平特五不中

Anisha Ghosh

Title: 
Associate Professor, Finance
Anisha Ghosh
Contact Information
Email address: 
anisha.ghosh [at] mcgill.ca
Alternate email address: 
christine.nguli [at] mcgill.ca
Address: 

Bronfman Building, []
1001 rue Sherbrooke Ouest
Montreal, Quebec
Canada
H3A 1G5

Degree(s): 

London School of Economics, London, England: PhD-2009.

London School of Economics, London, England: MRes-2005.

Presidency College, Kolkata, India: BSc-2003.

Area(s): 
Finance
Office: 
541
Curriculum vitae: 
Group: 
Faculty
Tenured & Tenure Track
Research areas: 
Asset Pricing
Financial Econometrics
Macroeconomics
Selected publications: 

Publications

"Asset Pricing With Countercyclical Household Consumption Risk,鈥 (with G. Constantinides).聽Journal of Finance聽72 (2017), 415-460.

鈥淲hat is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models,鈥 (with C. Julliard and A. Taylor).聽Review of Financial Studies聽30 (2017), 442-504.

鈥淐an Rare Events Explain the Equity Premium Puzzle?,鈥 (with C. Julliard).聽Review of Financial Studies聽25 (2012), 3037-3076.

鈥淎sset Pricing Tests with Long Run Risks in Consumption Growth,鈥 (with G. Constantinides).聽Review of Asset Pricing Studies聽1 (2011), 96-136.

Papers Under Review

鈥淎n Information-Theoretic Asset Pricing Model,鈥 (with C. Julliard and A. Taylor). Revise and Resubmit at聽Management Science.

鈥淲hat Information Drives Asset Prices?,鈥 (with G. Constantinides). Under review.

聽鈥淭he Market Price of Business Cycle Fluctuations,鈥 (with C. Julliard and M. Stutzer). Under Review.

聽鈥淚dentifying Beliefs From Asset Prices,鈥 (with G. Roussellet). Under Review.

Completed Papers

鈥淩ecovering Heterogeneous Beliefs and Preferences from Asset Prices,鈥 (with A. Korteweg and Q. Xu).

鈥淚ncome Versus Consumption Inequality: The Role of Time-Varying Higher Moments.鈥

"The Bias-Corrected Relation Between Expected Market Return and Variance." (with O. Linton)


Appendixes, Data, and Codes

Appendixes

Internet Appendix to 鈥淐an Rare Events Explain the Equity Premium Puzzle?鈥

Data

Investors鈥 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鈥2013:Q4. Please refer to 鈥淚dentifying Beliefs From Asset Prices鈥 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鈥2009:Q4. Please refer to 鈥淎sset Pricing With Countercyclical Household Consumption Risk鈥澛 for details of data construction.

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