SG Cecchetti, PS Lam… - 1990 - nber.org
Recent empirical studies have found that stock returns contain substantial negative serial
correlation at long horizons. We examine this finding with a series of Monte Carlo
simulations in order to demonstrate that it is consistent with an equilibrium model of asset ...
SG Cecchetti, P Lam… - Journal of Monetary Economics, 1993 - Elsevier
Abstract We investigate the ability of a representative agent model with time-separable utility
to explain the first and second moments of the risk-free rate and the return to equity. We
generalize the standard calibration methodology by accounting for the uncertainty in both ...
SG Cecchetti, P Lam… - 1998 - nber.org
We study a Lucas asset pricing model that is standard in all respects representative agent's
subjective beliefs about endowment growth are distorted. Using constant-relative-risk-
aversion (CRRA) utility a CRRA coefficient below ten that exhibit, on average, excessive ...
P Lam - Journal of Monetary Economics, 1990 - Elsevier
Abstract This paper generalizes the Hamilton model to the important case in which the
autoregressive component need not contain a unit root. Using US quarterly real GNP data,
the model is estimated and the results are compared to those of Hamilton. Some Monte ...
SG Cecchetti, PS Lam… - Journal of Finance, 1994 - JSTOR
The Euler equations derived from intertemporal asset pricing models, together with the
unconditional moments of asset returns, imply a lower bound on the volatility of the
intertemporal marginal rate of substitution. This paper develops and implements statistical ...
PS Lam - The Quarterly Journal of Economics, 1991 - qje.oxfordjournals.org
Abstract A recent article by Bernanke [1984] tests the rational expectations-permanent
income hypothesis using panel data on automobile expenditures. He finds no evidence
refuting the hypothesis. This paper incorporates a threshold adjustment process into ...
SG Cecchetti… - Journal of Business & Economic Statistics, 1994 - JSTOR
Two aspects of statistical inference using variance-ratio statistics are studied,(1) the
accuracy of asymptotic approximations in small samples and (2) the size distortion arising
from searching over many horizons in deciding whether to reject a model. A joint test ...
P Lam - International Economic Review, 2004 - Wiley Online Library
A Markov-switching model of postwar quarterly real GNP growth is used to examine the
duration dependence of business cycles. It extends the Hamilton model and the duration-
dependent model of Durland and McCurdy, and compares quite favorably to simpler ...
P Lam - Journal of Monetary Economics, 1989 - Elsevier
Abstract This paper examines the implications of resale market imperfection on consumer
durables expenditures. The consumer optimization problem under resale market
imperfection is formulated and solved numerically by dynamic programming algorithm. ...
X Angerer… - The Journal of Finance, 2009 - Wiley Online Library
This paper investigates the relationship between portfolio choice and labor income risk in
the National Longitudinal Survey of Youth 1979 Cohort. Permanent income risk (variability of
shocks to income that have permanent effect) significantly reduces the share of risky ...
P Lam - 1997 - greatdepressionbook.com
ABSTRACT We use a regime-switching model of real GNP growth to examine the duration
dependence of business cycles. The model extends Hamilton (1989) and Durland and
McCurdy (1994) and is estimated using both the postwar NIPA data and the secular data ...
P Lam - Economics Letters, 1987 - Elsevier
Abstract A recent article by Cantor derived a closed-form solution for the consumer
optimization problem with exponential utility and normal income shocks. This paper derives
solutions without imposing the normality assumption, and investigates the effect of risk in ...
SG Cecchetti, P Lam… - 1992 - nber.org
The Euler equations derived from a broad range of intertemporal asset pricing models,
together with the first two unconditional moments of asset returns, imply a lower bound on
the volatility of the intertemporal marginal rate of substitution. We develop and implement ...
[CITATION] What Do We Learn from Variance Ratio Statistics? A Study of Stationary and Nonstationary Models with Breaking Trends
SG Cecchetti… - 1991 - mimeo., Department of Economics, …
P Lam - 1986 - en.scientificcommons.org
Publikationsansicht. 3982067. Two essays on consumer durables expenditures / (1986). Lam,
Pok-sang. Abstract. Thesis (Ph. D.)--Harvard University, 1986.. Includes bibliographical references.
Details der Publikation. Download, http://worldcat.org/oclc/18203250. ...
[CITATION] Mean reversion in equilibrium asset prices
P Lam… - 1988
[CITATION] The equity premium and the risk free rate: Matching the moments, Ohio State University, Columbus
S Cecchetti, P Lam… - 1990 - OH
P Lam - 2010 - etd.ohiolink.edu
[CITATION] Business cycles and financial crises: Ann Arbor, Univ. of Michigan Press, 1990[ua Ausg.]
P Lam - Journal of economic literature, 1991
P Lam, D Lucas, M Ogaki… - Journal of Money, Credit …, 2006 - econpapers.repec.org
Downloads: (external link) http://dx.doi.org/10.1353/mcb.2006.0059 full text (application/pdf)
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in EconPapers: Search for items with the same title. ... This site is part of RePEc and all ...
H Dellas, P Lam… - Journal of Money, Credit and …, 2011 - Wiley Online Library
... Special Issue Editors' Introduction. Harris Dellas,; Pok-sang Lam,; Masao Ogaki. Article
first published online: 20 JUL 2011. DOI: 10.1111/j.1538-4616.2011.00407.x. © 2011 The
Ohio State University. Issue. Journal of Money, Credit and Banking. ...
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