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Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations

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  • Ferson, Wayne E.
  • Merrick, John Jr.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 18 (1987)
    Issue (Month): 1 (March)
    Pages: 127-146

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    Handle: RePEc:eee:jfinec:v:18:y:1987:i:1:p:127-146

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    Web page: http://www.elsevier.com/locate/inca/505576

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    Cited by:
    1. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
    2. Grant McQueen & V. Vance Roley, 1990. "Stock Prices, News, and Business Conditions," NBER Working Papers 3520, National Bureau of Economic Research, Inc.
    3. William P. Osterberg, 1992. "Debt, collateral, and U.S. manufacturing investment: 1954-1980," Working Paper 9210, Federal Reserve Bank of Cleveland.
    4. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2006. "Risk, Uncertainty and Asset Prices," CEPR Discussion Papers 5947, C.E.P.R. Discussion Papers.
    5. Chr├ętien, St├ęphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
    6. Bekaert, Geert & Liu, Jun, 2001. "Conditioning Information and Variance on Pricing Kernals," University of California at Los Angeles, Anderson Graduate School of Management qt9m7392rq, Anderson Graduate School of Management, UCLA.
    7. Evans, Paul & Hasan, Iftekhar, 1998. "The consumption-based capital asset pricing model: International evidence," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 1-21, January.
    8. Li, Yuming, 2001. "Expected Returns and Habit Persistence," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 861-99.

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