Asset Returns and State-Dependent Risk Preferences

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Asset Returns and State-Dependent Risk Preferences

Author Info

Gordon S.
St-Amour P.

Additional information is available for the following registered author(s):

Stephen Gordon

Abstract

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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 22 (2004)
Issue (Month): (July)
Pages: 241-252
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Handle: RePEc:bes:jnlbes:v:22:y:2004:p:241-252

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Paper
- Stephen Gordon & Pascal St-Amour, 2003. "Asset Returns and State-Dependent Risk Preferences," CIRANO Working Papers 2003s-09, CIRANO. [Downloadable!]
- Gordon, Stephen & St-Amour, Pascal, 2003. "Asset Returns and State-Dependent Risk Preferences," Cahiers de recherche 0316, CIRPEE. [Downloadable!]

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, School of Economics and Management, University of Aarhus. [Downloadable!]
Other versions:
- Tim Bollerslev & Michael Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
- Hao Zhou & Tim Bollerslev & Michael Gibson, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics. [Downloadable!]
Other versions:
- Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 806-830, October. [Downloadable!] (restricted)
Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, School of Economics and Management, University of Aarhus. [Downloadable!]
Other versions:
- Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, School of Economics and Management, University of Aarhus. [Downloadable!]
Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005. [Downloadable!]
Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Martin Lettau & Sydney C. Ludvigson, 2005. "Euler Equation Errors," NBER Working Papers 11606, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Sydney C. Ludvigson & Martin Lettau, 2005. "Euler Equation Errors," 2005 Meeting Papers 487, Society for Economic Dynamics. [Downloadable!]
- Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho. [Downloadable!]

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