The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Asset Pricing in Economies with Frictions
Abstract
This paper examines how proportional transaction costs, short-sale constraints, and margin requirements affect inferences based on asset return data about intertemporal marganil rates of substitution (IMRSs). Small transaction costs greatly reduce the required variability of IMRSs, suggesting that the low variability of many parametric, aggregate consumption based IMRSs need not be inconsistent with asset return data. Euler inequalities for a transaction cost economy with power utility are tested using aggregate consumption data and returns on stocks and U.S. Treasury bills. In the majority of cases, there is little evidence against power utility specifications with a low risk-aversion parameter. Copyright 1996 by The Econometric Society.
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Cites
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Cited by
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Optimal Life‐Cycle Asset Allocation: Understanding the Empirical Evidence
GOMES, F., & MICHAELIDES, A. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00749.x · Cited by 773
Chapter 8 Micro data and general equilibrium models
(1999) · Handbook of Macroeconomics · doi:10.1016/s1574-0048(99)01011-3 · Cited by 458
Diversification, Integration and Emerging Market Closed‐End Funds
BEKAERT, G., & URIAS, M. S. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb02709.x · Cited by 358
Moment Inequalities and Their Application
Pakes, A., Porter, J., Ho, K., & Ishii, J. (2015) · Econometrica · doi:10.3982/ecta6865 · Cited by 323
Metadata
- Authors
- Luttmer, E. G. J.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1996-11
- Volume
- 64
- Issue
- 6
- Pages
- 1439
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2045449505
- Cited by
- 305
- References
- 1
- FWCI
- 23.29
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
