The present project introduces the possibility of default on the trading contracts in an infinite horizon incomplete markets model, relaxing the usual assumption made in the literature with respect to the trading limits, which are chosen to be fixed or independent of the characteristics of the...

The q-theory explanations of asset pricing anomalies are quantitatively important. We perform a new asset pricing test by using GMM to minimize the difference between average stock returns in the data and average investment returns constructed from observable firm characteristics. Under various...

In this paper we develop a theoretical model in order to understand comovements between asset returns and consumption over longer horizons. We develop an intertemporal general equilibrium model featuring two types of shocks: small, frequent and disembodied shocks to productivity and large...

This paper uses a temporary equilibrium framework to evaluate the impact of expectations on asset valuation. The model determines asset prices as a function of asset supply as well as the distribution of household endowments and expectations, which is matched to survey data.

We identify possible long-run market shares and the long-run asset price dynamics of financial markets with heterogenous interacting agents. This involves stability conditions for a class of difference equation in a random environment, where the random environment is endogenously generated by...