Can market incompleteness resolve asset pricing puzzles?

Description

No / This paper shows that the presence of persistent uninsurable risk concentrated in economic depressions has the potential to resolve two well¿known asset pricing puzzles. It is also shown that the presence of such risk in more normal economic expansions and recessions is likely to be much less relevant in determining equilibrium asset prices.

Links & Downloads

1. Freeman, M.C. (2004). Can market incompleteness resolve asset pricing puzzles? Journal of Business Finance and Accounting. Vol. 31, No. 7-8, pp. 927-949.
2. http://hdl.handle.net/10454/2771
3. https://doi.org/10.1111/j.0306-686X.2004.00562.x

Tags

Recessions

Income shocks

Equity premium puzzle

Precautionary saving

Market incompleteness

Additional Fields

Identifer	oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/2771
Date	08 June 2009
Creators	Freeman, Mark C.
Source Sets	Bradford Scholars
Language	English
Detected Language	English
Type	Article, No full-text available in the repository