Anisha Ghosh

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

SCHOLARLY PAPERS

11

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112

Scholarly Papers (11)

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

CRSP Working Paper Forthcoming, Chicago Booth Research Paper No. 10-26
Number of pages: 42 Posted: 06 Jul 2010 Last Revised: 06 Sep 2012
Anisha Ghosh and George M. Constantinides
McGill University and University of Chicago - Booth School of Business
Downloads 284 (190,419)

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Return Predictability, Consumption Growth Predictability, Dividend Growth Predictability, Regime Shifts, Cross-Section of Returns, Equity Premium, Size Premium, Value Premium

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

Number of pages: 39 Posted: 16 Mar 2010
Anisha Ghosh and George M. Constantinides
McGill University and University of Chicago - Booth School of Business
Downloads 99 (474,320)

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Return Predictability, Consumption Growth Predictability, Dividend Growth Predictability, Regime Shifts, Cross-Section of Returns

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

Number of pages: 45 Posted: 19 Mar 2011
Anisha Ghosh and George M. Constantinides
McGill University and University of Chicago - Booth School of Business
Downloads 71 (583,652)
Citation 6

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Return Predictability, Consumption Growth Predictability, Dividend Growth Predictability, Regime Shifts, Cross-Section of Returns, Equity Premium, Size Premium, Value Premium

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

NBER Working Paper No. w16183
Number of pages: 42 Posted: 12 Jul 2010 Last Revised: 22 Mar 2023
Anisha Ghosh and George M. Constantinides
McGill University and University of Chicago - Booth School of Business
Downloads 47 (717,111)

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Asset Pricing Tests with Long Run Risks in Consumption Growth

Fama-Miller Working Paper , Chicago Booth Working Paper 11-25
Number of pages: 76 Posted: 16 Mar 2008 Last Revised: 27 Jul 2011
George M. Constantinides and Anisha Ghosh
University of Chicago - Booth School of Business and McGill University
Downloads 445 (115,759)
Citation 22

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Long Run Risks, Equity Premium, Cross-Section of Asset Returns, Cointegration, Latent State Variables

3.

What is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

AFA 2012 Chicago Meetings Paper
Number of pages: 43 Posted: 19 Mar 2011
McGill University, London School of Economics & Political Science (LSE) - Department of Finance and Alliance Manchester Business School
Downloads 416 (126,596)
Citation 47

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Entropy Bounds, Multiplicative Decomposition of Pricing Kernel

4.

Identifying Beliefs from Asset Prices

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 69 Posted: 17 Jun 2019 Last Revised: 27 Apr 2023
Anisha Ghosh and Guillaume Roussellet
McGill University and McGill University - Desautels Faculty of Management
Downloads 395 (134,251)
Citation 9

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Rational Expectations, Subjective Beliefs, Survey Forecasts, Pricing Kernel, Conditioning Set, Relative Entropy Minimization.

5.
Downloads 6 (145,314)
Citation 60

Can Rare Events Explain the Equity Premium Puzzle?

CEPR Discussion Paper No. DP8899
Number of pages: 53 Posted: 04 Apr 2012
Anisha Ghosh and Christian Julliard
McGill University and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 6 (1,085,914)
Citation 22
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Calibration, Cross-Section of Asset Returns, Equity Premium Puzzle, Generalized Empirical Likelihood, Peso Phenomenon, Rare Disasters, Rare Events, Semi-parametric Bayesian Inference

6.
Downloads 315 (171,895)
Citation 2

What Information Drives Asset Prices?

Chicago Booth Research Paper No. 17-23
Number of pages: 81 Posted: 09 Aug 2017
Anisha Ghosh and George M. Constantinides
McGill University and University of Chicago - Booth School of Business
Downloads 244 (221,934)
Citation 1

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macroeconomic news, learning models, CPI, earnings per hour, asset pricing

What Information Drives Asset Prices?

NBER Working Paper No. w23689
Number of pages: 81 Posted: 21 Aug 2017 Last Revised: 25 Mar 2023
Anisha Ghosh and George M. Constantinides
McGill University and University of Chicago - Booth School of Business
Downloads 71 (583,652)
Citation 1

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7.

Recovering Heterogeneous Beliefs and Preferences from Asset Prices

Number of pages: 47 Posted: 20 Jul 2020 Last Revised: 14 Dec 2022
Anisha Ghosh, Arthur G. Korteweg and Qing Xu
McGill University, University of Southern California - Marshall School of Business and McGill University, Desautels Faculty of Management, Students
Downloads 292 (186,166)
Citation 1

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asset pricing, beliefs, preferences, heterogeneity, business cycle, rational expectations, behavioral finance, smoothed empirical likelihood

Asset Pricing with Countercyclical Household Consumption Risk

Fama-Miller Working Paper, Chicago Booth Research Paper No. 14-06
Number of pages: 61 Posted: 15 Feb 2014 Last Revised: 11 Aug 2015
George M. Constantinides and Anisha Ghosh
University of Chicago - Booth School of Business and McGill University
Downloads 232 (233,243)

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household consumption risk, incomplete consumption insurance, idiosyncratic income shocks, asset pricing, equity premium puzzle, risk free rate puzzle, excess volatility puzzle

Asset Pricing with Countercyclical Household Consumption Risk

NBER Working Paper No. w20110
Number of pages: 80 Posted: 14 May 2014 Last Revised: 14 Jun 2023
George M. Constantinides and Anisha Ghosh
University of Chicago - Booth School of Business and McGill University
Downloads 22 (920,533)
Citation 46

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9.

Properties of Subjective Beliefs Estimators

Number of pages: 38 Posted: 17 Mar 2021 Last Revised: 06 Dec 2022
Anisha Ghosh and Taisuke Otsu
McGill University and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 76 (554,144)

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Rational Expectations, Behavioral Biases, Pricing Kernel, Conditioning Set, Relative Entropy Minimization

10.

Consumption Partial Insurance in the Presence of Tail Income Risk

Number of pages: 64 Posted: 28 Jun 2023
Anisha Ghosh and Alexandros Theloudis
McGill University and Tilburg University
Downloads 41 (739,946)
Citation 1

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Income risk, skewness, kurtosis, consumption, partial insurance, PSID

11.

Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes

NBER Working Paper No. w20678
Number of pages: 41 Posted: 17 Nov 2014 Last Revised: 03 Jul 2022
Anisha Ghosh and George M. Constantinides
McGill University and University of Chicago - Booth School of Business
Downloads 34 (790,595)

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