Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

Lars Peter Hansen, Kenneth J. Singleton · Journal of Political Economy · 1983

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Type: article
Published: 1983-04-01
Cited by: 1,646
References: 19
DOI: https://doi.org/10.1086/261141
OpenAlex: https://openalex.org/W2085647375
Semantic Scholar: https://api.semanticscholar.org/CorpusID:145926581

Keywords

Consumption (sociology), Economics, Aggregate (composite), Econometrics, Asset (computer security)

References

Missing assets, measuring the market, and testing the capital asset pricing modelRobert F. Stambaugh — 1981
Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in DividendsRobert J. Shiller — 1980
The Determinants of the Variability of Stock Market PricesSanford J. Grossman, Robert J. Shiller — 1980
Asset Prices in a Production EconomyWilliam A. Brock — 1982
The Present-Value Relation: Tests Based on Implied Variance BoundsStephen F. LeRoy, Richard D. Porter — 1981
Prices of State-Contingent Claims Implicit in Option PricesDouglas T. Breeden, Robert H. Litzenberger — 1978
The Adjustment of Consumption to Changing Expectations About Future IncomeMarjorie Flavin — 1981
Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and EvidenceRobert E. Hall — 1978
AN INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIESDouglas T. Breeden — 1979
THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETSRobert H. Litzenberger, Mark Rubinstein — 1976
ASSET PRICES IN AN EXCHANGE ECONOMYRobert E. Lucas — 1978
AN INTERTEMPORAL CAPITAL ASSET PRICING MODELRobert C. Merton — 1973
On Estimating the Expected Return on the Market: An Exploratory InvestigationRobert C. Merton — 1980

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Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

Keywords

References

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