Anisha Ghosh
London School of Economics, London, England: PhD-2009.
London School of Economics, London, England: MRes-2005.
Presidency College, Kolkata, India: BSc-2003.
Publications
"Asset Pricing With Countercyclical Household Consumption Risk,” (with G. Constantinides). Journal of Finance 72 (2017), 415-460.
“What is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models,” (with C. Julliard and A. Taylor). Review of Financial Studies 30 (2017), 442-504.
“Can Rare Events Explain the Equity Premium Puzzle?,” (with C. Julliard). Review of Financial Studies 25 (2012), 3037-3076.
“Asset Pricing Tests with Long Run Risks in Consumption Growth,” (with G. Constantinides). Review of Asset Pricing Studies 1 (2011), 96-136.
Papers Under Review
“An Information-Theoretic Asset Pricing Model,” (with C. Julliard and A. Taylor). Revise and Resubmit at Management Science.
“What Information Drives Asset Prices?,” (with G. Constantinides). Under review.
“The Market Price of Business Cycle Fluctuations,” (with C. Julliard and M. Stutzer). Under Review.
“Identifying Beliefs From Asset Prices,” (with G. Roussellet). Under Review.
Completed Papers
“Recovering Heterogeneous Beliefs and Preferences from Asset Prices,” (with A. Korteweg and Q. Xu).
“Income Versus Consumption Inequality: The Role of Time-Varying Higher Moments.”
"The Bias-Corrected Relation Between Expected Market Return and Variance." (with O. Linton)
Appendixes, Data, and Codes
Appendixes
Internet Appendix to “Can Rare Events Explain the Equity Premium Puzzle?”
Data
Investors’ Beliefs Data: Time series of the mean, volatility, and skewness of consumption growth and the aggregate stock market return, as perceived by the average investor in the stock market over 1947:Q2—2013:Q4. Please refer to “Identifying Beliefs From Asset Prices” for details of the recovery of the beliefs.
Cross-sectional moments of household consumption growth data: Time series of the mean, volatility, and skewness of the cross sectional distribution of household consumption growth, over 1980:Q1—2009:Q4. Please refer to “Asset Pricing With Countercyclical Household Consumption Risk” for details of data construction.
