Economic Uncertainty, Disagreement, and Credit Markets
Published Online:18 Dec 2013https://doi.org/10.1287/mnsc.2013.1815
References
- (1999) Risk premia and term premia in general equilibrium. J. Monetary Econom. 43:3–33.Crossref, Google Scholar
- (2005) Do heterogeneous beliefs matter for asset pricing? Rev. Financial Stud. 18:875–924.Crossref, Google Scholar
- (2006) The cross-section of volatility and expected returns. J. Finance 61:259–299.Crossref, Google Scholar
- (2000) Spanning and derivative security valuation. J. Financial Econom. 55:205–238.Crossref, Google Scholar
- (2003) Stock return characteristics, skew laws, and the differential pricing of individual equity options. Rev. Financial Stud. 16:101–143.Crossref, Google Scholar
- (2005) Consumption, dividends, and the cross section of equity returns. J. Finance 60:1639–1672.Crossref, Google Scholar
- (2013) Volatility, the macroeconomy, and asset prices. J. Finance. Forthcoming.Google Scholar
- (2004) Risks for the long run: A potential resolution of asset pricing puzzles. J. Finance 59:1481–1509.Crossref, Google Scholar
- (2000) A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk. J. Econom. Dynamics Control 24:63–95.Crossref, Google Scholar
- (1998) An equilibrium model with restricted stock market participation. Rev. Financial Stud. 11:309–341.Crossref, Google Scholar
- (2010) The levered equity risk premium and credit spreads: A unified framework. Rev. Financial Stud. 23:645–703.Crossref, Google Scholar
- (2013) Asset prices with heterogeneity in preferences and beliefs. Rev. Financial Stud. Forthcoming.Google Scholar
- (2006) Model uncertainty and option markets in heterogeneous economies. J. Finance 61:2841–2898.Crossref, Google Scholar
- (2012) An intertemporal CAPM with stochastic volatility. Working paper, London School of Economics, London.Crossref, Google Scholar
- (2003) Equity volatility and corporate bond yields. J. Finance 58:2321–2349.Crossref, Google Scholar
- (2010) Macroeconomic conditions and the puzzles of credit spreads and capital structure. J. Finance 65:2171–2212.Crossref, Google Scholar
- (2012) Rare disasters and risk-sharing with heterogeneous beliefs. Rev. Financial Stud. 25:2189–2224.Crossref, Google Scholar
- (2009) On the relation between credit spread puzzles and the equity premium puzzle. Rev. Financial Stud. 22:3367–3409.Crossref, Google Scholar
- (1989) Optimal consumption and portfolio policies when asset prices follow a diffusion process. J. Econom. Theory 49:33–83.Crossref, Google Scholar
- (1994) Dynamic equilibrium in infinite-economies with incomplete financial markets. Working paper, The Wharton School, University of Pennsylvania, Philadelphia.Google Scholar
- (2008a) Heterogeneous beliefs, speculation, and the equity premium. J. Finance 63:41–83.Crossref, Google Scholar
- (2008b) Inflation uncertainty, asset valuations, and the credit spreads puzzle. Rev. Financial Stud. 21:2487–2534.Crossref, Google Scholar
- (1994) Intertemporal asset pricing with heterogeneous beliefs. J. Econom. Theory 62:294–320.Crossref, Google Scholar
- (2002) Differences in opinion and the cross section of stock returns. J. Finance 57:2113–2141.Crossref, Google Scholar
- (2009) Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility. J. Finance 64:579–629.Crossref, Google Scholar
- (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81:607–636.Crossref, Google Scholar
- (2012) Bond liquidity premia. Rev. Financial Stud. 25:1207–1254.Crossref, Google Scholar
- (2010) Corporate bond credit spreads and forecast dispersion. J. Banking Finance 34:2328–2345.Crossref, Google Scholar
- (1998) Methods of Mathematical Finance (Springer-Verlag, New York).Crossref, Google Scholar
- (2000) Statistics of Random Processes I: General Theory (Springer-Verlag, Berlin).Google Scholar
- (1974) On the pricing of corporate debt: The risk structure of interest rates. J. Finance 29:449–470.Google Scholar
- Moody's (2008) Corporate default and recovery rates, 1920–2007. Report, https://www.moodys.com/sites/products/DefaultResearch/2007000000474979.pdf.Google Scholar
- (2008) Natural selection in financial markets: Does it work? Management Sci. 54:1935–1950.Link, Google Scholar

