The market price of risk and the equity premium: A legacy of the Great Depression?-Reference-Cited by-同舟云学术

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The market price of risk and the equity premium: A legacy of the Great Depression?

Published:2008-04 Issue:3 Volume:55 Page:454-476
ISSN:0304-3932
Container-title:Journal of Monetary Economics
language:en
Short-container-title:Journal of Monetary Economics

Author:

Cogley Timothy,Sargent Thomas J.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference47 articles.

1. An exploration of the effects of pessimism and doubt on asset returns;Abel;Journal of Economic Dynamics and Control,2002

2. Adam, K., Marcet, A., Nicolini, J.P., 2006. Stock market volatility and learning. Manuscript, European Central Bank.

3. A quartet of semigroups for model specification, robustness, prices of risk, and model detection;Anderson;Journal of the European Economic Association,2003

4. Asset Pricing in an Exchange Economy with Bayesian Agents;Azeredo,2007

5. Why does the stock market fluctuate?;Barsky;Quarterly Journal of Economics,1993

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