Anisha Ghosh

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

SCHOLARLY PAPERS

10

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2,027

SSRN CITATIONS
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Top 6,667

in Total Papers Citations

85

CROSSREF CITATIONS

113

Scholarly Papers (10)

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 404 (94,089)
Citation 22

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

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 262 (151,101)

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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 78 (398,287)

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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 51 (495,925)
Citation 5

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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: 20 Sep 2021
Anisha Ghosh and George M. Constantinides
McGill University and University of Chicago - Booth School of Business
Downloads 23 (655,949)

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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 360 (108,243)
Citation 30

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Entropy Bounds, Multiplicative Decomposition of Pricing Kernel

4.
Downloads 6 (120,348)
Citation 51

Can Rare Events Explain the Equity Premium Puzzle?

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 (797,420)
Citation 10
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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

5.
Downloads 257 (154,736)
Citation 1

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 209 (188,332)
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: 26 Nov 2021
Anisha Ghosh and George M. Constantinides
McGill University and University of Chicago - Booth School of Business
Downloads 48 (509,334)

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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 197 (198,966)

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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: 13 Dec 2021
George M. Constantinides and Anisha Ghosh
University of Chicago - Booth School of Business and McGill University
Downloads 8 (779,918)
Citation 17

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7.

Identifying Beliefs from Asset Prices

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 89 Posted: 17 Jun 2019 Last Revised: 16 Jun 2020
Anisha Ghosh and Guillaume Roussellet
McGill University and McGill University - Desautels Faculty of Management
Downloads 189 (206,661)
Citation 9

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

8.

Recovering Heterogeneous Beliefs and Preferences from Asset Prices

Number of pages: 48 Posted: 20 Jul 2020
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 145 (258,488)
Citation 1

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

9.

Properties of Subjective Beliefs Estimators

Number of pages: 27 Posted: 17 Mar 2021
McGill University, London School of Economics & Political Science (LSE) - Department of Economics and McGill University - Desautels Faculty of Management
Downloads 28 (602,901)

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

10.

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 2021
Anisha Ghosh and George M. Constantinides
McGill University and University of Chicago - Booth School of Business
Downloads 19 (664,678)

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