Incomplete markets and security prices: Do asset-pricing puzzles result from aggregation problems?

• 成果类型: Article
• 署名作者: Jacobs, K
• 署名单位: McGill University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00100
• 发表日期: 1999
• 页码: 123-163
• 关键词: EQUITY PREMIUM PUZZLE; temporal behavior; habit formation; risk-aversion; liquidity constraints; consumption growth; generalized-method; panel data; substitution; returns

摘要

This paper investigates Euler equations involving security prices and household-level consumption data. It provides a useful complement to many existing studies of consumption-based asset pricing models that use a representative-agent framework, because the Euler equations under investigation hold even if markets are incomplete. It also provides a useful complement to simulation-based studies of market incompleteness. The empirical evidence indicates that the theory is rejected by the data along several dimensions. The results therefore indicate that some well-documented asset-pricing puzzles do not result from aggregation problems for the preferences under investigation.