The implications of first-order risk aversion for asset market risk premiums
Open Access
- 1 September 1997
- journal article
- Published by Elsevier in Journal of Monetary Economics
- Vol. 40 (1) , 3-39
- https://doi.org/10.1016/s0304-3932(97)00037-8
Abstract
No abstract availableKeywords
All Related Versions
This publication has 32 references indexed in Scilit:
- Inflation and Asset Returns in a Monetary EconomyThe Journal of Finance, 1992
- Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange MarketsThe Journal of Finance, 1992
- Forward exchange rates and risk premiums in artificial economiesJournal of International Money and Finance, 1991
- A Theory of Disappointment AversionEconometrica, 1991
- The World Price of Covariance RiskThe Journal of Finance, 1991
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical FrameworkEconometrica, 1989
- Intertemporal Substitution in ConsumptionJournal of Political Economy, 1988
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance MatrixEconometrica, 1987
- Macroeconomics and RealityEconometrica, 1980
- A critique of the asset pricing theory's tests Part I: On past and potential testability of the theoryJournal of Financial Economics, 1977