The Market Price of Aggregate Risk and the Wealth Distribution

By Hanno Lustig. 2005

227 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b6f5112aae4b098e59751577e411ac8060ed67e4

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Citations in the corpus

The Wealth-Consumption Ratio (2008, unknown): “Similar aggregation results are derived in Constantinides and Duffie (1996) and in the limited commitment models of Lustig and Chien (2007) and Lustig and Van Nieuwerburgh (2007a). To sum up, in the presence of heterogeneous agents who cannot trade idiosyncratic labor income risk, there is an additi”
Financial Intermediary Capital (2011, unknown): “We model limited enforcement à la Kehoe and Levine (1993) but without exclusion, as in Chien and Lustig (2010) and Rampini and Viswanathan (2010, 2013), and extend their results by introducing limited participation as well.”
Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market (2005, background): “Nieto (2002), and Nieto and Rodríguez (2002) show that the aggregate book-to-market is a good predictor of future market returns and, for Spanish data, seems to be superior to the deviations (from the long run equilibrium level) of the consumption to wealth ratio proposed by Lettau and Ludvigson (20”
How Much Does Household Collateral Constrain Regional Risk Sharing (2010, background): “In terms of asset values,the average ratio of the market value of US non-farm, non- nan ial orporations plus residentialwealth to labor in ome is 2.68 (see Lustig and Van Nieuwerburgh (2009) for data onstru tion).”
Winners and Losers in Housing Markets (2011, unknown): “See Lustig (2004) and Lustig and van Nieuwerburgh (2005b) for analysis of optimal contracts with tangible assets as collateral.”
A Rational Theory of Mutual Funds' Attention Allocation (2016, unknown): “In Alvarez and Jermann (2001), Chien and Lustig (2010), and Lustig and Van Nieuwerburgh (2005), heterogeneous labor income risk and limited commitment generate time-varying risk premia.”
Market liquidity and funding liquidity (2009, unknown): “Lustig (2004) considers the collateral effect on the equity premium, and Lustig and Nieuwerburgh 14See also DeLong, Shleifer, Summers, and Waldmann (1990) and Abreu and Brunnermeier (2002).”
Cyclical Dynamics in Idiosyncratic Labor Market Risk (2004, background): “…(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, & Yaron (1999) follow Constantinides & Duffie (1996) and Mankiw…”