Premium
Can Market Incompleteness Resolve Asset Pricing Puzzles?
Author(s) -
Freeman Mark C.
Publication year - 2004
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.0306-686x.2004.00562.x
Subject(s) - recession , capital asset pricing model , economics , asset (computer security) , financial economics , keynesian economics , computer science , computer security
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.