Journal of Political Economy
1925 1942 1964 1973 1974 1978 1979 1980 1981 1983 1984 1985 1986 1987 1989 1991 1994 1995 1996 1997 1998 1999 2000 2001 2002 2004 2007
Опубликовано на портале: 02-11-2007Alon Brav, George M. Constantinides, Christopher C. Geczy Journal of Political Economy. 2002. Vol. 110. No. 4. P. 793-824.
We present evidence that the equity premium and the premium of value stocks over growth stocks are consistent in the 1982-96 period with a stochastic discount factor calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible values of the relative risk aversion coefficient. Since these premia are not explained with an SDF calculated as the per capita marginal rate of substitution with a low value of the RRA coefficient, the evidence supports the hypothesis of incomplete consumption insurance. We also present evidence that an SDF calculated as the per capita marginal rate of substitution is better able to explain the equity premium and does so with a lower value of the RRA coefficient, as the definition of asset holders is tightened to recognize the limited participation of households in the capital market
Опубликовано на портале: 17-09-2008Amil K. Petrin Journal of Political Economy. 2002. Vol. 110. No. 4. P. 705-729.
This paper proposes a technique for obtaining more precise estimates of demand and supply curves when one is constrained to market-level data. The technique allows one to augment market share data with information relating consumer demographics to the characteristics of the products they purchase.