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Risk Aversion and Stock Price Sensitivity to Dividends

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  • Hagiwara, May
  • Herce, Miguel A
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    Bibliographic Info

    Article provided by American Economic Association in its journal American Economic Review.

    Volume (Year): 87 (1997)
    Issue (Month): 4 (September)
    Pages: 738-45

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    Handle: RePEc:aea:aecrev:v:87:y:1997:i:4:p:738-45

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    Cited by:
    1. repec:ebl:ecbull:v:30:y:2010:i:1:p:182-191 is not listed on IDEAS
    2. Sen, Amit & Hall, Alastair, 1999. "Two further aspects of some new tests for structural stability," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 431-443, December.
    3. Orazio Attanasio & James Banks & Sarah Tanner, 1998. "Asset Holding and Consumption Volatility," NBER Working Papers 6567, National Bureau of Economic Research, Inc.
    4. Haug, Jørgen & Hens, Thorsten & Wöhrmann, Peter, 2011. "Risk Aversion in the Large and in the Small," Discussion Papers 2011/12, Department of Business and Management Science, Norwegian School of Economics.
    5. Raymond Kan & Cesare Robotti, 2008. "The exact distribution of the Hansen-Jagannathan bound," Working Paper 2008-09, Federal Reserve Bank of Atlanta.
    6. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
    7. Stefano Athanasoulis & Oren Sussman, 2007. "Habit formation and the equity–premium puzzle: a skeptical view," Annals of Finance, Springer, vol. 3(2), pages 193-212, March.
    8. Brennan, Michael & Xia, Yihong, 1997. "Stock Price Volatility, Learning, and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3zw2w634, Anderson Graduate School of Management, UCLA.
    9. Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(4), pages 324-346, September.
    10. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 249-283, April.
    11. Pennings, Joost M. E., 2002. "Pulling the trigger or not: Factors affecting behavior of initiating a position in derivatives markets," Journal of Economic Psychology, Elsevier, vol. 23(2), pages 263-278, April.
    12. Haug, Jørgen & Hens, Thorsten & Woehrmann, Peter, 2013. "Risk aversion in the large and in the small," Economics Letters, Elsevier, vol. 118(2), pages 310-313.

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