literature

This section of the website contains a list to all the literature referenced in the book Microfoundations of Asset Pricing Theory, ordered according to the chapters of the text, and with links to online versions of these items where available. This should help instructors collect material for a reader accompanying their course, and it helps students collect the relevant literature on their own. Not all pieces of literature are available online, though, and many require a subscription to the respective journal, to JSTOR, or to the NBER working paper series. I have linked books to the respective publisher’s website, from where most books can be ordered. Where no publisher website is available I provide a link to amazon.com.

Please let me know if you find a broken link on this page (and if you know, please let me know what the correct link is :-).

Preface

  • AIMR, Equity Risk Premium Forum, AIMR On Line Publication June 2002. [PDF]
  • Bartle, Robert G., The Elements of Real Analysis, 2nd ed., New York: John Wiley & Sons, 1976. [PUBLISHER]
  • Brunnermeier, Markus K., Asset Pricing under Asymmetric Information – Bubbles, Crashes, Technical Analysis, and Herding, Oxford: Oxford University Press, 2001. [PUBLISHER]
  • Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay, The Econometrics of Financial Markets, Princeton: Princeton University Press, 1997. [PUBLISHER]
  • Cochrane, John H., Asset Pricing, Princeton and Oxford: Princeton University Press, 2001. [PUBLISHER]
  • Cornell, Bradford, The Equity Risk Premium – The Long-Run Future of the Stock Market, New York: John Wiley & Sons, Inc., 1999. [PUBLISHER]
  • Danthine, Jean-Pierre and John B. Donaldson, Intermediate Financial Theory, Upper Saddle River, NJ: Prentice Hall, 2002. [PUBLISHER]
  • Duffie, Darrell, Security Markets – Stochastic Models, Economic Theory, Econometrics, and Mathematical Economics, San Diego: Academic Press, 1988. [AMAZON]
  • Gollier, Christian, The Economics of Risk and Time, Cambridge and London: MIT Press, 2001. [PUBLISHER]
  • LeRoy, Stephen F. and Jan Werner, Principles of Financial Economics, Cambridge and New York: Cambridge University Press, 2001. [PUBLISHER]
  • Ljungqvist, Lars and Thomas J. Sargent, Recursive Macroeconomic Theory, Cambridge and London: MIT Press, 2000. [PUBLISHER]
  • Siegel, Jeremy J., Stocks for the Long Run, New York: McGraw-Hill, 1998. [PUBLISHER]
  • Simon, Carl P. and Lawrence Blume, Mathematics for Economists, New York: W. W. Norton & Co., 1994. [PUBLISHER]
  • Sundaram, Rangarajan K., A First Course in Optimization Theory, Cambridge and New York: Cambridge University Press, 1996. [PUBLISHER]
  • Weintraub, E. Roy, Mathematics for Economists – An Integrated Approach, Cambridge and New York: Cambridge University Press, 1982. [PUBLISHER]

Chapter 1: Introduction

  • Arrow, Kenneth J. and Gérard Debreu, “Existence of an Equilibrium for a Competitive Economy,” Econometrica, 1954, 22, 265-290. [JSTOR]
  • Bachelier, Louis, Théorie de la Spéculation Annales de l’École normale supérieure 1900.
  • Breeden, Douglas T., “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities,” Journal of Financial Economics, September 1979, 7 (3), 265-296. [JOURNAL]
  • Bronzin, Vinzenz, Theorie der Prämiengeschäfte, Leipzig und Wien: Verlag Franz Deuticke, 1908.
  • Fisher, Irving, The Rate of Interest: Its Nature, Determination and Relation to Economic Phenomena, New York: Macmillan, 1907.
  • Hicks, John R., “Mr. Keynes and the ‘Classics’ – A Suggested Interpretation,” Econometrica, April 1937, 5 (2), 147-159. [JSTOR]
  • Hirshleifer, Jack, “Investment Decision under Uncertainty: Choice-Theoretic Approaches,” Quarterly Journal of Economics, November 1965, 79 (4), 509-536. [JSTOR]
  • ______ , “Investment Decision under Uncertainty: Applications of the State-Preference Approach,” Quarterly Journal of Economics, May 1966, 80 (2), 252-277. [JSTOR]
  • Keynes, John Maynard, General Theory of Employment, Interest and Money, Cambridge: Cambridge University Press, 1936. [AMAZON]
  • Lucas, Robert E. Jr., “Asset Prices in an Exchange Economy,” Econometrica, November 1978, 46 (6), 1429-1445. [JSTOR]
  • ______ , Models of Business Cycles, Yrjö Jahnsson Lectures Series, London and New York: Blackwell, 1987. [PUBLISHER]
  • Markowitz, Harry, “Portfolio Selection,” Journal of Finance, March 1952, 7 (1), 77-91. [JSTOR]
  • Radner, Roy, “Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets,” Econometrica, March 1972, 40 (2), 289-303. [JSTOR]
  • Ramsey, Frank P., “A Mathematical Theory of Saving,” Economic Journal, December 1928, 38 (152), 543-559. [JSTOR]
  • Sharpe, William, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, September 1964, 19 (3), 425-442. [JSTOR]
  • Stiglitz, Joseph E., “A Consumption-Oriented Theory of the Demand for Financial Assets and the Term Structure of Interest Rates,” Review of Economic Studies, July 1970, 37 (3), 321-351. [JSTOR]
  • Walras, Léon, Éléments d’Économie Politique Pure, ou Théorie de la Richesse Sociale, Lausanne: Corbaz, 1874. [PDF (reprint of 1883 edition)]
  • Woodford, Michael, “Revolution and Evolution in Twentieth-Century Macroeconomics,” in P. Gifford, ed., Frontiers of the Mind in the Twenty-First Century, Harvard University Press, forth. [PDF]

Chapter 2: Contingent claim economies

  • Bartle, Robert G., The Elements of Real Analysis, 2nd ed., New York: John Wiley & Sons, 1976. [PUBLISHER]
  • Debreu, Gérard, Theory of Value – An Axiomatic Analysis of Economic Equilibrium, Cowles Foundation Monograph # 17, Yale University Press, 1959. [PUBLISHER]
  • Hildenbrand, Werner and Alan P. Kirman, Equilibrium Analysis – Variations on Themes by Edgeworth and Walras, Advanced Textbooks in Economics, Amsterdam: North-Holland, 1988. [AMAZON]
  • Kreps, David M., Notes on the Theory of Choice, Underground Classics in Economics, Westview Press, 1988. [PUBLISHER]
  • ______ , A Course in Microeconomic Theory, Princeton and Oxford: Princeton University Press, 1990. [PUBLISHER]
  • Mas-Colell, Andreu, Michael D. Whinston, and Jerry R. Green, Microeconomic Theory, Oxford University Press, 1995. [PUBLISHER]
  • Negishi, Takashi, “Welfare Economics and Existence of an Equilibrium for a Competitive Economy,” Metroeconomica, 1960, 12, 92-97.
  • Patinkin, Don, Money, Interest, and Prices, 2nd ed., Harper and Row, 1965. [AMAZON]
  • Rubinstein, Mark, “An Aggregation Theorem for Securities Markets,” Journal of Financial Economics, September 1974, 1 (3), 225-244. [JOURNAL]
  • Sundaram, Rangarajan K., A First Course in Optimization Theory, Cambridge and New York: Cambridge University Press, 1996. [PUBLISHER]

Chapter 3: Asset economies

  • Arrow, Kenneth J., “Le Rôle des Valeurs Boursières pour la Répartition la Meilleure des Risques,” Econométrie, Colloques Internationaux du Centre National de la Recherche Scientifique, Paris, 1953, 11, 41-47. Published in English as “The Role of Securities in the Optimal Allocation of Risk-Bearing” in the Review of Economic Studies, April 1964, 31(2), 91-96. [JSTOR]
  • Bartle, Robert G., The Elements of Real Analysis, 2nd ed., New York: John Wiley & Sons, 1976. [PUBLISHER]
  • Basu, Kaushik, “A Geometry for Non-Walrasian General Equilibrium Theory,” Journal of Macroeconomics, Winter 1992, 14 (1), 87-103.
  • Breeden, Douglas T. and Robert H. Litzenberger, “Prices of State-Contingent Claims Implicit in Option Prices,” Journal of Business, October 1978, 51 (4), 621-651. [JSTOR]
  • Danthine, Jean-Pierre and John B. Donaldson, Intermediate Financial Theory, Upper Saddle River, NJ: Prentice Hall, 2002. [PUBLISHER]
  • Duffie, Darrell and Wayne Shafer, “Equilibrium in Incomplete Markets I: A Basic Model of Generic Existence,” Journal of Mathematical Economics, 1985, 14 (3), 285-300. [JOURNAL]
  • ______ and ______ , “Equilibrium in Incomplete Markets II: Generic Existence in Stochastic Economies,” Journal of Mathematical Economics, 1986, 15 (3), 199-216. [JOURNAL]
  • Eichberger, Jürgen and Ian R. Harper, Financial Economics, New York: Oxford University Press, 1997. [PUBLISHER]
  • Ekern, Steinar and Robert Wilson, “On the Theory of the Firm in an Economy with Incomplete Markets,” Bell Journal of Economics and Management Science, Spring 1974, 5 (1), 171-180. [JSTOR]
  • Halmos, Paul R., Finite-Dimensional Vector Spaces, New York: Springer, 1993. [PAPERBACK by Princeton University Press]
  • Hart, Oliver D., “On the Optimality of Equilibrium when the Market Structure is Incomplete,” Journal of Economic Theory, December 1975, 11 (3), 418-443.
  • Ingersoll, Jonathan E. Jr., “Digital Contracts: Simple Tools for Pricing Complex Derivatives,” Journal of Business, January 2000, 73 (1), 67-88. [JSTOR]
  • Krasa, Stefan and Jan Werner, “Equilibria with Options: Existence and Indeterminacy,” Journal of Economic Theory, August 1991, 54 (2), 305-320.
  • LeRoy, Stephen F. and Jan Werner, Principles of Financial Economics, Cambridge and New York: Cambridge University Press, 2001. [PUBLISHER]
  • Luenberger, David G., Investment Science, New York: Oxford University Press, 1998. [PUBLISHER]
  • Magill, Michael and Martine Quinzii, Theory of Incomplete Markets, Volume 1, Cambridge and London: MIT Press, 1996. [PUBLISHER]
  • ______ and Wayne Shafer, “Incomplete Markets,” in Werner Hildenbrand and Hugo Sonnenschein, eds., Handbook of Mathematical Economics, Vol. IV, Amsterdam: North-Holland, 1991, chapter 30, pp. 1523-1614. [PUBLISHER]
  • Mas-Colell, Andreu, Michael D. Whinston, and Jerry R. Green, Microeconomic Theory, Oxford University Press, 1995. [PUBLISHER]
  • Merton, Robert C., “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, May 1974, 29 (2), 449-470. [JSTOR]
  • Neumeyer, Pablo Andrés, “Inflation-Stabilization Risk in Economies with Incomplete Asset Markets,” Journal of Economic Dynamics and Control, 1999, 23 (3), 371-391. [JOURNAL]
  • Polemarchakis, Herakles and Bon-Il Ku, “Options and Equilibrium,” Journal of Mathematical Economics, 1990, 19 (1-2), 107-112. [JOURNAL]
  • Radner, Roy, “Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets,” Econometrica, March 1972, 40 (2), 289-303. [JSTOR]
  • ______ , “A Note on Unanimity of Stockholders’ Preferences Among Alternative Production Plans: A Reformulation of the Ekern-Wilson Model,” Bell Journal of Economics and Management Science, Spring 1974, 5 (1), 281-184. [JSTOR]
  • Shiller, Robert J., Macro Markets – Creating Institutions for Managing Society’s Largest Economic Risks, Clarendon Lectures in Economics, Oxford: Oxford University Press, 1993. [PUBLISHER]
  • Werner, Jan, “Equilibrium in Economies with Incomplete Financial Markets,” Journal of Economic Theory, June 1985, 36 (1), 110-119.

Chapter 4: Risky decisions

  • Abdulkadri, Abdullahi O. and Michael R. Langemeier, “Using Farm Consumption Data to Estimate the Intertemporal Elasticity of Substitution and Relative Risk Aversion Coefficients,” Agricultural Finance Review, 2000, 60, 61-70. [HTML (abstract)]
  • Arrow, Kenneth J., Aspects of the Theory of Risk-Bearing, Helsinki: Yrjö Jahnsson Foundation, 1965.
  • ______ , “The Theory of Risk Aversion,” in “Essays in the Theory of Risk-Bearing,” Amsterdam: North-Holland, 1971, pp. 90-120.
  • Bernoulli, Daniel, “Exposition of a New Theory on the Measurement of Risk,” Econometrica, January 1954, 22 (1), 23-36. Translation from Latin by Dr. Louise Sommer of work first published 1738. [JSTOR]
  • Blume, Lawrence and David Easley, “Evolution and Market Behavior,” Journal of Economic Theory, October 1992, 58 (1), 9-40.
  • Brennan, Michael J. and Alan Kraus, “The Geometry of Separation and Myopia,” Journal of Financial and Quantitative Analysis, June 1976, 11 (2), 171-193. [JSTOR]
  • Burk, Abram, “Real Income, Expenditure Proportionality, and Frisch’s ‘New Methods of Measuring Marginal Utility’,” Review of Economic Studies, October 1936, 4 (1), 33-52. [JSTOR]
  • Chambers, Robert G. and John Quiggin, Uncertainty, Production, Choice, and Agency – The State-Contingent Approach, Cambridge: Cambridge University Press, 2000. [PUBLISHER]
  • Cohn, Richard A., Wilbur G. Lewellen, Ronald C. Lease, and Gary G. Schlarbaum, “Individual Investor Risk Aversion and Investment Portfolio Composition,” Journal of Finance, May 1975, 30 (2), 605-620. [JSTOR]
  • Irwin Friend and Blume, Marshall E., “The Demand for Risky Assets,” American Economic Review, December 1975, 65 (5), 900-922. [JSTOR]
  • Fullenkamp, Connel, Rafael Tenorio, and Robert Battalio, “Assessing Individual Risk-Attitudes Using Field Data from Lottery Games,” Review of Economics and Statistics, forth. [HTML/PDF]
  • Gollier, Christian, The Economics of Risk and Time, Cambridge and London: MIT Press, 2001. [PUBLISHER]
  • Hakansson, Nils H., “Multi-Period Mean-Variance Analysis: Toward a General Theory of Portfolio Choice,” Journal of Finance, September 1971, 26 (4), 857-884. [JSTOR]
  • Kagel, John H., Raymond C. Battalio, and Leonard Green, Economic Choice Theory: An Experimental Analysis of Animal Behavior, New York and Melbourne: Cambridge University Press, 1995. [PUBLISHER]
  • Karni, Edi, “On Multivariate Risk Aversion,” Econometrica, November 1979, 47 (6), 1391-1402. [JSTOR]
  • Kihlstrom, Richard E. and Leonard J. Mirman, “Risk Aversion with Many Commodities,” Journal of Economic Theory, July 1974, 8 (3), 361-388.
  • Kimball, Miles S., “Precautionary Saving in the Small and in the Large,” Econometrica, January 1990, 58 (1), 53-73. [JSTOR]
  • Kreps, David M., Notes on the Theory of Choice, Underground Classics in Economics, Westview Press, 1988. [PUBLISHER]
  • ______ , A Course in Microeconomic Theory, Princeton and Oxford: Princeton University Press, 1990. [PUBLISHER]
  • Lucas, Robert E. Jr., Models of Business Cycles, Yrjö Jahnsson Lectures Series, London and New York: Blackwell, 1987. [PUBLISHER]
  • Malinvaud, Edmond, “First Order Certainty Equivalence,” Econometrica, October 1969, 37 (4), 706-718. [JSTOR]
  • Mas-Colell, Andreu, Michael D. Whinston, and Jerry R. Green, Microeconomic Theory, Oxford University Press, 1995. [PUBLISHER]
  • Mehra, Rajnish and Edward C. Prescott, “The Equity Premium: A Puzzle,” Journal of Monetary Economics, March 1985, 15 (2), 145-161.
  • Menger, Karl, “The Role of Uncertainty in Economics,” in Marti Shubik, ed., Essays in Mathematical Economics in Honor of Oskar Morgenstern, Princeton and Oxford: Princeton University Press, 1967.
  • Merton, Robert C., “Optimum Consumption and Portfolio Rules in a Continuous-Time Model,” Journal of Economic Theory, December 1971, 3 (4), 373-413.
  • Meyer, Jack, “Two-Moment Decision Models and Expected Utility Maximization,” American Economic Review, June 1987, 77 (3), 421-430. [JSTOR]
  • ______ , “Two-Moment Decision Models and Expected Utility Maximization: Reply,” American Economic Review, June 1989, 79 (3), 603. [JSTOR]
  • Ogaki, Masao and Qiang Zhang, “Deceasing Relative Risk Aversion and Tests of Risk Sharing,” Econometrica, March 2001, 69 (2), 515-526. [JOURNAL]
  • Pratt, John W., “Risk Aversion in the Small and in the Large,” Econometrica, 1964, 32, 122-136. [JSTOR]
  • Rubinstein, Mark, “The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets,” Journal of Finance, May 1976, 31 (2), 551-571. [JSTOR]
  • Samuelson, Paul A., “The Fundamental Approximation Theorem of Portfolio Analysis in Terms of Means, Variances and Higher Moments,” Review of Economic Studies, October 1970, 64 (4), 537-542. [JSTOR]
  • Sinn, Hans-Werner, “Two-Moment Decision Models and Expected Utility Maximization: Comment,” American Economic Review, June 1989, 79 (3), 601-602. [JSTOR]
  • ______ , “Weber’s Law and the Biological Evolution of Risk Preferences: The Selective Dominance of the Logarithmic Utility Function,” Working Paper 770, CESifo September 2002. [HTML/PDF]
  • ______ and Alfons J. Weichenrieder, “Biological Selection of Risk Preferences,” in Bayerische Rückversicherung, ed., Risk is a Construct: Perceptions of Risk Perceptions, Munich: Knesebeck, 1993, pp. 67-86. [PDF]
  • Stiglitz, Joseph E., “Behavior Towards Risk with Many Commodities,” Econometrica, October 1969, 37 (4), 660-667. [JSTOR]
  • Van Praag, Bernard M. S. and Adam S. Booji, “Risk Aversion and the Subjective Time Discount Rate: A Joint Approach,” Discussion Paper TI 2003-018/3, Tinbergen Institute 2003. [HTML/PDF]
  • Von Neumann, John and Oskar Morgenstern, Theory of Games and Economic Behavior, Princeton: Princeton University Press, 1944. [PUBLISHER]
  • Weirich, Paul, “The St. Petersburg Gamble and Risk,” Theory and Decision, 1984, 17, 193-202.

Chapter 5: Static finance economy

  • Aliprantis, Charalambos D. and Rabee Tourky, “Markets That Do Not Replicate Any Options,” Economics Letters, August 2002, 76 (3), 443-447. [JOURNAL]
  • Benninga, Simon and Joram Mayshar, “Heterogeneity and Option Pricing,” Review of Derivatives Research, June 2000, 4 (1), 7-27. [JOURNAL]
  • Brennan, Michael J. and Alan Kraus, “The Geometry of Separation and Myopia,” Journal of Financial and Quantitative Analysis, June 1976, 11 (2), 171-193. [JSTOR]
  • ______ and R. Solanki, “Optimal Portfolio Insurance,” Journal of Financial and Quantitative Analysis, September 1981, 16 (3), 279-300. [JSTOR]
  • Brunnermeier, Markus K., Asset Pricing under Asymmetric Information – Bubbles, Crashes, Technical Analysis, and Herding, Oxford: Oxford University Press, 2001. [PUBLISHER]
  • Campbell, John Y., “Asset Pricing at the Millennium,” Journal of Finance, August 2000, 55 (4), 1515-1567. [JOURNAL]
  • Cass, David and Joseph E. Stiglitz, “Risk Aversion and Wealth Effects on Portfolios with Many Agents,” Review of Economic Studies, July 1972, 39 (3), 331-354. [JSTOR]
  • Dumas, Bernard, “Two-Person Dynamic Equilibrium in the Capital Market,” Review of Financial Studies, 1989, 2 (2), 157-188. [JSTOR]
  • Gollier, Christian, The Economics of Risk and Time, Cambridge and London: MIT Press, 2001. [PUBLISHER]
  • Grossman, Sanford J., “On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information,” Journal of Finance, May 1976, 31 (2), 573-585. [JSTOR]
  • Hall, Brian J. and Kevin J. Murphy, “Stock Options for Undiversified Executives,” Journal of Accounting and Economics, February 2002, 33 (1), 3-42. [JOURNAL]
  • Hara, Chiaki and Christoph Kuzmics, “Representative Consumer’s Risk Aversion and Efficient Risk-Sharing Rules,” mimeo., Cambridge University October 2002. [PDF]
  • Huang, James, “Who Buys Options from Whom? The Role of Options in an Economy with Heterogeneous Preferences and Beliefs,” Working Paper, Lancaster University May 2002. [HTML/PDF]
  • Leland, Hayne E., “Who Should Buy Portfolio Insurance?,” Journal of Finance, May 1980, 35 (2), 581-594. [JSTOR]
  • Ljungqvist, Lars and Thomas J. Sargent, Recursive Macroeconomic Theory, Cambridge and London: MIT Press, 2000. [PUBLISHER]
  • Pye, Gordon, “Portfolio Selection and Security Prices,” Review of Economics and Statistics, February 1967, 49 (1), 111-115. [JSTOR]
  • Ross, Stephen A., “Options and Efficiency,” Quarterly Journal of Economics, February 1976, 90 (1), 75-98. [JSTOR]
  • Rubinstein, Mark, “An Aggregation Theorem for Securities Markets,” Journal of Financial Economics, September 1974, 1 (3), 225-244. [JOURNALDOC]
  • Sargent, Thomas J., Dynamic Macroeconomic Theory, Cambridge and London: Harvard University Press, 1987. [PUBLISHER]
  • Sharpe, William, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, September 1964, 19 (3), 425-442. [JSTOR]
  • Shiller, Robert J., Macro Markets – Creating Institutions for Managing Society’s Largest Economic Risks, Clarendon Lectures in Economics, Oxford: Oxford University Press, 1993. [PUBLISHER]
  • ______ , The New Financial Order – Risk in the 21st Century, Princeton: Princeton University Press, 2003. [PUBLISHER]
  • Townsend, Robert M., “Risk and Insurance in Village India,” Econometrica, May 1994, 62 (3), 539-591. [JSTOR]
  • ______ , “Consumption Insurance: An Evaluation of Risk-Bearing Systems in Low-Income Economies,” Journal of Economic Perspectives, Summer 1995, 9 (3), 83-102. [JSTOR]
  • Wilson, Robert, “The Theory of Syndicates,” Econometrica, January 1968, 36 (1), 119-132. [JSTOR]

Chapter 6: Dynamic finance economy

  • Ameriks, John and Stephen P. Zeldes, “How Do Household Portfolio Shares Vary With Age?,” Working Paper, Columbia Business School December 2001. [PDF]
  • Arrow, Kenneth J., “Le Rôle des Valeurs Boursières pour la Répartition la Meilleure des Risques,” Econométrie, Colloques Internationaux du Centre National de la Recherche Scientifique, Paris, 1953, 11, 41-47. Published in English as “The Role of Securities in the Optimal Allocation of Risk-Bearing” in the Review of Economic Studies, April 1964, 31 (2), 91-96. [JSTOR]
  • Bewley, Truman, “The Optimum Quantity of Money,” in J. Kareken and N. Wallace, eds., Models of Monetary Economics, Minneapolis: Federal Reserve Bank, 1980.
  • Campbell, John Y., “Some Lessons from the Yield Curve,” Journal of Economic Perspectives, Summer 1995, 9 (3), 129-152. [JSTOR]
  • ______ , Andrew W. Lo, and A. Craig MacKinlay, The Econometrics of Financial Markets, Princeton: Princeton University Press, 1997. [PUBLISHER]
  • Duffie, Darrell, Dynamic Asset Pricing Theory, 3rd ed., Princeton: Princeton University Press, 2001. [PUBLISHER]
  • ______ and Chi-Fu Huang, “Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities,” Econometrica, November 1985, 53 (6), 1337-1356. [JSTOR]
  • Epstein, Larry G. and Stanley E. Zin, “Substitution, Risk Aversion, and the Temporal Behavior of Consumption Growth and Asset Returns I: A Theoretical Framework,” Econometrica, July 1989, 57 (4), 937-969. [JSTOR]
  • Gilles, Christian and Stephen F. LeRoy, “Bubbles as Payoff at Infinity,” Economic Theory, 1997, 9 (2), 261-281. [JOURNAL]
  • Gollier, Christian and Richard J. Zeckhauser, “Horizon Length and Portfolio Risk,” Technical Working Paper 216, NBER 1997. [NBER]
  • Guesnerie, Roger and Jean-Yves Jaffray, “Optimality of Equilibrium of Plans, Prices, and Price Expectations,” in J. Drèze, ed., Allocation under Uncertainty: Equilibrium and Optimality, London: MacMillan, 1974, pp. 71-86. [AMAZON]
  • Harvey, Andrew C., Time Series Models, New York, London: Philip Allan, 1981. [AMAZON]
  • Kocherlakota, Narayana R., “Bubbles and Constraints on Debt Accumulation,” Journal of Economic Theory, June 1992, 57 (1), 245-256.
  • Kreps, David M., “Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model,” in J. McCall, ed., The Economics of Uncertainty and Information, Chicago: University of Chicago Press, 1982. [AMAZON]
  • Laibson, David I., “Golden Eggs and Hyperbolic Discounting,” Quarterly Journal of Economics, May 1997, 112 (2), 443-477. [JSTOR]
  • LeRoy, Stephen F., “Risk-Aversion and the Martingale Property of Stock Prices,” International Economic Review, June 1973, 14 (2), 436-446. [JSTOR]
  • ______ , “Risk-Aversion and the Term Structure of Real Interest Rates,” Economics Letters, 1982, 10 (3-4), 355-361. See also the “Correction” in Economics Letters, 1983, 12 (3-4), 339-340. [JOURNAL (article), JOURNAL (correction)]
  • ______ , “Efficient Capital Markets and Martingales,” Journal of Economic Literature, December 1989, 27 (4), 1583-1621. [JSTOR]
  • Lucas, Robert E. Jr., “Asset Prices in an Exchange Economy,” Econometrica, November 1978, 46 (6), 1429-1445. [JSTOR]
  • Magill, Michael and Martine Quinzii, “Incomplete Markets over Infinite Horizon: Long-Lived Securities and Speculative Bubbles,” Journal of Mathematical Economics, 1996, 26 (1), 133-170. [JOURNAL]
  • Mossin, Jan, “Optimal Multiperiod Portfolio Policies,” Journal of Business, April 1968, 41 (2), 215-229. [JSTOR]
  • Ross, Stephen A., “Adding Risks: Samuelson’s Fallacy of Large Numbers Revisited,” Journal of Financial and Quantitative Analysis, September 1999, 34 (3), 323-339. [JOURNAL (abstract)]
  • Samuelson, Paul A., “Risk and Uncertainty: A Fallacy of Large Numbers,” Scientia, April/May 1963, 98 (6th Series, 57th Year), 108-113. [PDF (reprint)]
  • ______ , “Proof that Properly Anticipated Prices Fluctuate Randomly,” Industrial Management Review, 1965, 6, 41-49.

Chapter 7: Empirics and the puzzles

  • Abel, Andrew B., “The Equity Premium Puzzle,” Business Review, Federal Reserve Bank of Philadelphia, September/October 1991, pp. 3-14.
  • AIMR, Equity Risk Premium Forum, AIMR On Line Publication June 2002. [HTML/PDF]
  • Arnott, Ryan D. and Ronald J. Ryan, “The Death of the Risk Premium,” Journal of Portfolio Management, Spring 2001, 27 (3), 61-74. [JOURNAL]
  • Banz, Rolf W., “The Relationship between Return and Market Value of Common Stocks,” Journal of Financial Economics, March 1981, 9 (1), 3-18. [JOURNAL]
  • Barberis, Nicholas and Richard H. Thaler, “A Survey of Behavioral Finance,” in George Constantinides, Milton Harris, and René Stulz, eds., Handbook of the Economics of Finance, Amsterdam: North-Holland, forth. [PUBLISHERHTML/PDF]
  • Benninga, Simon and Aris Protopapadakis, “Leverage, Time Preference and the ‘Equity Premium Puzzle’,” Journal of Monetary Economics, January 1990, 25 (1), 49-58. [JOURNAL]
  • Best, Peter and Alistair Byrne, “Measuring the Equity Risk Premium,” Journal of Asset Management, January 2001, 1 (3), 245-256. [JOURNAL]
  • Blanchard, Olivier J., “Movements in the Equity Premium,” Brookings Papers on Economic Activity, 1993, 2, 75-118. [JSTOR]
  • Boskin, Michael J., Ellen R. Dulberger, Robert J. Gordon, Zvi Griliches, and Dale Jorgenson, “The Boskin Commission Report – Toward a More Accurate Measure of the Cost of Living,” Final Report to the Senate Finance Committee, December 4, 1996. [HTML]
  • Brown, Stephen J., William N. Goetzmann, and Stephen A. Ross, “Survival,” Journal of Finance, July 1995, 50 (3), 853-873. [JSTOR]
  • Campbell, John Y., “Consumption-Based Asset Pricing,” in George Constantinides, Milton Harris, and René Stulz, eds., Handbook of the Economics of Finance, Amsterdam: North-Holland, forth. [PUBLISHERPDF]
  • Clarke, Roger G. and Meir Statman, “The DJIA Crossed 652,230,” Journal of Portfolio Management, Winter 2000, 26 (2), 89-93. [JOURNAL]
  • Cochrane, John H., “Volatility Tests and Efficient Markets : A Review Essay,” Journal of Monetary Economics, June 1991, 27 (3), 463-485. [JOURNAL]
  • ______ , “Where is the Market Going? Uncertain Facts and Novel Theories,” Federal Reserve Bank of Chicago Economic Perspectives, November-December 1997, 21 (6), 3-37. [PDF]
  • ______ , Asset Pricing, Princeton and Oxford: Princeton University Press, 2001. [PUBLISHER]
  • Cornell, Bradford, The Equity Risk Premium – The Long-Run Future of the Stock Market, New York: John Wiley & Sons, Inc., 1999. [PUBLISHER]
  • Danthine, Jean-Pierre and John B. Donaldson, “Inflation and Asset Prices in an Exchange Economy,” Econometrica, May 1986, 54 (3), 585-605. [JSTOR]
  • Dimson, Elroy, Mike Staunton, and Paul Marsh, Triumph of the Optimists: 101 Years of Global Investment Returns, Princeton and Oxford: Princeton University Press, 2002. [PUBLISHER]
  • Eichenbaum, Martin S., Lars Peter Hansen, and Kenneth J. Singleton, “A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty,” Quarterly Journal of Economics, February 1988, 103 (1), 51-78. [JSTOR]
  • Fama, Eugene F. and Kenneth R. French, “Permanent and Temporary Components of Stock Prices,” Journal of Political Economy, April 1988, 96 (2), 246-273. [JSTOR]
  • Fama, Eugene F. and Kenneth R. French, “The Equity Premium,” Journal of Finance, April 2002, 57 (2), 637-659. [JOURNAL]
  • Flavin, Marjorie A., “Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence,” Journal of Political Economy, December 1983, 91 (6), 929-956. [JSTOR]
  • French, Kenneth R., “Stock Returns and the Weekend Effect,” Journal of Financial Economics, March 1980, 8 (1), 55-69. [JOURNAL]
  • Gennotte, Gerard and Hayne Leland, “Market Liquidity, Hedges, and Crashes,” American Economic Review, December 1990, 80 (5), 999-1021. [JSTOR]
  • Gilles, Christian and Stephen F. LeRoy, “Econometric Aspects of the Variance-Bounds Tests: A Survey,” Review of Financial Studies, Winter 1991, 4 (4), 753-791. [JSTOR]
  • Glassman, James K. and Kevin A. Hassett, Dow 36,000 – The New Strategy for Profiting from the Coming Rise in the Stock Market, New York: Crown Publishing Group, 2000. [AMAZON]
  • Gordon, Myron J., “Dividends, Earnings, and Stock Prices,” Review of Economics and Statistics, May 1959, 41 (2), 99-105. [JSTOR]
  • Grossman, Sanford J. and Robert J. Shiller, “The Determinants of the Variability of Stock Market Prices,” American Economic Review (Papers and Proceedings), May 1981, 71 (2), 222-227. [JSTOR]
  • Hansen, Lars P. and Ravi Jaganathan, “Implications of Security Market Data for Models of Dynamic Economies,” Journal of Political Economy, April 1991, 99 (2), 225-262. [JSTOR]
  • Ibbotson, Roger G. and Peng Chen, “Long-Run Stock Returns: Participating in the Real Economy,” Financial Analysts Journal, January/February 2003, 59 (1), 88-98. [JOURNAL HTMLPDF]
  • Jagannathan, Ravi, Ellen R. McGrattan, and Anna Scherbina, “The Declining U.S. Equity Premium,” Federal Reserve Bank of Minneapolis Quarterly Review, Fall 2000, pp. 3-19. [HTML/PDF]
  • Jermann, Urban J., “Asset Pricing in Production Economies,” Journal of Monetary Economics, 1998, 41 (2), 257-275. [JOURNAL]
  • Kandel, Shmuel and Robert F. Stambaugh, “Asset Returns and Intertemporal Preferences,” Journal of Monetary Economics, February 1991, 27 (1), 39-71. [JOURNAL]
  • Keim, Donald B., “Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence,” Journal of Financial Economics, June 1983, 12 (1), 13-32. [JOURNAL]
  • Kleidon, Allan, “Variance Bounds Tests and Stock Price Valuation Models,” Journal of Political Economy, October 1986, 94 (5), 953-1001. [JSTOR]
  • Kocherlakota, Narayana R., “On the ‘Discount’ Factor in Growth Economies,” Journal of Monetary Economics, January 1990, 25 (1), 43-47. [JOURNAL]
  • Krebs, Tom, “Testable Implications of Consumption-Based Asset Pricing Models with Incomplete Markets,” Journal of Mathematical Economics, 2004 (cited in the book as working paper, Brown University, November 2001). [PDF]
  • Kydland, Finn E. and Edward C. Prescott, “Business Cycles: Real Facts and a Monetary Myth,” Federal Reserve Bank of Minneapolis, Quarterly Review, Spring 1990, 14 (2), 3-18. [HTML/PDF]
  • LeRoy, Stephen F. and C. J. LaCivita, “Risk Aversion and the Dispersion of Asset Prices,” Journal of Business, October 1981, 54 (4), 535-547. [JSTOR]
  • ______ and Richard D. Porter, “The Present-Value Relation: Tests Based on Implied Variance Bounds,” Econometrica, May 1981, 49 (3), 555-574. [JSTOR]
  • ______ and William R. Parke, “Stock Price Volatility: Tests Based on the Geometric Random Walk,” American Economic Review, September 1992, 82 (4), 981-992. [JSTOR]
  • Mankiw, N. Gregory, “The Permanent Income Hypothesis and the Real Interest Rate,” Economics Letters, September 1981, 7 (4), 307-311. [JOURNAL]
  • ______ , “Hall’s Consumption Hypothesis and Durable Goods,” Journal of Monetary Economics, November 1982, 10 (3), 417-425. [JOURNAL]
  • ______ , Julio J. Rothemberg, and Lawrence H. Summers}, “Intertemporal Substitution in Macroeconomics,” Quarterly Journal of Economics, February 1985, 100 (1), 225-251. [JSTOR]
  • McGrattan, Ellen R. and Edward C. Prescott, “Is the Stock Market Overvalued?,” Federal Reserve Bank of Minneapolis Quarterly Review, Fall 2000, pp. 20-40. [HTML/PDF]
  • Mehra, Rajnish and Edward C. Prescott, “The Equity Premium: A Puzzle,” Journal of Monetary Economics, March 1985, 15 (2), 145-161.
  • ______ and ______ , “The Equity Risk Premium: A Solution?,” Journal of Monetary Economics, July 1988, 22 (1), 133-136. [JOURNAL]
  • Michener, Ronald, “Variance Bounds in a Simple Model of Asset Pricing,” Journal of Political Economy, February 1982, 90 (1), 166-175. [JSTOR]
  • Pakos, Michal, “Asset Pricing with Durable Goods and Non-Homothetic Preferences,” mimeo., Graduate School of Business, University of Chicago, April 2003. [PDF]
  • Poterba, James M. and Lawrence H. Summers, “Mean Reversion in Stock Prices: Evidence and Implications,” Journal of Financial Economics, October 1988, 22 (1), 27-59. [JOURNAL]
  • Reinganum, Marc R., “Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings’ Yields and Market Values,” Journal of Financial Economics, March 1981, 9 (1), 19-46. [JOURNAL]
  • ______ , “The Anomalous Stock Market Behavior of Small Firms in January: Empirical Tests for Tax-Loss Selling Effects,” Journal of Financial Economics, June 1983, 12 (1), 89-104. [JOURNAL]
  • Rietz, Thomas A., “The Equity Premium: A Solution,” Journal of Monetary Economics, July 1988, 22 (1), 117-131. [JOURNAL]
  • Rouwenhorst, K. Geert, “Asset Pricing Implications of Equilibrium Business Cycle Models,” in T. F. Cooley, ed., Frontiers of Business Cycle Research, Princeton: Princeton University Press, 1995, pp. 294-330. [PUBLISHER]
  • Schwert, G. William, “Indexes of U.S. Stock Prices from 1802 to 1987,” Journal of Business, July 1990, 63 (3), 399-426. [JSTOR]
  • ______ , “Anomalies and Market Efficiency,” in George Constantinides, Milton Harris, and René Stulz, eds., Handbook of the Economics of Finance, Amsterdam: North-Holland, forth. [PUBLISHERHTML/PDF]
  • Sharpe, William, “Mutual Fund Performance,” Journal of Business, January 1966, 39 (1), 119-138. [JSTOR]
  • Shiller, Robert J., “The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure,” Journal of Political Economy, December 1979, 87 (6), 1190-1219. [JSTOR]
  • ______ , “Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?,” American Economic Review, June 1981, 71 (3), 421-436. [JSTOR]
  • ______ , “Consumption, Asset Markets, and Macroeconomic Fluctuations,” Carnegie-Rochester Conference Series on Public Policy, 1982, 17, 203–238. [JOURNAL]
  • ______ , Irrational Exuberance, Princeton: Princeton University Press, 2000. [PUBLISHER]
  • Siegel, Jeremy J., “The Real Rate of Interest from 1800 to 1990: A Study of the U.S. and U.K.,” Journal of Monetary Economics, April 1992, 29 (2), 227-252. [JOURNAL]
  • ______ , Stocks for the Long Run, New York: McGraw-Hill, 1998. [PUBLISHER]
  • ______ , “The Shrinking Equity Premium,” Journal of Portfolio Management, Fall 1999, 26 (1), 10-17. [JOURNAL]
  • Welch, Ivo, “A Note on the ‘Equity Size Puzzle’,” mimeo., Anderson Graduate School of Management at UCLA November 1999. [PDF]
  • ______ , “Views of Financial Economists on the Equity Premium and on Professional Controversies,” Journal of Business, October 2000, 73 (4), 501-537. [JSTORPDF]
  • ______ , “The Equity Premium Consensus Forecast Revisited,” Discussion Paper No. 1325, Cowles Foundation September 2001. [HTML/PDF]

Chapter 8: Adapting the theory

  • Abdulkadri, Abdullahi O. and Michael R. Langemeier, “Using Farm Consumption Data to Estimate the Intertemporal Elasticity of Substitution and Relative Risk Aversion Coefficients,” Agricultural Finance Review, 2000, 60, 61-70. [HTML (abstract)]
  • Abel, Andrew B., “Asset Pricing under Habit Formation and Catching Up with the Joneses,” American Economic Review (Papers and Proceedings), May 1990, 80 (2), 38-42. [JSTOR]
  • ______ , “The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security,” Econometrica, March 2003, 71 (2), 551-578. [PDF]
  • Amihud, Yakov and Haim Mendelson, “Asset Pricing and the Bid-Ask Spread,” Journal of Financial Economics, 1986, 17 (2), 223-249. [JOURNAL]
  • Bakshi, Gurdip S. and Zhiwu Chen, “Baby Boom, Population Aging and Capital Markets,” Journal of Business, April 1994, 67 (2), 165-202. [JSTOR]
  • Barberis, Nicholas, Ming Huang, and Tano Santos, “Prospect Theory and Asset Prices,” Quarterly Journal of Economics, 2001, 116 (1), 1-53. [JOURNAL]
  • Beaudry, Paul and Eric van Wincoop, “The Intertemporal Elasticity of Substitution: An Exploration using a US Panel of State Data,” Economica, August 1996, 63 (251), 495-512. [JSTOR]
  • Becker, Gary S. and Kevin M. Murphy, “A Theory of Rational Addiction,” Journal of Political Economy, August 1988, 96 (4), 675-700. [JSTOR]
  • Becker, Robert A., “On the Long-Run Steady State in a Simple Dynamic Model of Equilibrium with Heterogeneous Households,” Quarterly Journal of Economics, September 1980, 95 (2), 375-382. [JSTOR]
  • Benninga, Simon and Joram Mayshar, “Heterogeneity and Option Pricing,” Review of Derivatives Research, June 2000, 4 (1), 7-27. [JOURNAL]
  • Brav, Alon, George M. Constantinides, and Christopher C. Geczy, “Asset Pricing with Heterogenous Consumers and Limited Participation: Empirical Evidence, Journal of Political Economy, August 2002, 110 (4), 793-824. [JOURNAL]
  • Campbell, John Y. and John H. Cochrane, “By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,” Journal of Political Economy, April 1999, 107 (2), 205-251. [JSTOR]
  • Chan, Yeung Lewis and Leonid Kogan, “Catching Up with the Joneses: Heterogenous Preferences and the Dynamics of Asset Prices,” Working Paper 8607, NBER November 2001. [NBER]
  • Cogley, Timothy, “Idiosyncratic Risk and the Equity Premium: Evidence from the Consumer Expenditure Survey,” Journal of Monetary Economics, March 2002, 49 (2), 309-334. [JOURNAL]
  • Constantinides, George M., “Habit Formation: A Resolution of the Equity Premium Puzzle,” Journal of Political Economy, June 1990, 98 (3), 519-543. [JSTOR]
  • ______ , John B. Donaldson, and Rajnish Mehra, “Junior Can’t Borrow: A New Perspective on the Equity Premium Puzzle,” Quarterly Journal of Economics, February 2002, 117 (1), 269-296. [JOURNAL]
  • ______ and Darrell Duffie, “Asset Pricing with Heterogenous Consumers,” Journal of Political Economy, April 1996, 104 (2), 219-240. [JSTOR]
  • Cooley, Thomas F. and Lee E. Ohanian, “The Cyclical Behavior of Prices,” Journal of Monetary Economics, August 1991, 28 (1), 25-60. [JOURNAL]
  • Danthine, Jean-Pierre, John B. Donaldson, and Rajnish Mehra, “The Equity Premium and the Allocation of Income Risk,” Journal of Economic Dynamics and Control, July-October 1992, 16 (3-4), 509-532. [JOURNAL]
  • Demsetz, Harold, “The Cost of Transacting,” Quarterly Journal of Economics, February 1968, 82 (1), 33-53. [JSTOR]
  • Diamond, Peter A., “National Debt in a Neoclassical Growth Model,” American Economic Review, December 1965, 55 (5), 1126-1150. [JSTOR]
  • Dumas, Bernard, “Two-Person Dynamic Equilibrium in the Capital Market,” Review of Financial Studies, 1989, 2 (2), 157-188. [JSTOR]
  • Epstein, Larry G., “Risk Aversion and Asset Prices,” Journal of Monetary Economics, September 1988, 22 (2), 179-192. [JOURNAL]
  • ______ and Stanley E. Zin, “Substitution, Risk Aversion, and the Temporal Behavior of Consumption Growth and Asset Returns I: A Theoretical Framework,” Econometrica, July 1989, 57 (4), 937-969. [JSTOR]
  • ______ and ______ , “‘First-Order’ Risk Aversion and the Equity Premium Puzzle,” Journal of Monetary Economics, December 1990, 26 (3), 387-407. [JOURNAL]
  • ______ and ______ , “Substitution, Risk Aversion, and the Temporal Behavior of Consumption Growth and Asset Returns II: An Empirical Analysis,” Journal of Political Economy, April 1991, 99 (2), 263-286. [JSTOR]
  • Fisher, Stephen J., “Asset Trading, Transaction Costs and the Equity Premium,” Journal of Applied Econometrics (Supplement: Special Issue on Calibration Techniques and Econometrics), December 1994, 9, 71-94. [JSTOR]
  • Gali, Jordi, “Keeping Up with the Joneses: Consumption Externalities, Portfolio Choice, and Asset Prices,” Journal of Money, Credit, and Banking, February 1994, 26 (1), 1-8. [JSTOR]
  • Gollier, Christian, “Wealth Inequality and Asset Pricing,” Review of Economic Studies, 2001, 68 (1), 181-203. [JOURNAL]
  • Hall, Robert E., “Intertemporal Substitution in Consumption,” Journal of Political Economy, April 1988, 96 (2), 339-357. [JSTOR]
  • Hara, Chiaki and Christoph Kuzmics, “Representative Consumer’s Risk Aversion and Efficient Risk-Sharing Rules,” mimeo., Cambridge University October 2002. [PDF]
  • Heaton, John and Deborah J. Lucas, “Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing,” Journal of Political Economy, June 1996, 104 (3), 443-487. [JSTOR]
  • Kahneman, Daniel and Amos Tversky, “Prospect Theory: An Analysis of Decision under Risk,” Econometrica, March 1979, 47 (2), 263-292. [JSTOR]
  • Kandel, Shmuel and Robert F. Stambaugh, “Asset Returns and Intertemporal Preferences,” Journal of Monetary Economics, February 1991, 27 (1), 39-71. [JOURNAL]
  • Kreps, David M. and Evan L. Porteus, “Temporal Resolution of Uncertainty and Dynamic Choice Theory,” Econometrica, January 1978, 46 (1), 185-200. [JSTOR]
  • Lengwiler, Yvan, “Heterogenous Patience and the Term Structure of Real Interest Rates,” working paper, University of Basel 2003.
  • Lettau, Martin, “Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?,” Review of Economics and Statistics, May 2002, 84 (2), 376-380. [JOURNAL]
  • Lucas, Deborah J., “Asset Pricing with Undiversifyable Risk and Short Sale Constraints: Deepening the Equity Premium Puzzle,” Journal of Monetary Economics, December 1994, 34 (3), 325-342. [JOURNAL]
  • Luttmer, Erzo G. J., “What Level of Fixed Costs can Reconcile Consumption and Stock Returns?,” Journal of Political Economy, October 1999, 107 (5), 969-997. [JSTOR]
  • Mankiw, N. Gregory, “The Equity Premium and the Concentration of Aggregate Shocks,” Journal of Financial Economics, September 1986, 17 (1), 211-219. [JOURNAL]
  • ______ and David N. Weil, “The Baby Boom, the Baby Bust, and the Housing Market,” Regional Science and Urban Economics, May 1989, 19 (2), 235-258. [JOURNAL]
  • McGrattan, Ellen R. and Edward C. Prescott, “Is the Stock Market Overvalued?,” Federal Reserve Bank of Minneapolis Quarterly Review, Fall 2000, pp. 20-40. [HTML/PDF]
  • ______ and ______ , “Taxes, Regulations, and Asset Prices,” Working Paper 8623, NBER December 2001. [NBER]
  • Mehra, Rajnish and Edward C. Prescott, “The Equity Premium: A Puzzle,” Journal of Monetary Economics, March 1985, 15 (2), 145-161.
  • Rubinstein, Mark, “An Aggregation Theorem for Securities Markets,” Journal of Financial Economics, September 1974, 1 (3), 225-244. [JOURNALDOC]
  • Samuelson, Paul A., “An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money,” Journal of Political Economy, December 1958, 66 (6), 467-482. [JSTOR]
  • Segal, Uzi and Avia Spivak, “First Order versus Second Order Risk Aversion,” Journal of Economic Theory, June 1990, 51 (1), 111-125.
  • ______ and ______ , “First-Order Risk Aversion and Non-Differentiability,” Economic Theory, January 1997, 9 (1), 179-183. [JOURNAL]
  • Selden, Larry, “A New Representation of Preferences over ‘Certain × Uncertain’ Consumption Pairs: The ‘Ordinal Certainty Equivalent’ Hypothesis,” Econometrica, September 1978, 46 (5), 1045-1060. [JSTOR]
  • Sheshinski, Eytan and Yoram Weiss, “Inflation and Costs of Price Adjustment,” Review of Economic Studies, June 1977, 44 (2), 287-303. [JSTOR]
  • Sialm, Clemens, “Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium,” Working Paper 9301, NBER October 2002. [NBER]
  • Siegel, Jeremy J., Stocks for the Long Run, New York: McGraw-Hill, 1998. [PUBLISHER]
  • ______ and Richard H. Thaler, “Anomalies: The Equity Premium Puzzle,” Journal of Economic Perspectives, Winter 1997, 11 (1), 191-200. [JSTOR]
  • Stiglitz, Joseph E. and Andrew Weiss, “Credit Rationing in Markets with Imperfect Information,” American Economic Review, June 1981, 71 (3), 393-410. [JSTOR]
  • Sundaresan, Suresh M., “Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth,” Review of Financial Studies, 1989, 2 (1), 73-89. [JSTOR]
  • Telmer, Chris I., “Asset-Pricing Puzzles and Incomplete Markets,” Journal of Finance, December 1993, 48 (5), 1803-1832. [JSTOR]
  • Thaler, Richard H. and Eric J. Johnson, “Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice,” Management Science, June 1990, 36 (6), 643-660.
  • Wang, Jiang, “The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogenous Investors,” Journal of Financial Economics, 1996, 41, 75-110. [JOURNAL]
  • Weil, Philippe, “The Equity Premium Puzzle and the Risk Free Rate Puzzle,” Journal of Monetary Economics, November 1989, 24 (3), 401-421. [JOURNAL]
  • ______ , “Non-Expected Utility in Macroeconomics,” Quarterly Journal of Economics, February 1990, 105 (1), 29-42. [JSTOR]
  • Weitzman, Martin L., “Why the Far-Distant Future Should Be Discounted at Its Lowest Possible Rate,” Journal of Environmental Economics and Management, November 1998, 36 (3), 201-208. [JOURNAL]
  • ______ , “Gamma Discounting,” American Economic Review, March 2001, 91 (1), 260-271. [JOURNAL]
  • Yaari, Menachem E., “The Dual Theory of Choice under Risk,” Econometrica, January 1987, 55 (1), 95-115. [JSTOR]

Chapter 9: Epilog

  • Blanchard, Olivier J., “Movements in the Equity Premium,” Brookings Papers on Economic Activity, 1993, 2, 75-118. [JSTOR]
  • Jagannathan, Ravi, Ellen R. McGrattan, and Anna Scherbina, “The Declining U.S. Equity Premium,” Federal Reserve Bank of Minneapolis Quarterly Review, Fall 2000, pp. 3-19. [HTML/PDF]
  • Kiyotaki, Nobuhiro and Randall Wright, “On Money as a Medium of Exchange,” Journal of Political Economy, August 1989, 97 (4), 927-954. [JSTOR]
  • ______ and ______ , “A Search-Theoretic Approach to Monetary Economics,” American Economic Review, March 1993, 83 (1), 63-77. [JSTOR]
  • Kocherlakota, Narayana R., “The Equity Premium: It’s Still a Puzzle,” Journal of Economic Literature, March 1996, 34 (1), 42-71. [JSTOR]
  • Lucas, Robert E. Jr., Models of Business Cycles, Yrjö Jahnsson Lectures Series, London and New York: Blackwell, 1987. [PUBLISHER]
  • McGrattan, Ellen R. and Edward C. Prescott, “Is the Stock Market Overvalued?,” Federal Reserve Bank of Minneapolis Quarterly Review, Fall 2000, pp. 20-40. [HTML/PDF]
  • ______ and ______ , “Taxes, Regulations, and Asset Prices,” Working Paper 8623, NBER December 2001. [NBER]
  • Mehra, Rajnish and Edward C. Prescott, “The Equity Premium: A Puzzle,” Journal of Monetary Economics, March 1985, 15 (2), 145-161.
  • Siegel, Jeremy J., “The Shrinking Equity Premium,” Journal of Portfolio Management, Fall 1999, 26 (1), 10-17. [JOURNAL]

Solutions to the problem sets

  • Breeden, Douglas T. and Robert H. Litzenberger, “Prices of State-Contingent Claims Implicit in Option Prices,” Journal of Business, October 1978, 51 (4), 621-651. [JSTOR]
  • Brunnermeier, Markus K., Asset Pricing under Asymmetric Information – Bubbles, Crashes, Technical Analysis, and Herding, Oxford: Oxford University Press, 2001. [PUBLISHER]
  • Merton, Robert C., “Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science, Spring 1973, 4 (1), 141-183. [JSTOR]
  • Saha, Atanu, “Expo-Power Utility: A ‘Flexible’ Form for Absolute and Relative Risk Aversion,” American Journal of Agricultural Economics, November 1993, 75 (4), 205-213.