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Equilibrium business cycles with idle resources and variable capacity utilization
Cooley, Thomas F.; Hansen, Gary D.; Prescott, Edward C. - 1994
Persistent link: https://www.econbiz.de/10000903842
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Equilibrium business cycles with idle resources and variable capacity utilization
Cooley, Thomas F. - In: Economic theory : official journal of the Society for … 6 (1995), pp. 35-49
Persistent link: https://www.econbiz.de/10001333287
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Real business cycles after three decades : a panel discussion
Prescott, Edward C.; Kydland, Finn E.; Plosser, Charles I. - In: Macroeconomic dynamics 19 (2015) 2, pp. 425-445
Persistent link: https://www.econbiz.de/10011308639
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Is idiosyncratic risk conditionally priced?
Mehra, Rajnish; Wahal, Sunil; Xie, Daruo - In: Quantitative Economics 12 (2021) 2, pp. 625-646
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state‐dependent...
Persistent link: https://www.econbiz.de/10012637258
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Is idiosyncratic risk conditionally priced?
Mehra, Rajnish; Wahal, Sunil; Xie, Daruo - In: Quantitative Economics 12 (2021) 2, pp. 625-646
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state-dependent idiosyncratic risk premium...
Persistent link: https://www.econbiz.de/10013189759
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The demand for diversification in incomplete markets
Mehra, Rajnish; Wahal, Sunil; Xie, Daruo - 2016
Persistent link: https://www.econbiz.de/10011450332
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Is Idiosyncratic Risk Conditionally Priced?
Mehra, Rajnish - 2016
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state-dependent idiosyncratic risk premium...
Persistent link: https://www.econbiz.de/10012997911
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Is idiosyncratic risk conditionally priced?
Mehra, Rajnish; Wahal, Sunil; Xie, Daruo - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 625-646
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state-dependent idiosyncratic risk premium...
Persistent link: https://www.econbiz.de/10012598449
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Is Idiosyncratic Risk Conditionally Priced?
Mehra, Rajnish - 2019
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state-dependent idiosyncratic risk premium...
Persistent link: https://www.econbiz.de/10012903618
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Is Idiosyncratic Risk Quantitatively Significant?
Mehra, Rajnish - 2016
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify this model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state-dependent idiosyncratic risk premium...
Persistent link: https://www.econbiz.de/10012456657