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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
Link(s): 
Office: 
541
Curriculum vitae: 
PDF icon resume-anisha-ghosh.pdf
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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