CV
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Papers
“On the Financing and Investment Decisions of Multinational
Firms in the Presence of Exchange Risk,” Journal
of Financial and Quantitative Analysis, July, 1978, pp.
227-244. [PDF]
“Recursive Competitive Equilibrium: The Case of Homogeneous
Households,” (with E.C. Prescott), Econometrica,
48, September, 1980, pp. 1365-1379. [PDF]
Reprinted in Growth Theory - ed. by R. Becker and
E. Burmeister, Edward Elgar Publishing Ltd., Brookfield,
VT 1991.
Reprinted in Valuation Theory - ed. by S.
Bhattacharya and G.M. Constantinides, World Scientific,
Singapore, 2005.
“Stochastic Growth with Correlated Production Shocks,”
(with J.B. Donaldson), Journal of Economic Theory,
29, April, 1983, pp. 282-312. [PDF]
“On the Impact of Shock Persistence on the Dynamics
of a Recursive Economy,” (with J.P. Danthine and J.B.
Donaldson), European Economic Review, 22, July, 1983,
pp. 147-166. [PDF]
“Comparative Dynamics of An Equilibrium Intertemporal
Asset Pricing Model,” (with J.B. Donaldson), The
Review of Economic Studies, 51, July, 1984, pp. 491-508.
[PDF]
Reprinted in Growth Theory - ed. by R. Becker and
E. Burmeister, Edward Elgar Publishing Ltd., Brookfield,
VT 1991.
“Recursive Competitive Equilibrium: A Parametric Example,”
Economics Letters, 16, December, 1984, pp. 273-278.
[PDF]
“The Equity Premium: A Puzzle,” (with E.C. Prescott),
Journal of Monetary Economics, 15, March, 1985, pp.
145-161. [PDF]
Reprinted in The Economic Legacy of Robert Lucas, Jr, edited by Kevin D. Hoover, Edward Elgar Publishing Ltd., Brookfield, VT 1998.
Reprinted as "El 'Equity Premium': un Dilema,"Cuadernos Economicos de ICE, 42, November, 1989, pp. 123-37.
Reprinted in Speculation and Financial Markets, edited by Liam A. Gallagher and Mark P. Taylor., Edward Elgar: Cheltenham, UK, Nothampton, MA 2002.
Reprinted in Financial Markets and the Real Economy, edited by John Cochrane, Edward Elgar Publishing Ltd., Brookfield, VT 2006
Reprinted in The International Library of Financial Econometrics, edited by Andrew Lo, Edward Elgar: Cheltenham, UK, Nothampton, MA 2007
Reprinted in James Tobin, Franco Modigliani, Finn E. Kydland and Edward C. Prescott Pioneering Papers of the Nobel Memorial Laureates in Economics, edited by Howard R. Vane and Chris Mulhearn, Edward Elgar: Cheltenham, UK, Nothampton, MA 2010
Reprinted in The Economics of Risk and Uncertainty, edited by Christian Gollier, Edward Elgar: Cheltenham, UK, Nothampton, MA 2018
“On the Existence and Representation of Equilibrium
in an Economy with Growth and Nonstationary Consumption,”
International Economic Review, 29, February, 1988,
pp. 131-135. [PDF]
“The Equity Risk Premium: A Solution?” (with
E.C. Prescott), Journal of Monetary Economics, 22,
July, 1988, pp. 133-136. [PDF]
“On Some Computational Aspects of Equilibrium Business
Cycle Theory,” (with J.P. Danthine and J.B. Donaldson),
Journal of Economic Dynamics & Control, 13, July, 1989,
pp. 449- 470. [PDF]
“El 'Equity Premium': un Dilema,” Cuadernos
Economicos de ICE, 42, November, 1989, pp. 123-37.
“On the Term Structure of Interest Rates,” (with
J.B. Donaldson and T. Johnsen), Journal of Economic Dynamics
and Control, 14, October, 1990, pp. 571-596. [PDF]
“El comportamiento de la estructura temporal de los
tipos de interés en un modelo de ciclos economicos,”
(joint with J.B. Donaldson & T. Johnsen), Cuadernos
Economicos de ICE, 49, Fall, 1991, pp. 89-120.
“The Equity Premium and the Allocation of Income Risk,”
(joint with J.P. Danthine & J.B. Donaldson), Journal
of Economic Dynamics and Control, 16, July/October, 1992,
pp. 509-532. [PDF]
“Auctions: Theory and Applications,” (joint with
R.A. Feldman), IMF Staff Papers, 40, September, 1993,
pp. 485-511.
“Dynamic Decentralization,” (with J.B. Donaldson),
in Business Cycles, Panics and Depressions, ed. by
David Glassner, Garland Press, New York, 1997.
“The Equity Premium Puzzle,” in Business Cycles,
Panics and Depressions, ed. by David Glassner, Garland
Press, New York, 1997.
“The Stock Market Crash of 1987,” (with A.W.
Kleidon) in Business Cycles, Panics and Depressions,
David Glassner, ed., Garland Press, New York, 1997.
“On the Volatility of Stock Prices: An Exercise in
Quantitative Theory,” International Journal of Systems
Science, 29, November, 1998 pp. 1203-1211. [PDF]
“The Equity Premium,” in The Global Investor
Book of Investing Rules ed. by Philip Jenks and Stephen Eckett,
Harriman House Ltd., Great Britain, 2001.
“Mood Fluctuations, Projection Bias, And Volatility
Of Equity Prices,” (with Raaj Sah), Journal of Economic
Dynamics and Control, 26, May, 2002, pp. 869-887. [PDF]
“Junior Can’t Borrow: A New Perspective on the
Equity Premium Puzzle,” (with G.M. Constantinides and
J.B. Donaldson), Quarterly Journal of Economics, 117,February,
2002, pp. 269-96. [PDF]
“Finance 2001,” Journal of Economic Dynamics
and Control, 26 6/7, 2002, pp. 1069-1074. [PDF]
“Stocks and Bonds in the Portfolio Life-Cycle,”
(joint with S. J Davis), in Mastering Investments,
ed. by James Pickford, FT-Prentice Hall, London, 2002.
“Equity Premium Puzzle,” in Mastering Investments,
ed. by James Pickford, FT-Prentice Hall, London, 2002.
“The Equity Premium: Why Is It A Puzzle?” Financial
Analysts Journal, January /February 2003, pp 54-69. Awarded
a Financial Analysts Foundation Graham and Dodd Scroll for
excellence in financial writing. [PDF]
“The Equity Premium Puzzle in Retrospect,” (with
E.C. Prescott) Handbook of the Economics of Finance
ed. by G.M Constantinides, M. Harris and R. Stulz, North Holland,
Amsterdam, 2003. [PDF]
Discussion of “India’s Experience with a Pegged Exchange Rate”. India Policy Forum, Volume 1 2004, pp. 217-224. [PDF]
“Junior Must Pay: Pricing the Implicit Put in Privatizing
Social Security,” (with G.M. Constantinides and with J.B. Donaldson),
Annals of Finance, 1, January 2005, pp.1-34. [PDF]
Discussion of “How Applicable is the Inflation Targeting Framework (ITF) for India?” India Policy Forum, Volume 2 2005, pp. 164-170. [PDF]
“Junior is Rich: Bequests as Consumption,” (with G.M.
Constantinides and with J.B. Donaldson).
Economic Theory Volume 32, 2007, pp 125-155.
[PDF]
“The Equity Premium in India,”Oxford Companion
to Economics in India ed. by Kaushik Basu,
Oxford University Press, 2007.
[PDF]
Discussion of “Sources of
Growth in the Indian Economy ” India
Policy Forum, Volume 3,
2007, pp 53-58. [PDF]
“The Equity Premium: ABCs,” (with E.C. Prescott)
The Handbook of the Equity Risk Premium.
ed. by Rajnish Mehra, Elsevier, Amsterdam, 2008,
pp 1-36. [PDF]
“Risk Based Explanations of the Equity Premium” (with
J.B Donaldson) Handbook of
Investments: The Handbook of the Equity Risk
Premium. ed. by Rajnish Mehra, Elsevier,
Amsterdam, 2008, pp 37- 100. [PDF]
“Non Risk Based Explanations of the Equity Premium” (with
E.C Prescott) Handbook of
Investments: The Handbook of the Equity Risk
Premium. ed. by Rajnish Mehra, Elsevier,
Amsterdam, 2008, pp 101-215. [PDF]
“Recursive Competitive Equilibrium,” New Palgrave Dictionary of Economics, 2nd Edition, Macmillan, 2008, pp 35-38. [PDF]
"The Equity Premium Puzzle: A Review", Foundations
and Trends® in Finance: 2008 Vol. 2: No 1, pp 1-81.
[PDF]
"Indian Equity Markets: Measures of Fundamental Value" India Policy Forum, Volume 6, 2010, pp 1-30 [PDF]
“Costly Financial Intermediation in Neoclassical Growth Theory” (with F. Piguillem and E.C. Prescott), Quantitative Economics, Volume 2, March 2011, pp.1-36. [PDF]
“The Equity Premium Puzzle Revisited ” in Rethinking the Equity Risk Premium. ed. by P. Brett Hammond, Martin L. Leibowitz, and Laurence B. Siegel, Research Foundation of CFA Institute, Charlottesville, Va. 2011. [PDF]
Discussion of “Sources of Corporate Profits in India: Business Dynamism or Advantages of Entrenchment?” India Policy Forum, Volume 7, 2011, pp 85-89. [PDF]
“Consumption-Based Asset Pricing Models”, Annual Review of Financial Economics 4, 2012 385–409. [PDF]
Discussion of “The Policy Puzzles of Foreign Currency Borrowing by Indian Firms” India Policy Forum, Volume 12, 2015-16 pp 175-178. [PDF]
“The Term Structure of Interest Rates in India” (with Arunima Sinha), in Monetary Policy in India: A Modern Macroeconomic Perspective. Edited by Chetan Ghate and Kenneth Kletzer, Springer, 2016, pp 231-256. [PDF]
“Evaluating Macroeconomic Interventions” in Carbon Emission Pricing and Climate Risk Management. Edited by Robert Litterman. Wiley & Sons, 2017 (forthcoming).
[PDF]
"A 21st Century Perspective on Asset Management" (joint with Jean Pierre Danthine and John Donaldson) in Finance in Society edited by Mette Bjorndal, Froystein Gjesdal and Aksel Mjos. Cappelen Damm, 2017, pp 55-68. [PDF]
Discussion of "The Indian Household Finance Landscape" India Policy Forum, Volume 13, 2016 -17. [PDF]
Discussion of "Tax Breaks and Household Savings" India Policy Forum, Volume 14, 2017 -18.
. [PDF]
"Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX futures markets" (with George Aragon and Sunil Wahal). Journal of Portfolio Management, 46(7), July 2020, pp.144-159.[PDF]
"Is Idiosyncratic Risk Conditionally Priced?" (with Sunil Wahal and Daruo Xie).
Quantitative Economics, Volume 12, May 2021, pp.625-646.[PDF]
"Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion" (with J.B. Donaldson). Quantitative Economics, Volume 12, July 2021, pp.903-944. [PDF]
“Reflections on the Equity Premium” in Revisiting the Equity Risk Premium. Edited by Laurence B. Siegel and Paul McCaffrey. Charlottesville, VA: CFA Institute Research Foundation, 2023. pp.52-57. [PDF]
“Demographics and FDI: Lessons from China's One-Child Policy” (with John Donaldson, Christos Koulovatianos and Jian Li). Forthcoming in Macroeconomic Dynamics. [PDF]
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