A simple optimality-based no-bubble theorem for deterministic sequential economies with strictly monotone preferences, Stability of tâtonnement processes of short period equilibria with rational expectations, Thomas Piketty and the rate of time preference, Learning and forecasts about option returns through the volatility risk premium, Asset prices with non-permanent shocks to consumption, Estimation of financial agent-based models with simulated maximum likelihood, Asset pricing with expectation shocks, Market-making strategy with asymmetric information and regime-switching, House price dynamics: fundamentals and expectations, Cross-sectional asset pricing with heterogeneous preferences and beliefs, Government debt, learning and the term structure, Perils of unconventional monetary policy, Intrinsic bubbles and asset price volatility, A strategic market game with secured lending, Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment, The rationality of expectations formation, Bayesian estimation of state space models using moment conditions, A new suggestion for simplifying the theory of money, Dividend policy and tax structure, The inverse problem of asset price under non-expected utility, Efficient bootstrap with weakly dependent processes, On the existence of expected utility with CRRA under STUR, Consumption adjustment to real interest rates: Intertemporal substitution revisited, Maximum likelihood estimation of the nonlinear rational expectations asset pricing model, Do CAPM results hold in a dynamic economy? A numerical analysis, The behavior of individual and aggregate stock prices, A note on an interpretation to consumption-based CAPM, Stochastic dominance representation of optimistic belief: theory and applications, Nonparametric option pricing under shape restrictions, Empirical assessment of an intertemporal option pricing model with latent variables., Observable restrictions of general equilibrium models with financial markets., Financial market structures revealed by pricing rules: efficient complete markets are prevalent, Asset prices in an ambiguous economy, On the consistency of stationary Markov equilibria with an exogenous distribution., Asset prices and the distribution of wealth, Information and asset prices in complete markets exchange economies, Non-existence of recursive equilibria on compact state spaces when markets are incomplete., Price volatility and risk with non-separability of preferences, Testable implications of consumption-based asset pricing models with incomplete markets., Nonparametric risk management and implied risk aversion, American options with stochastic dividends and volatility: a nonparametric investigation, Asset prices and changes in risk within a bivariate model, Computing equilibria in infinite-horizon finance economies: The case of one asset, Risk and return in a dynamic general equilibrium model, Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints, Biased Bayesian learning with an application to the risk-free rate puzzle, Undefeated equilibria of the Shi-Trejos-Wright model under adverse selection, The role of household debt and delinquency decisions in consumption-based asset pricing, Asset pricing in a pure exchange economy with heterogeneous investors, Solving Euler equations via two-stage nonparametric penalized splines, Stability of equilibrium asset pricing models: a necessary and sufficient condition, A generalization of Ramsey rule on discount rate with regime switching, The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time, Long-run heterogeneity in an exchange economy with fixed-mix traders, Term premia comovement in German, Japanese, and U.S. domestic markets, Finite sample properties of test of Epstein-Zin asset pricing model, Nonlinear effect of sentiment on momentum, Corrigendum to: ``Market equilibrium with heterogeneous resursive-utility-maximizing agents, Learning, rare events, and recurrent market crashes in frictionless economies without intrinsic uncertainty, Artificial economic life: A simple model of a stockmarket, Products of trees for investment analysis, Estimating robustness, Relative entropy in sequential decision problems, Risk sensitive asset allocation, On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis, The interaction between the equity premium and the risk-free rate, An existence theorem of intertemporal recursive utility in the presence of Lévy jumps, Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns, Option prices under Bayesian learning: implied volatility dynamics and predictive densities, Exact solution of asset pricing models with arbitrary shock distributions, Financial destabilization, Explicit characterizations of financial prices with history-dependent utility, An exploration of the effects of pessimism and doubt on asset returns., The CAPM in thin experimental financial markets., Prices as factors: approximate aggregation with incomplete markets., A comparative study of portfolio insurance., Time horizon and the discount rate., The expectational stability of Walrasian equilibria, Nonparametric state price density estimation using constrained least squares and the bootstrap, Indirect inference and calibration of dynamic stochastic general equilibrium models, Econometric specification of stochastic discount factor models, Evaluating latent and observed factors in macroeconomics and finance, Asset market equilibrium: A simulation, Turning from crime: a dynamic perspective, Differentiability of the value function without interiority assumptions, Stochastic equilibrium discounting, Evolutionary portfolio selection with liquidity shocks, Risk sharing and counter-cyclical variation in market correlations, Asset pricing with loss aversion, Continuous time one-dimensional asset-pricing models with analytic price-dividend functions, When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?, A uniqueness proof for monetary steady state, Common nonstationary components of asset prices, Chebyshev's algebraic inequality and comparative statics under uncertainty, Bayesian skepticism on unit root econometrics, Optimality in stochastic OLG models: theory for tests, Short sales, destruction of resources, welfare, Intertemporal coordination in two-period markets, Optimal growth with many consumers, A note on the implementation of rational expectations equilibria, A closed-form solution of the Uzawa-Lucas model of endogenous growth, Stock index dynamics and derivatives pricing with stochastic interest rates, Solving asset pricing models with Gaussian shocks, Effects of financial innovations on market volatility when beliefs are heterogeneous, Junior is rich: bequests as consumption, Is dynamic general equilibrium a theory of everything?, On the performance of West's bubble test: a simulation approach, Market equilibria under procedural rationality, Asset liquidity and international portfolio choice, Complete and incomplete financial markets in multi-good economies, Selecting a unique competitive equilibrium with default penalties, Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available, Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends, Efficient `myopic' asset pricing in general equilibrium: a potential pitfall in excess volatility tests, Asset pricing in a Lucas fruit-tree economy with the best and worst in mind, An introduction to general equilibrium with incomplete asset markets, Capital accumulation in a stochastic decentralized economy, Computing general equilibrium models with occupational choice and financial frictions, Convex analysis in financial mathematics, Equilibrium asset pricing with systemic risk, Risk premia in general equilibrium, The consumption-based determinants of the term structure of discount rates, The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices, A decision-theoretic model of asset-price underreaction and overreaction to dividend news, On rationally confident beliefs and rational overconfidence, Shock elasticities and impulse responses, Esscher transforms and consumption-based models, A game theoretic approach to option valuation under Markovian regime-switching models, A hidden Markov regime-switching model for option valuation, Shaking the tree: an agency-theoretic model of asset pricing, Heterogeneous beliefs, the term structure and time-varying risk premia, A closed-form solution for options with ambiguity about stochastic volatility, ARCH modeling in finance. A review of the theory and empirical evidence, A theoretical foundation of portfolio resampling, Consumption, asset returns and taxes in a nonexpected utility model, Multiplicity in general financial equilibrium with portfolio constraints, Asset returns in an endogenous growth model with incomplete markets, Risk, the financial market, and macroeconomic equilibrium, Equilibrium stock return dynamics under alternative rules of learning about hidden states, Markets do not select for a liquidity preference as behavior towards risk, Stochastic taxation and asset pricing in dynamic general equilibrium, Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle, Equilibrium asset prices with undiversifiable labor income risk, Predictability and habit persistence, Properties of equilibrium asset prices under alternative learning schemes, An integral equation representation for overlapping generations in continuous time, Theoretical tests of the rational expectations hypothesis in economic dynamical models, The risk-free rate in heterogeneous-agent incomplete-insurance economies, Assessing misspecified asset pricing models with empirical likelihood estimators, Cross-sectional consumption-based asset pricing: a reappraisal, Technological diffusion and asset prices, Projection methods for solving aggregate growth models, Expectational coordination in simple economic contexts. Concepts and analysis with emphasis on strategic substituabilities, Asset pricing under information-processing constraints, Introduction to incompleteness and uncertainty in economics, Asset prices in a Huggett economy, Some results on the optimality and implementation of the Friedman rule in the search theory of money, Search and the market for ideas, Nonexpected utility preferences in a temporal framework with an application to consumption-savings behaviour, Information, futures prices, and stabilizing speculation, On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference, Asset trading volume in a production economy, State prices, liquidity, and default, The impact of fat tails on equilibrium rates of return and term premia, Pricing home mortgages and bank collateral: a rational expectations approach, Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy, Recursive smooth ambiguity preferences, A martingale theory of asset pricing in a production economy, On the term structure of interest rates, Recursive utility and the Ramsey problem, Analysis of time series subject to changes in regime, The equity premium in Brock's asset pricing model, Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors, Happiness maintenance and asset prices, Asset pricing with incomplete information and fat tails, A note on a simplified approach to the valuation of risky streams, Capital asset pricing in an overlapping generations model, Are consumption-based intertemporal capital asset pricing models structural?, Complex stock price dynamics under Max Weber's spirit of capitalism hypothesis, A term structure model with preferences for the timing of resolution of uncertainty, The volatility of asset prices in a stochastic production economy, ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT, MARKET FORCES AND DYNAMIC ASSET PRICING, Learning, Structural Instability, and Present Value Calculations, Real indeterminacy and dynamics of asset price bubbles in general equilibrium, Recursive equilibrium with price perfect foresight and a minimal state space, THE EQUITY PREMIUM IN CONSUMPTION AND PRODUCTION MODELS, A dynamic equilibrium model for U-shaped pricing kernels, Computational aspects of prospect theory with asset pricing applications, Asset pricing with dynamic programming, A theory of capital gains taxation and business turnover, The empirical saddlepoint estimator, THE POLITICAL ECONOMY OF ENVIRONMENTAL POLICY WITH OVERLAPPING GENERATIONS, LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL, LIFE INSURANCE AND PENSION CONTRACTS II: THE LIFE CYCLE MODEL WITH RECURSIVE UTILITY, Investment options and the business cycle, The perfect marriage and much more: combining dimension reduction, distance measures and covariance, Emergent and spontaneous computation of factor relationships from a large factor set, Real estate pricing models: theory, evidence, and implementation, Why a pandemic recession boosts asset prices, Foreign currency exchange rate prediction using non-linear Schrödinger equations with economic fundamental parameters, A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION, Asset prices and the fundamentals: a Q test, Asset bubbles and efficiency in a generalized two-sector model, Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality, TESTING FOR THE MARKOV PROPERTY IN TIME SERIES, EQUILIBRIUM WITH EXCESSIVE HOLDINGS CONSTRAINT: AN APPLICATION TO DC PENSION PLANS, THE EQUITY PREMIUM PUZZLE AND EMOTIONAL ASSET PRICING, UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET, Lipschitz recursive equilibrium with a minimal state space and heterogeneous agents, Schumpeterian competition in a Lucas economy, Agency-based asset pricing, Dynamic optimization models in finance: some extensions to the framework, models, and computation, EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY, Asset prices in segmented and integrated markets, Equilibrium Models With Singular Asset Prices, Option Pricing With V. G. Martingale Components1, INNOVATION AND GROWTH WITH FINANCIAL, AND OTHER, FRICTIONS, The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests, Optimal retirement consumption with a stochastic force of mortality, On a test for structural stability of euler conditions parameters estimated via the generalized method of moments estimator: small sample properties, Market selection with an endogenous state, The predictability of stock returns – a nonparametric approach, Stationary bubble equilibria in rational expectation models, Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set, Dynamically complete markets under Brownian motion, An intertemporal model of growing awareness, EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION, Multifrequency jump-diffusions: An equilibrium approach, Equilibrium portfolios in the neoclassical growth model, ASSET RETURNS UNDER PERIODIC REVELATIONS OF EARNINGS MANAGEMENT, Stock prices and the risk-free rate: an internal rationality approach, Whom should we believe? aggregation of heterogeneous beliefs, MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES, Interest rate options valuation under incomplete information, Incomplete information equilibria: separation theorems and other myths, CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS, Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps, Asset prices, traders' behavior and market design, Uncertainty aversion, robust control and asset holdings, A financial CCAPM and economic inequalities, General equilibrium pricing with multiple dividend streams and regime switching, HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY, Time Dependent Relative Risk Aversion, CAPM-anomalies: quantitative puzzles, The learning premium, Valuing catastrophe bonds by Monte Carlo simulations, A computational view of market efficiency, A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS, CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK, A general class of distortion operators for pricing contingent claims with applications to CAT bonds, Structural asset pricing theory with wavelets, Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility, Probability weighting and default risk: a possible explanation for distressed stock puzzles, Can ambiguity about rare disasters explain equity premium puzzle?, WHY DO RISK PREMIA VARY OVER TIME? A THEORETICAL INVESTIGATION UNDER HABIT FORMATION, Coordination and correlation in Markov rational belief equilibria, Utility based pricing of contingent claims in incomplete markets, A diagnostic criterion for approximate factor structure, Smoothed GMM for quantile models, Comparison of methods to estimate option implied risk-neutral densities, Mean-variance cointegration and the expectations hypothesis, Correlations between stock returns and bond returns: income and substitution effects, Revisiting the intertemporal risk–return relation: asymmetrical effect of unexpected volatility shocks, The impact of the risk environment and energy prices to the budget of Korean households, Preferences with taste shock representations: price volatility and the liquidity premium, Capacity Accumulation Games with Technology Constraints, The long-run behavior of consumption and wealth dynamics in complete financial market with heterogeneous investors, Functional Ross recovery: theoretical results and empirical tests, INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES, INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES, GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES, NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION, Monetary transaction costs and the term premium, Using Brouwer's continuity principle to pick stocks, Monetary equilibria and Knightian uncertainty, Pricing Weather Derivatives Using the Indifference Pricing Approach, Ambiguity, asset prices, and excess volatility in a pure-exchange economy, Testing for exuberance in house prices using data sampled at different frequencies, Financial crisis and slow recovery with Bayesian learning agents, Belief aggregation for representative agent models, Valuation risk revalued, Permanent‐income inequality, Asset pricing with dynamically inconsistent agents, Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes, The impact of asset purchases in an experimental market with consumption smoothing motives, The extended perturbation method: With applications to the New Keynesian model and the zero lower bound, Household financial health: a machine learning approach for data-driven diagnosis and prescription, Extrapolative asset pricing, Intertemporal equilibrium with physical capital and financial asset: role of dividend taxation, Smooth dynamics and computation in models of economic growth, Smooth dynamics and computation in models of economic growth, Growth cycles and market crashes, An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis, Volatility and stock prices: Implications from a production model of asset pricing, Accuracy of stochastic perturbation methods: The case of asset pricing models, On learning to forecast in an endogenous growth model with externalities, Equilibrium with new investment opportunities, Econometric tests of rationality and market efficiency, Dangers of data mining: The case of calendar effects in stock returns, On fragility of bubbles in equilibrium asset pricing models of Lucas-type, Mood fluctuations, projection bias, and volatility of equity prices, Non-parametric counterfactual analysis in dynamic general equilibrium, ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA, A NOTE ON THE EXACT SOLUTION OF ASSET PRICING MODELS WITH HABIT PERSISTENCE, LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL, ON THE ECONOMIC IMPACT OF MODELING NONLINEARITIES: THE ASSET PRICING EXAMPLE, Discussion: Nonparametric estimation of noisy integral equations of the second kind