Asset Pricing with Countercyclical Household Consumption Risk
By George M. Constantinides, Anish Ghosh. 2017
115 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/c933a1471fa9d72589a86ceca9283b305e6e31e7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Stijn Van Nieuwerburgh
- Hanno Lustig
- Bryan T. Kelly
- Bernard Herskovic
- Jae Song
- Serdar Ozkan
- Fatih Karahan
- Fatih Guvenen
In Economics and Econometrics
- Stijn Van Nieuwerburgh
- Hanno Lustig
- Bryan T. Kelly
- Bernard Herskovic
- Serdar Ozkan
- Jae Song
- Fatih Guvenen
- Fatih Karahan
In Finance
- Stijn Van Nieuwerburgh
- Hanno Lustig
- Bryan T. Kelly
- Bernard Herskovic
- Fatih Karahan
- Fatih Guvenen
- Jack Y Favilukis
- Lucio Sarno
Citations in the corpus
- What Do Data on Millions of U.S. Workers Reveal about Life-Cycle Earnings Risk? (2015, background): “Building on this observation, Constantinides and Ghosh (2014) show that an incomplete markets asset pricing model with countercyclical (negative) skewness shocks generates plausible asset pricing implications, and McKay (2014) studies aggregate consumption dynamics in a business cycle model that is…”
- The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications (2014, background): “As in Constantinides and Ghosh (2013), given the symmetric and homogeneous preferences, households choose not to trade away from their initial endowments.”
- Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework (2015, unknown): “In Figure 7, we next report estimates of the model with household unobserved heterogeneity in consumption, see (21).”