Andrew B. Abel

University of Pennsylvania - Finance Department

Ronald A. Rosenfeld Professor of Finance

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

http://finance.wharton.upenn.edu/~abel/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

51

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Scholarly Papers (51)

An Exploration of the Effects of Pessimism and Doubt on Asset Returns

Rodney L. White Center for Financial Research Working Paper No. 20-00
Number of pages: 31 Posted: 12 Mar 2001
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 202 (204,678)
Citation 6

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An Exploration of the Effects of Pessimism and Doubt on Asset Returns

NBER Working Paper No. w8132
Number of pages: 30 Posted: 15 Feb 2001 Last Revised: 23 Mar 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 43 (556,624)

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The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security

Number of pages: 32 Posted: 03 Oct 2001
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 203 (203,752)
Citation 8

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baby boom, social security, stock prices, Golden Rule

The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security

NBER Working Paper No. w9210
Number of pages: 33 Posted: 20 Sep 2002 Last Revised: 03 Mar 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 30 (632,003)
Citation 3

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Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?

Rodney L. White Center for Financial Research Working Paper No. 19-00
Number of pages: 19 Posted: 12 Mar 2001
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 132 (292,812)
Citation 11

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Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?

NBER Working Paper No. w8131
Number of pages: 18 Posted: 15 Feb 2001 Last Revised: 21 Mar 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 73 (432,919)

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4.

Assessing Dynamic Efficiency: Theory and Evidence

NBER Working Paper No. w2097
Number of pages: 41 Posted: 04 Apr 2004 Last Revised: 27 Mar 2022
University of Pennsylvania - Finance Department, Harvard University - Department of Economics, Harvard University and Harvard University - Harvard Kennedy School (HKS)
Downloads 195 (211,489)
Citation 30

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5.

An Intertemporal Model of Saving and Investment

NBER Working Paper No. w0885
Number of pages: 39 Posted: 20 Dec 2001 Last Revised: 04 Dec 2021
University of Pennsylvania - Finance Department and National Bureau of Economic Research (NBER)Peterson Institute for International Economics
Downloads 115 (322,594)
Citation 1

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6.
Downloads 113 (326,619)
Citation 8

Options, the Value of Capital, and Investment

NBER Working Paper No. w5227
Number of pages: 43 Posted: 19 Jul 2000 Last Revised: 15 Apr 2022
University of Pennsylvania - Finance Department, Princeton University - Department of Economics, Northwestern University - Kellogg School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 113 (328,447)
Citation 8

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Options, the Value of Capital, and Investment

Rodney L. White Center for Financial Research Working Paper No. 15-95
Posted: 24 Aug 1998
University of Pennsylvania - Finance Department, Princeton University - Department of Economics, Northwestern University - Kellogg School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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7.

A Unified Model of Investment Under Uncertainty

NBER Working Paper No. w4296
Number of pages: 27 Posted: 18 Oct 2000 Last Revised: 30 Mar 2022
Andrew B. Abel and Janice C. Eberly
University of Pennsylvania - Finance Department and Northwestern University - Kellogg School of Management
Downloads 102 (350,000)
Citation 53

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8.

Optimal Taxation When Consumers Have Benchmark Levels of Consumption

Number of pages: 36 Posted: 03 Oct 2001
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 98 (359,224)

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Benchmark level of consumption, social security, capital income tax

9.

The Present Value of Profits and Cyclical Movements in Investment

NBER Working Paper No. w1122
Number of pages: 53 Posted: 27 Dec 2001 Last Revised: 26 Jan 2022
University of Pennsylvania - Finance Department and National Bureau of Economic Research (NBER)Peterson Institute for International Economics
Downloads 87 (386,858)
Citation 14

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10.

Investment and Sales: Some Empirical Evidence

NBER Working Paper No. w2050
Number of pages: 41 Posted: 08 Jun 2004 Last Revised: 07 Feb 2022
University of Pennsylvania - Finance Department and National Bureau of Economic Research (NBER)Peterson Institute for International Economics
Downloads 76 (418,508)

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11.

Optimal Investment with Costly Reversibility

NBER Working Paper No. w5091
Number of pages: 54 Posted: 19 Jul 2000 Last Revised: 01 Dec 2021
Andrew B. Abel and Janice C. Eberly
University of Pennsylvania - Finance Department and Northwestern University - Kellogg School of Management
Downloads 75 (421,509)
Citation 29

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An Analytic Framework for Interpreting Investment Regressions in the Presence of Financial Constraints

Number of pages: 56 Posted: 09 Apr 2020
Andrew B. Abel and Stavros Panageas
University of Pennsylvania - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 60 (480,222)

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Financial Constraints, Investment, Payout Policy, Investment Cash-flow Sensitivity, Average and Marginal q

An Analytic Framework for Interpreting Investment Regressions in the Presence of Financial Constraints

NBER Working Paper No. w26898
Number of pages: 57 Posted: 30 Mar 2020 Last Revised: 31 Dec 2021
Andrew B. Abel and Stavros Panageas
University of Pennsylvania - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 11 (787,071)

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13.

An Integrated View of Tests of Rationality, Market Efficiency, and the Short-Run Neutrality of Monetary Policy

NBER Working Paper No. w0726
Number of pages: 42 Posted: 10 Nov 2002 Last Revised: 27 Dec 2021
Andrew B. Abel and Frederic S. Mishkin
University of Pennsylvania - Finance Department and Columbia University - Columbia Business School, Finance
Downloads 68 (444,348)

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14.

Stock Prices Under Time-Varying Dividend Risk: an Exact Solution in an Infinite-Horizon General Equilibrium Model

NBER Working Paper No. w2621
Number of pages: 30 Posted: 04 Jul 2004 Last Revised: 02 Mar 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 66 (451,245)
Citation 4

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15.

Asset Prices Under Habit Formation and Catching Up with the Joneses

NBER Working Paper No. w3279
Number of pages: 20 Posted: 28 Dec 2006 Last Revised: 19 Dec 2021
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 65 (454,778)
Citation 76

Abstract:

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16.

The Failure of Ricardian Equivalence Under Progressive Wealth Taxation

NBER Working Paper No. w1983
Number of pages: 17 Posted: 09 Jul 2004 Last Revised: 04 Dec 2021
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 59 (477,016)
Citation 1

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17.

Consumption and Investment

NBER Working Paper No. w2580
Number of pages: 66 Posted: 26 Jul 2010 Last Revised: 20 Jan 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 58 (480,870)

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18.

Optimal Inattention to the Stock Market with Information Costs and Transactions Costs

NBER Working Paper No. w15010
Number of pages: 41 Posted: 01 Jun 2009 Last Revised: 18 Feb 2022
Andrew B. Abel, Janice C. Eberly and Stavros Panageas
University of Pennsylvania - Finance Department, Northwestern University - Kellogg School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 55 (492,489)
Citation 27

Abstract:

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19.

Dynamic Behavior of Capital Accumulation in a Cash-in-Advance Model

NBER Working Paper No. w1549
Number of pages: 28 Posted: 12 Apr 2004 Last Revised: 28 Mar 2021
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 53 (500,743)
Citation 2

Abstract:

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20.

Risk Premia and Term Premia in General Equilibrium

NBER Working Paper No. w6683
Number of pages: 46 Posted: 12 Nov 1998 Last Revised: 07 Apr 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 52 (504,927)

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The Effects of Irreversibility and Uncertainty on Capital Accumulation

NBER Working Paper No. w5363
Number of pages: 44 Posted: 22 Jun 2000 Last Revised: 27 Feb 2022
Andrew B. Abel and Janice C. Eberly
University of Pennsylvania - Finance Department and Northwestern University - Kellogg School of Management
Downloads 50 (522,568)

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The Effects of Irreversibility and Uncertainty on Capital Accumulation

21-95
Posted: 13 Jul 1998
Andrew B. Abel and Janice C. Eberly
University of Pennsylvania - Finance Department and Northwestern University - Kellogg School of Management

Abstract:

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22.

The Mix and Scale of Factors with Irreversibility and Fixed Costs of Investment

NBER Working Paper No. w6148
Number of pages: 51 Posted: 14 Jun 2000 Last Revised: 21 Apr 2022
Andrew B. Abel and Janice C. Eberly
University of Pennsylvania - Finance Department and Northwestern University - Kellogg School of Management
Downloads 45 (535,931)
Citation 2

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23.

Optimal Debt and Profitability in the Tradeoff Theory

NBER Working Paper No. w21548
Number of pages: 74 Posted: 14 Sep 2015 Last Revised: 19 May 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 44 (540,736)
Citation 4

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24.

Social Distancing, Vaccination and the Paradoxical Optimality of an Endemic Equilibrium

Number of pages: 58 Posted: 21 Apr 2021
Andrew B. Abel and Stavros Panageas
University of Pennsylvania - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 43 (545,509)
Citation 1

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Covid, SIR epidemiological model, Vital Dynamics, Endemic Equilibrium, Vaccination, Externalities

25.

A Stochastic Model of Investment, Marginal Q and the Market Value of Thefirm

NBER Working Paper No. w1484
Number of pages: 34 Posted: 09 Mar 2004 Last Revised: 22 Jan 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 42 (550,450)
Citation 1

Abstract:

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26.

Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle

NBER Working Paper No. w4110
Number of pages: 31 Posted: 09 Jan 2007 Last Revised: 27 Mar 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 40 (560,411)

Abstract:

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27.

Equity Premia with Benchmark Levels of Consumption: Closed-Form Results

NBER Working Paper No. w12290
Number of pages: 50 Posted: 16 Jun 2006 Last Revised: 31 Jan 2021
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 39 (565,466)

Abstract:

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28.

Accelerated Depreciation and the Efficacy of Temporary Fiscal Policy: Implications for an Inflationary Economy

NBER Working Paper No. w0596
Number of pages: 35 Posted: 17 May 2001 Last Revised: 18 Feb 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 37 (575,817)

Abstract:

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29.

Optimal Capital Income Taxation

NBER Working Paper No. w13354
Number of pages: 40 Posted: 27 Aug 2007 Last Revised: 29 Dec 2021
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 36 (581,343)

Abstract:

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30.

Inventories, Stock-Outs, and Production Smoothing

NBER Working Paper No. w1563
Number of pages: 23 Posted: 08 Jun 2004 Last Revised: 11 Apr 2021
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 36 (581,343)
Citation 3

Abstract:

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31.

Optimal Monetary Growth

NBER Working Paper No. w2136
Number of pages: 20 Posted: 15 Mar 2007 Last Revised: 05 May 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 34 (592,274)
Citation 2

Abstract:

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32.

An Exact Soultion for the Investment and Market Value of a Firm Facing Uncertainty, Adjustment Costs, and Irreversibility

NBER Working Paper No. w4412
Number of pages: 26 Posted: 27 Dec 2006 Last Revised: 22 Jan 2022
Andrew B. Abel and Janice C. Eberly
University of Pennsylvania - Finance Department and Northwestern University - Kellogg School of Management
Downloads 34 (592,274)

Abstract:

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33.

On the Invariance of the Rate of Return to Convex Adjustment Costs

NBER Working Paper No. w8635
Number of pages: 21 Posted: 13 Feb 2003 Last Revised: 05 Feb 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 34 (592,274)

Abstract:

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34.

The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks

NBER Working Paper No. w7739
Number of pages: 46 Posted: 12 Jun 2000 Last Revised: 24 Feb 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 34 (592,274)
Citation 3

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The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation

NBER Working Paper No. w6991
Number of pages: 47 Posted: 29 Mar 1999 Last Revised: 07 Feb 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 34 (606,629)

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The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation

Rodney L. White Center for Financial Research WP 03-99
Posted: 29 Mar 1999
Andrew B. Abel
University of Pennsylvania - Finance Department

Abstract:

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36.

Social Distancing, Vaccination and the Paradoxical Optimality of an Endemic Equilibrium

NBER Working Paper No. w27742
Number of pages: 59 Posted: 31 Aug 2020 Last Revised: 21 Oct 2021
Andrew B. Abel and Stavros Panageas
University of Pennsylvania - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 32 (603,700)

Abstract:

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37.

Operative Gift and Bequest Motives

NBER Working Paper No. w2331
Number of pages: 23 Posted: 19 Aug 2004 Last Revised: 16 May 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 31 (609,625)
Citation 1

Abstract:

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38.

The Implications of Insurance for the Efficacy of Fiscal Policy

NBER Working Paper No. w2517
Number of pages: 68 Posted: 16 Jul 2004 Last Revised: 20 May 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 31 (609,625)

Abstract:

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39.

Does the Consumption of Different Age Groups Move Together? a New Nonparametric Test of Intergenerational Altruism

NBER Working Paper No. w2490
Number of pages: 35 Posted: 06 Apr 2007 Last Revised: 23 Apr 2022
Andrew B. Abel and Laurence J. Kotlikoff
University of Pennsylvania - Finance Department and Boston University - Department of Economics
Downloads 30 (615,759)

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40.

Capital Accumulation and Uncertain Lifetimes with Adverse Selection

NBER Working Paper No. w1664
Number of pages: 30 Posted: 06 Apr 2004 Last Revised: 19 Jan 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 30 (615,759)
Citation 2

Abstract:

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41.

Fiscal Policy with Impure Intergenerational Altruism

NBER Working Paper No. w2613
Number of pages: 71 Posted: 03 May 2004 Last Revised: 21 Feb 2022
Andrew B. Abel and B. Douglas Bernheim
University of Pennsylvania - Finance Department and Stanford University - Department of Economics
Downloads 29 (621,985)

Abstract:

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42.

Specification of the Joy of Giving: Insights from Altruism

NBER Working Paper No. w2154
Number of pages: 23 Posted: 21 Mar 2007 Last Revised: 23 May 2021
Andrew B. Abel and Mark J. Warshawsky
University of Pennsylvania - Finance Department and Towers Watson
Downloads 28 (628,290)

Abstract:

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43.

An Analysis of Fiscal Policy Under Operative and Inoperative Bequest Motives

NBER Working Paper No. w2298
Number of pages: 19 Posted: 18 Aug 2004 Last Revised: 14 Apr 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 27 (634,801)

Abstract:

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44.

Bequests and Social Security with Uncertain Lifetimes

NBER Working Paper No. w1372
Number of pages: 42 Posted: 06 Apr 2004 Last Revised: 03 Apr 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 27 (634,801)

Abstract:

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45.

Optimal Taxation When Consumers Have Endogenous Benchmark Levels of Consumption

NBER Working Paper No. w10099
Number of pages: 67 Posted: 17 Nov 2003 Last Revised: 05 Feb 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 27 (634,801)
Citation 2

Abstract:

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46.

Aggregate Savings in the Presence of Private and Social Insurance

NBER Working Paper No. w1873
Number of pages: 39 Posted: 15 Mar 2004 Last Revised: 14 Feb 2021
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 26 (641,704)

Abstract:

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47.

Birth, Death and Taxes

NBER Working Paper No. w2953
Number of pages: 26 Posted: 29 Dec 2006 Last Revised: 27 Jan 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 21 (677,531)

Abstract:

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48.

The Analytics of Investment, Q, and Cash Flow

NBER Working Paper No. w21549
Number of pages: 42 Posted: 14 Sep 2015 Last Revised: 20 May 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 18 (700,185)

Abstract:

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49.

Precautionary Saving in a Financially-Constrained Firm

NBER Working Paper No. w26628
Number of pages: 51 Posted: 13 Jan 2020 Last Revised: 04 Apr 2022
Andrew B. Abel and Stavros Panageas
University of Pennsylvania - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 11 (758,352)
Citation 1

Abstract:

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50.

Crowding Out in Ricardian Economies

NBER Working Paper No. w21550
Number of pages: 32 Posted: 14 Sep 2015 Last Revised: 21 May 2022
Andrew B. Abel
University of Pennsylvania - Finance Department
Downloads 9 (776,275)

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51.

Financing Losers in Competitive Markets

Posted: 27 Oct 1999
Andrew B. Abel and George J. Mailath
University of Pennsylvania - Finance Department and University of Pennsylvania - Department of Economics

Abstract:

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