Search Results - subject:"idiosyncratic consumption risk"

Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data

Jacobs, Kris; Pallage, Stephane; Robe, Michel A. - Society for Computational Economics - SCE - 2005

This paper investigates the importance of market incompleteness by comparing the rates of risk aversion estimated from complete and incomplete markets environments. For the incomplete-markets case, we use consumption data for 50 U.S. states. While the use of state-level data is conceptually...

Persistent link: https://www.econbiz.de/10005706295

Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data

Jacobs, Kris; Pallage, Stephane; Robe, Michel A. - Centre Interuniversitaire de Recherche en Analyse des … - 2004

Persistent link: https://www.econbiz.de/10005100849

Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns

Jacobs, Kris; Wang, Kevin Q. - Centre Interuniversitaire de Recherche en Analyse des … - 2002

This paper investigates the importance of idiosyncratic consumption risk for the cross-sectional variation in average … returns on stocks and bonds. If idiosyncratic consumption risk is not priced, the only pricing factor in a multiperiod economy … also a priced factor. This demonstrates that consumers are not fully insured against idiosyncratic consumption risk, and …

Persistent link: https://www.econbiz.de/10005100749