This paper shows that the presence of persistent uninsurable risk concentrated in economic depressions has the potential to resolve two well-known asset pricing puzzles. It is also shown that the presence of such risk in more normal economic expansions and recessions is likely to be much less relevant in determining equilibrium asset prices. Copyright Blackwell Publishing Ltd, 2004.
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
We consider a general equilibrium model with incomplete financial markets and nominal assets. Asset ...
After laying dormant for more than two decades, the rare disaster framework has emerged as a leading...
NoThis paper shows that the presence of persistent uninsurable risk concentrated in economic depress...
International audienceThis paper shows that the precautionary motive, combined with asset incomplete...
This paper argues that incompleteness of intertemporal financial markets has little effect (on welfa...
Incomplete financial markets and jumps in asset prices Herve ́ Crès ∗ Tobias Markeprand † Mich Tved...
Several empirical regularities in the prices of financial assets are at odds with the predictions of...
Ce papier étudie l'importance de la complétude du marché en comparant le taux d'aversion au risque e...
At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: en...
This paper shows that the precautionary motive, combined with asset incom-pleteness, is a major sour...
The failure of the asset market to be complete causes serial dependence in output and prices, which ...
In this work, the effect an asset price bubble has on optimal portfolio allocations is investigated....
Recent developments in intertemporal asset pricing theory focus on two sets of fundamental determina...
It is widely thought that incomes risks can be shared by trading in financial assets. But financial ...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
We consider a general equilibrium model with incomplete financial markets and nominal assets. Asset ...
After laying dormant for more than two decades, the rare disaster framework has emerged as a leading...
NoThis paper shows that the presence of persistent uninsurable risk concentrated in economic depress...
International audienceThis paper shows that the precautionary motive, combined with asset incomplete...
This paper argues that incompleteness of intertemporal financial markets has little effect (on welfa...
Incomplete financial markets and jumps in asset prices Herve ́ Crès ∗ Tobias Markeprand † Mich Tved...
Several empirical regularities in the prices of financial assets are at odds with the predictions of...
Ce papier étudie l'importance de la complétude du marché en comparant le taux d'aversion au risque e...
At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: en...
This paper shows that the precautionary motive, combined with asset incom-pleteness, is a major sour...
The failure of the asset market to be complete causes serial dependence in output and prices, which ...
In this work, the effect an asset price bubble has on optimal portfolio allocations is investigated....
Recent developments in intertemporal asset pricing theory focus on two sets of fundamental determina...
It is widely thought that incomes risks can be shared by trading in financial assets. But financial ...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
We consider a general equilibrium model with incomplete financial markets and nominal assets. Asset ...
After laying dormant for more than two decades, the rare disaster framework has emerged as a leading...
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