Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey☆

By Timothy Cogley. 2002

141 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/92e02b0bc63c7b1c030cc8fda82b4fac5220d3dc

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Citations in the corpus

The Market Price of Aggregate Risk and the Wealth Distribution (2005, unknown): “Empirical Evidence Cogley (2002) finds evidence that the cross-sectional dispersion of US household non-durable consumption growth increases when the returns on equity are low, but he argues the covariance is too small to explain the size of the risk premia.”
Luxury Goods and the Equity Premium (2004, unknown): “…equity directly confirm that these households do bear more market risk, although typically not enough to completely rationalize the high returns on equity (see Attanasio, Banks, and Tanner (2002), Brav, Constantinides, and Geczy (2002), Cogley (2002), Parker (2002), and Vissing-Jørgensen (2002)).”
Chapter 14 The equity premium in retrospect (2003, unknown): “42 In related studies, Jacobs (1999) studies the PSID database on food consumption; Cogley (1999) and Vissing-Jorgensen (2002) study the CEX database on broad measures of consumption; Jacobs and Wang (2001) study the CEX database by constructing synthetic cohorts; and Ait-Sahalia, Parker and Yogo…”
Learning asymmetries in real business cycles (2006, background): “Estimating a Bayesian model where agents are learning about the growth rate, Cogley (2002) finds that consumers may have more difficulty determining the permanent component of their income when output is low.”
The Double Power Law in Consumption and Implications for Testing Euler Equations (2015, methodology): “Brav et al. ð2002Þ find that the IMRS SDF explains the equity premium for g ≈ 3.5, but Cogley ð2002Þ finds that the equity premium is not explained for g < 15.”
Asset Pricing with Idiosyncratic Risk and Overlapping Generations (2000, unknown): “Denoting the value function of an agent of age h as V h , the choice problem can be represented as, V h ; Z; z h ; a h = max k 0 h+1 ;b 0 h+1 uc h + h+1 h E V 0 h+1 G; Z; Z 0 ; Z 0 ; z 0 h+1 ; k 0 h+1 RG; Z; Z 0 ; Z 0 + b 0 h+1 5 subject to equations 4.”
Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns (2004, unknown): “It is clear from Cogley (1999) that with incomplete markets the pricing kernel depends on the cross-sectional moments of consumption growth.”
Cyclical Dynamics in Idiosyncratic Labor Market Risk (2004, background): “Finally, and most closely related to this paper, Alvarez & Jermann (2001), Balduzzi & Yao (2000), Brav, Constantinides, & Geczy (2002), Cogley (2002), Heaton & Lucas (1996), Krusell & Smith (1997), Lucas (1994), Lustig (2001), Marcet & Singleton (1999), Sarkissian (2001) and Storesletten, Telmer, &…”
Why Has House Price Dispersion Gone Up (2010, unknown): “…and Perri, 2006; Storesletten, Telmer, and Yaron, 2004; Heathcote, Storesletten, and Violante, 2005; Lustig and Van Nieuwerburgh, 2006) and on asset pricing (Constantinides and Duffie, 1996; Cogley, 2002; Lustig, 2003; Storesletten, Telmer, and Yaron, 2006; Lustig and Van Nieuwerburgh, 2007).”
Displacement Risk and Asset Returns (2012, methodology): “Existing literature (e.g. Cogley (2002)) has used the three quarterly observations of consumption growth available per household in the CEX to form a measure of the average quarterly consumption growth of existing agents.”
Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective (2005, unknown): “In a different class of models, Cogley (2002) and Brav, Constantinides, and Geczy (2002) find that including higher moments, such as the standard deviation and skewness of the consumption growth distribution, reduces the size of the Euler equation errors for stock returns.”