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Can market incompleteness resolve asset pricing puzzles?

Freeman, Mark C.
Publication Date
08/06/2009
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Keywords
Recessions, Income shocks, Equity premium puzzle, Precautionary saving, Market incompleteness
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Peer-Reviewed
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closedAccess
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Management and Law Publications
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Abstract
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.
URI
http://hdl.handle.net/10454/2771
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Citation
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.
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https://doi.org/10.1111/j.0306-686X.2004.00562.x
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Article
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