Martin Lettau Citations at IDEAS
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and download statistics Working papers
Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007.
"Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows ,"
NBER Working Papers
12912, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Cited by:
Sydney Ludvigson, 2008.
"The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia ,"
EconomicDynamics Newsletter ,
Review of Economic Dynamics, vol. 9(2), April.
[Downloadable!]
Lars Peter Hansen, 2007.
"Beliefs, Doubts and Learning: Valuing Economic Risk ,"
NBER Working Papers
12948, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Long Chen & Lu Zhang, 2007.
"Neoclassical Factors ,"
NBER Working Papers
13282, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Xavier Gabaix, 2007.
"Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices ,"
NBER Working Papers
13430, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Martin Lettau & Stijn Van Nieuwerburgh, 2006.
"Reconciling the Return Predictability Evidence ,"
NBER Working Papers
12109, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Cited by:
Borja Larrain & Motohiro Yogo, 2007.
"Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow? ,"
NBER Working Papers
12847, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:Borja Larrain & Motohiro Yogo, 2005.
"Does firm value move too much to be justified by subsequent changes in cash flow? ,"
Working Papers
05-18, Federal Reserve Bank of Boston.
[Downloadable!]
Larrain, Borja & Yogo, Motohiro, 2008.
"Does firm value move too much to be justified by subsequent changes in cash flow ,"
Journal of Financial Economics ,
Elsevier, vol. 87(1), pages 200-226, January.
[Downloadable!] (restricted)
Hui Guo & Robert Savickas, 2006.
"Understanding stock return predictability ,"
Working Papers
2006-019, Federal Reserve Bank of St. Louis.
[Downloadable!]
John M Maheu & Thomas H McCurdy, 2007.
"How useful are historical data for forecasting the long-run equity return distribution? ,"
Working Papers
tecipa-293, University of Toronto, Department of Economics.
[Downloadable!]
Other versions:
Martin Lettau & Jessica Wachter, 2005.
"Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium ,"
NBER Working Papers
11144, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Cited by:
Tobias Adrian & Joshua Rosenberg, 2006.
"Stock returns and volatility: pricing the short-run and long-run components of market risk ,"
Staff Reports
254, Federal Reserve Bank of New York.
[Downloadable!]
Lars Peter Hansen & Jose Scheinkman, 2006.
"Long Term Risk: An Operator Approach ,"
NBER Working Papers
12650, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: 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)
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)
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)
Hui Guo & Robert Savickas, 2006.
"The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries ,"
Working Papers
2006-036, Federal Reserve Bank of St. Louis.
[Downloadable!]
Lars Peter Hansen & John Heaton & Nan Li, 2005.
"Consumption Strikes Back?: Measuring Long-Run Risk ,"
NBER Working Papers
11476, National Bureau of Economic Research, Inc.
Hui Guo & Robert Savickas, 2006.
"Aggregate idiosyncratic volatility in G7 countries ,"
Working Papers
2004-027, Federal Reserve Bank of St. Louis.
[Downloadable!]
Hanno Lustig, .
"Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh) ,"
UCLA Economics Online Papers
389, UCLA Department of Economics.
[Downloadable!]
Tano Santos & Pietro Veronesi, 2005.
"Cash-Flow Risk, Discount Risk, and the Value Premium ,"
NBER Working Papers
11816, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Jessica A. Wachter, 2005.
"Solving Models with External Habit ,"
NBER Working Papers
11559, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Martin Lettau & Sydney C. Ludvigson, 2005.
"Euler Equation Errors ,"
NBER Working Papers
11606, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Other versions:
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
4922, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Lettau, Martin & Ludvigson, Sydney, 2005.
"Euler Equation Errors ,"
CEPR Discussion Papers
5245, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Cited by:
Raghu Suryanarayanan, 2006.
"Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework ,"
CSEF Working Papers
162, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy.
[Downloadable!]
Sydney Ludvigson, 2008.
"The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia ,"
EconomicDynamics Newsletter ,
Review of Economic Dynamics, vol. 9(2), April.
[Downloadable!]
Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007.
"Rational Pessimism, Rational Exuberance, and Asset Pricing Models ,"
NBER Working Papers
13107, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004.
"The Declining Equity Premium: What Role Does Macroeconomic Risk Play? ,"
NBER Working Papers
10270, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Other versions: Cited by:
Massimiliano De Santis, 2005.
"Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go? ,"
Money Macro and Finance (MMF) Research Group Conference 2005
5, Money Macro and Finance Research Group.
[Downloadable!]
Sanjay Banerjee & Parantap Basu, 2005.
" Uninsured Risks, Loan Contracts and the Declining Equity Premium ,"
CDMA Conference Paper Series
0502, Centre for Dynamic Macroeconomic Analysis.
[Downloadable!]
Laurent E. Calvet & Adlai J. Fisher, 2006.
"Multifrequency Jump-Diffusions: An Equilibrium Approach ,"
NBER Working Papers
12797, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Ravi Bansal, 2007.
"Long-Run Risks and Financial Markets ,"
NBER Working Papers
13196, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Renatas Kizys & Peter Spencer, 2007.
"Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK ,"
Discussion Papers
07/13, Department of Economics, University of York.
[Downloadable!]
Marie Brière & Ombretta Signori & Kokou Topeglo, 2006.
"Bond Market “Conundrum”: New Factors Explaining Long-term Interest Rates? ,"
Working Papers CEB
06-024.RS, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB).
[Downloadable!]
Lars Peter Hansen & John Heaton & Nan Li, 2005.
"Consumption Strikes Back?: Measuring Long-Run Risk ,"
NBER Working Papers
11476, National Bureau of Economic Research, Inc.
Hanno Lustig & Stijn Van Nieuwerburgh, 2006.
"Can Housing Collateral Explain Long-Run Swings in Asset Returns? ,"
NBER Working Papers
12766, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Kenneth S. Rogoff, 2006.
"Impact of globalization on monetary policy ,"
Proceedings ,
Federal Reserve Bank of Kansas City, pages 265-305.
[Downloadable!]
Massimiliano De Santis, 2005.
"Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR ,"
Money Macro and Finance (MMF) Research Group Conference 2005
62, Money Macro and Finance Research Group.
[Downloadable!]
Keith Sill, 2006.
"Macroeconomic volatility and the equity premium ,"
Working Papers
06-1, Federal Reserve Bank of Philadelphia.
[Downloadable!]
James M. Nason & Gregor W. Smith, 2008.
"Great moderations and U.S. interest rates: unconditional evidence ,"
Working Paper
2008-01, Federal Reserve Bank of Atlanta.
[Downloadable!]
Other versions: Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007.
"The determinants of stock and bond return comovements ,"
Research series
200711-27, National Bank of Belgium.
[Downloadable!]
Peter Spencer, 2007.
"Macro volatility in a model of the UK Gilt edged bond market ,"
Money Macro and Finance (MMF) Research Group Conference 2006
73, Money Macro and Finance Research Group.
[Downloadable!]
Sean D. Campbell, 2005.
"Stock market volatility and the Great Moderation ,"
Finance and Economics Discussion Series
2005-47, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Frode Brevik & Stefano d'Addona, 2005.
"Information Quality and Stock Returns Revisited ,"
Finance
0511006, EconWPA, revised 28 Nov 2005.
[Downloadable!]
Other versions: Andrew B. Abel, 2006.
"Equity Premia with Benchmark Levels of Consumption: Closed-Form Results ,"
NBER Working Papers
12290, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Mark Gertler, 2003.
"Whither monetary and financial stability? : the implications of evolving policy regimes : commentary ,"
Proceedings ,
Federal Reserve Bank of Kansas City, pages 213-223.
[Downloadable!]
Ravi Bansal, 2007.
"Long-run risks and financial markets ,"
Review ,
Federal Reserve Bank of St. Louis, issue Jul, pages 283-300.
[Downloadable!]
John M Maheu & Thomas H McCurdy, 2007.
"How useful are historical data for forecasting the long-run equity return distribution? ,"
Working Papers
tecipa-293, University of Toronto, Department of Economics.
[Downloadable!]
Other versions: Renatas Kizys & Peter Spencer, 2007.
"Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities ,"
Money Macro and Finance (MMF) Research Group Conference 2006
140, Money Macro and Finance Research Group.
[Downloadable!]
Christian Calmès & Ying Liu, 2005.
"Financial Structure Change and Banking Income: a Canada-U.S. Comparison ,"
RePAd Working Paper Series
UQO-DSA-wp0302005, Département des sciences administratives, UQO.
[Downloadable!]
Martin Lettau & Sydney Ludvigson, 2003.
"Expected Returns and Expected Dividend Growth ,"
NBER Working Papers
9605, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Other versions: Published as: Cited by:
Anne Vila Wetherilt & Simon Wells, .
"Long-horizon equity return predictability: some new evidence for the United Kingdom ,"
Bank of England working papers
244, Bank of England.
[Downloadable!]
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)
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)
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)
John H. Cochrane, 2006.
"The Dog That Did Not Bark: A Defense of Return Predictability ,"
NBER Working Papers
12026, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Lettau, Martin & Wachter, Jessica, 2005.
"Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium ,"
CEPR Discussion Papers
4921, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Simon Price & Christoph Schleicher, .
"Returns to equity, investment and Q: evidence from the United Kingdom ,"
Bank of England working papers
310, Bank of England.
[Downloadable!]
Mathias Hoffmann, 2005.
"Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns ,"
Computing in Economics and Finance 2005
229, Society for Computational Economics.
[Downloadable!]
Other versions: Andrew Vivian, 2005.
"The Equity Premium: 101 years of Empirical Evidence from the UK ,"
Money Macro and Finance (MMF) Research Group Conference 2005
92, Money Macro and Finance Research Group.
[Downloadable!]
Simon Price, 2004.
"UK investment and the return to equity: Q redux ,"
Money Macro and Finance (MMF) Research Group Conference 2004
87, Money Macro and Finance Research Group.
[Downloadable!]
Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005.
"The Myth of Long-Horizon Predictability ,"
NBER Working Papers
11841, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008.
"The Wealth-Consumption Ratio ,"
NBER Working Papers
13896, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002.
"Interpretable Asset Markets? ,"
NBER Working Papers
9383, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:Bansal, Ravi & Khatchatrian, Varoujan & Yaron, Amir, 2005.
"Interpretable asset markets? ,"
European Economic Review ,
Elsevier, vol. 49(3), pages 531-560, April.
[Downloadable!] (restricted)
Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004.
"Interpretable Asset Markets? ,"
2004 Meeting Papers
136b, Society for Economic Dynamics.
[Downloadable!]
Wiliam Branch & George W. Evans, 2006.
"Asset Return Dynamics and Learning ,"
University of Oregon Economics Department Working Papers
2006-14, University of Oregon Economics Department.
[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)
Lettau, Martin & Ludvigson, Sydney, 2005.
"Euler Equation Errors ,"
CEPR Discussion Papers
5245, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Sydney C. Ludvigson & Martin Lettau, 2005.
"Euler Equation Errors ,"
2005 Meeting Papers
487, Society for Economic Dynamics.
[Downloadable!]
Martin Lettau & Jessica Wachter, 2005.
"Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium ,"
NBER Working Papers
11144, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Rangvid, Jesper, 2002.
"Output and Expected Returns - a multicountry study ,"
Working Papers
2002-8, Copenhagen Business School, Department of Finance.
[Downloadable!]
Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004.
"The Declining Equity Premium: What Role Does Macroeconomic Risk Play? ,"
NBER Working Papers
10270, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Møller, Stig Vinther, 2008.
"Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns ,"
Finance Research Group Working Papers
F-2008-04, University of Aarhus, Aarhus School of Business, Department of Business Studies.
[Downloadable!]
Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007.
"Rational Pessimism, Rational Exuberance, and Asset Pricing Models ,"
NBER Working Papers
13107, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Martin Lettau & Sydney Ludvigson, 2003.
"Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption ,"
NBER Working Papers
9848, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Published as: Cited by:
Michael Donihue & Andriy Avramenko, 2007.
"Decomposing Consumer Wealth Effects: Evidence on the Role of Real Estate Assets Following the Wealth Cycle of 1990-2002 ,"
Topics in Macroeconomics ,
Berkeley Electronic Press, vol. 7(1), pages 1472-1472.
[Downloadable!] (restricted)
Alexander Ludwig & Torsten Sløk, 2004.
"The Relationship between Stock Prices, House Prices and Consumption in OECD Countries ,"
Topics in Macroeconomics ,
Berkeley Electronic Press, vol. 4(1), pages 1114-1114.
[Downloadable!] (restricted)
Other versions:Alexander Ludwig & Torsten Sløk, 2004.
"The relationship between stock prices, house prices and consumption in OECD countries ,"
MEA discussion paper series
04044, Mannheim Research Institute for the Economics of Aging, University of Mannheim.
[Downloadable!]
Alexander Ludwig & Torsten Sløk, 2004.
"The relationship between stock prices, house prices and consumption in OECD countries ,"
MEA discussion paper series
04044, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim.
[Downloadable!]
Fabio Milani, 2008.
"Learning about the Interdependence between the Macroeconomy and the Stock Market ,"
Working Papers
070819, University of California-Irvine, Department of Economics.
[Downloadable!]
Paul Gao & Kevin X.D. Huang, 2004.
"Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence ,"
Research Working Paper
RWP 04-07, Federal Reserve Bank of Kansas City.
[Downloadable!]
Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005.
"Reexamining the consumption-wealth relationship: the role of model uncertainty ,"
Staff Reports
202, Federal Reserve Bank of New York.
[Downloadable!]
Other versions:Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008.
"Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 40(2-3), pages 341-367, 03.
[Downloadable!] (restricted)
Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005.
"Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty ,"
Discussion Papers in Economics
05/3, Department of Economics, University of Leicester.
[Downloadable!]
Pascal St-Amour, 2005.
"Direct Preference for Wealth in Aggregate Household Portfolio ,"
Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP)
05.04, Université de Lausanne, Faculté des HEC, DEEP.
[Downloadable!]
Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005.
"Consumption, wealth and business cycles : why is Germany different? ,"
Discussion Paper Series 1: Economic Studies
2005,16, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Borja Larrain & Motohiro Yogo, 2005.
"Does firm value move too much to be justified by subsequent changes in cash flow? ,"
Working Papers
05-18, Federal Reserve Bank of Boston.
[Downloadable!]
Other versions:Larrain, Borja & Yogo, Motohiro, 2008.
"Does firm value move too much to be justified by subsequent changes in cash flow ,"
Journal of Financial Economics ,
Elsevier, vol. 87(1), pages 200-226, January.
[Downloadable!] (restricted)
Borja Larrain & Motohiro Yogo, 2007.
"Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow? ,"
NBER Working Papers
12847, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Jeremy Rudd & Karl Whelan, 2006.
"Empirical Proxies for the Consumption-Wealth Ratio ,"
Review of Economic Dynamics ,
Elsevier for the Society for Economic Dynamics, vol. 9(1), pages 34-51, January.
[Downloadable!] (restricted)
Piergiorgio Alessandri, 2004.
"Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects? ,"
Birkbeck Working Papers in Economics and Finance
0410, Birkbeck, School of Economics, Mathematics & Statistics.
[Downloadable!]
Peter N. Ireland, 2005.
"The monetary transmission mechanism ,"
Working Papers
06-1, Federal Reserve Bank of Boston.
[Downloadable!]
Other versions: Qiang Zhang, 2006.
"The Spirit of Capitalism and Asset Pricing: an Empirical Investigation ,"
CIRJE F-Series
CIRJE-F-428, CIRJE, Faculty of Economics, University of Tokyo.
[Downloadable!]
Other versions: Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007.
"The Consumption-Wealth Ratio Under Asymmetric Adjustment ,"
NIPE Working Papers
15/2007, NIPE - Universidade do Minho.
[Downloadable!]
Other versions: Ricardo M. Sousa, 2007.
"Expectations, Shocks, and Asset Returns ,"
NIPE Working Papers
29/2007, NIPE - Universidade do Minho.
[Downloadable!]
Ulrich Mueller & Mark W. Watson, 2006.
"Testing Models of Low-Frequency Variability ,"
NBER Working Papers
12671, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Qiang Zhang, 2004.
"Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing ,"
CIRJE F-Series
CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo.
[Downloadable!]
Kevin X.D. Huang & Zheng Liu & Qi Zhu, 2005.
"Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey ,"
Emory Economics
0507, Department of Economics, Emory University (Atlanta).
[Downloadable!]
Other versions: Simon Price & Christoph Schleicher, .
"Returns to equity, investment and Q: evidence from the United Kingdom ,"
Bank of England working papers
310, Bank of England.
[Downloadable!]
Mathias Hoffmann, 2005.
"Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns ,"
Computing in Economics and Finance 2005
229, Society for Computational Economics.
[Downloadable!]
Other versions: Simon Price, 2004.
"UK investment and the return to equity: Q redux ,"
Money Macro and Finance (MMF) Research Group Conference 2004
87, Money Macro and Finance Research Group.
[Downloadable!]
Alpo Willman, 2007.
"Sequential optimization, front-loaded information, and U.S. consumption ,"
Working Paper Series
765, European Central Bank.
[Downloadable!]
Rodney W. Strachan, 2005.
"Bayesian Inference in Cointegrated I (2) Systems: a Generalisation of the Triangular Model ,"
Discussion Papers in Economics
05/14, Department of Economics, University of Leicester.
[Downloadable!]
Other versions: Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2006.
"The Effect of Dividends on Consumption ,"
NBER Working Papers
12288, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Michael R. Donihue & Andriy Avramenko, 2006.
"Decomposing consumer wealth effects: evidence on the role of real estate assets following the wealth cycle of 1990-2002 ,"
Working Papers
06-15, Federal Reserve Bank of Boston.
[Downloadable!]
Jiri Slacalek, 2006.
"International Wealth Effects ,"
Computing in Economics and Finance 2006
425, Society for Computational Economics.
[Downloadable!]
Other versions: Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006.
"Temptation and self-control: some evidence and applications ,"
Staff Report
367, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions: Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006.
"The Declining Equity Premium: What Role Does Macroeconomic Risk Play? ,"
CEPR Discussion Papers
5519, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Christopher D. Carroll & Misuzu Otsuka & Jirka Slacalek, 2006.
"How Large Is the Housing Wealth Effect? A New Approach ,"
Economics Working Paper Archive
535, The Johns Hopkins University,Department of Economics.
[Downloadable!]
Other versions: Stephen Millard & John Power, .
"The effects of stock market movements on consumption and investment: does the shock matter? ,"
Bank of England working papers
236, Bank of England.
[Downloadable!]
Mark Gertler, 2003.
"Whither monetary and financial stability? : the implications of evolving policy regimes : commentary ,"
Proceedings ,
Federal Reserve Bank of Kansas City, pages 213-223.
[Downloadable!]
Thomas Nitschka, 2005.
"The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability ,"
Money Macro and Finance (MMF) Research Group Conference 2005
22, Money Macro and Finance Research Group.
[Downloadable!]
Ludwig, Alexander & Sløk, Torsten, 2004.
"The relationship between stock prices, house prices and consumption in OECD ,"
Sonderforschungsbereich 504 Publications
04-12, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
[Downloadable!]
Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2005.
"Consumption, Wealth and Business Cycles in Germany ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo GmbH.
[Downloadable!]
John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk ,"
NBER Working Papers
7590, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Published as: Cited by:
Hau, Harald, 2002.
"The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse ,"
CEPR Discussion Papers
3651, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Steven J. Davis & John Haltiwanger & Ron Jarmin & Javier Miranda, 2006.
"Volatility and Dispersion in Business Growth Rates: Publicly Traded versus Privately Held Firms ,"
NBER Working Papers
12354, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Chris Stivers & Licheng Sun, 2002.
"Stock market uncertainty and the relation between stock and bond returns ,"
Working Paper
2002-3, Federal Reserve Bank of Atlanta.
[Downloadable!]
Riza Demirer & Donald Lien, 2004.
"Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 14(6), pages 447-456, March.
[Downloadable!] (restricted)
Chacko, George & Viceira, Luis M, 2005.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets ,"
CEPR Discussion Papers
4913, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:George CHACKO & Luis M. VICEIRA, 1999.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets ,"
FAME Research Paper Series
rp11, International Center for Financial Asset Management and Engineering.
[Downloadable!]
George Chacko & Luis M. Viceira, 1999.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets ,"
NBER Working Papers
7377, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
George Chacko & Luis M. Viceira, 2005.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 18(4), pages 1369-1402.
[Downloadable!] (restricted)
Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2003.
"Firm-Specific Variation and Openness in Emerging Markets ,"
William Davidson Institute Working Papers Series
2003-623, William Davidson Institute at the University of Michigan Stephen M. Ross Business School.
[Downloadable!]
Other versions: Saadet Kirbas-Kasman & Adnan Kasman, 2003.
"Volatility of ISE and Business Cycle ,"
Central Bank Review ,
Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(1), pages 67-84.
[Downloadable!]
Gatfaoui Hayette, 2004.
"Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation ,"
Finance
0404004, EconWPA.
[Downloadable!]
Hui Guo, 2003.
"On the out-of-sample predictability of stock market returns ,"
Working Papers
2002-008, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Gatfaoui Hayette, 2004.
"How Does Systematic Risk Impact Stocks? A Study On the French Financial Market ,"
Finance
0404003, EconWPA.
[Downloadable!]
Guiso, Luigi & Haliassos, Michalis & Jappelli, Tullio, 2003.
"Household Stockholding in Europe: Where Do We Stand, and Where Do We Go? ,"
CEPR Discussion Papers
3694, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2002.
"Household Stockholding in Europe: Where Do We Stand and Where Do We Go? ,"
CSEF Working Papers
88, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy.
[Downloadable!]
Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2003.
"Household stockholding in Europe: where do we stand and where do we go? ,"
Economic Policy ,
CEPR, CES, MSH, vol. 18(36), pages 123-170, 04.
[Downloadable!] (restricted)
Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2002.
"Household Stockholding in Europe: Where Do We Stand and Where Do We Go? ,"
University of Cyprus Working Papers in Economics
0209, University of Cyprus Department of Economics.
[Downloadable!]
Sushil Bikhchandani & Sunil Sharma, 2001.
"Herd Behavior in Financial Markets ,"
IMF Staff Papers ,
Palgrave Macmillan Journals, vol. 47(3), pages 1.
[Downloadable!] (restricted)
Acharya, Viral V & Bisin, Alberto, 2002.
"Entrepreneurial Incentives in Stock Market Economies ,"
CEPR Discussion Papers
3474, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Claudio Campanale, 2007.
"Learning, Life-Cycle And Entrepreneurial Investment ,"
Working Papers. Serie AD
2006-29, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
[Downloadable!]
Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000.
"The Distribution of Stock Return Volatility ,"
NBER Working Papers
7933, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2003.
"Financial Innovation, Market Participation and Asset Prices ,"
NBER Working Papers
9840, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:Calvet, Laurent & Gonzalez-Eiras, Martin & Sodini, Paolo, 2001.
"Financial Innovation, Market Participation and Asset Prices ,"
Working Paper Series in Economics and Finance
464, Stockholm School of Economics.
[Downloadable!]
Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2001.
"Financial Innovation, Market Participation and Asset Prices ,"
Harvard Institute of Economic Research Working Papers
1928, Harvard - Institute of Economic Research.
[Downloadable!]
Cotter, John, 2004.
"Minimum Capital Requirement Calculations for UK Futures ,"
MPRA Paper
3527, University Library of Munich, Germany.
[Downloadable!]
Lieven Baele & Koen Inghelbrecht, 2005.
"Structural versus Temporary Drivers of Country and Industry Risk ,"
International Finance
0511005, EconWPA.
[Downloadable!]
Other versions: Gary Gorton & Ping He, 2006.
"Agency-Based Asset Pricing ,"
NBER Working Papers
12084, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Hayette Gatfaoui, 2003.
"How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market ,"
Risk and Insurance
0308004, EconWPA.
[Downloadable!]
Franzoni, Francesco, 2006.
"Where is beta going ? the riskiness of value and small stocks ,"
Les Cahiers de Recherche
829, Groupe HEC.
[Downloadable!]
Steven J. Davis & R. Jason Faberman & John Haltiwanger, 2005.
"The Flow Approach to Labor Markets: New Data Sources, Micro-Macro Links and the Recent Downturn ,"
IZA Discussion Papers
1639, Institute for the Study of Labor (IZA).
[Downloadable!]
C. James Hueng & Ruey Yau, 2006.
"Investor preferences and portfolio selection: is diversification an appropriate strategy? ,"
Quantitative Finance ,
Taylor and Francis Journals, vol. 6(3), pages 255-271, June.
[Downloadable!] (restricted)
Mike Dempsey & Michael E. Drew & Madhu Veeraraghavan, 2001.
"Idiosyncratic Risk And Australian Equity Returns ,"
School of Economics and Finance Discussion Papers and Working Papers Series
096, School of Economics and Finance, Queensland University of Technology.
[Downloadable!]
L. Baele & R. Vander Vennet & A. Van Landschoot, 2004.
"Bank Risk Strategies and Cyclical Variation in Bank Stock Returns ,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
04/217, Ghent University, Faculty of Economics and Business Administration.
[Downloadable!]
Hui Guo & Robert Savickas, 2006.
"The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries ,"
Working Papers
2006-036, Federal Reserve Bank of St. Louis.
[Downloadable!]
Voth, Hans-Joachim, 2002.
"Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period ,"
CEPR Discussion Papers
3254, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Helios Herrera, 2005.
"Sorting in Risk-Aversion and Asset Price Volatility ,"
Levine's Bibliography
172782000000000083, UCLA Department of Economics.
[Downloadable!]
Juan Ignacio Pena & Rosa Rodriguez, 2006.
"On The Economic Link Between Asset Prices And Real Activity ,"
Business Economics Working Papers
wb063209, Universidad Carlos III, Departamento de Economía de la Empresa.
[Downloadable!]
Gregory R. Duffee, 2001.
"Asymmetric cross-sectional dispersion in stock returns: evidence and implications ,"
Working Papers in Applied Economic Theory
2000-18, Federal Reserve Bank of San Francisco.
[Downloadable!]
Jeffrey R. Campbell & Jonas D.M.Fisher, 2000.
"Idiosyncratic Risk and Aggregate Employment Dynamics ,"
NBER Working Papers
7936, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: C.N.V. Krishnan & Peter H. Ritchken & James B. Thomson, 2007.
"On forecasting the term structure of credit spreads ,"
Working Paper
0705, Federal Reserve Bank of Cleveland.
[Downloadable!]
Diego Comin & Thomas Philippon, 2005.
"The Rise in Firm-Level Volatility: Causes and Consequences ,"
NBER Working Papers
11388, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Hui Guo & Robert Savickas, 2006.
"Idiosyncratic volatility, economic fundamentals, and foreign exchange rates ,"
Working Papers
2005-025, Federal Reserve Bank of St. Louis.
[Downloadable!]
Hui Guo, 2002.
"Why are stock market returns correlated with future economic activities? ,"
Review ,
Federal Reserve Bank of St. Louis, issue Mar., pages 19-34.
[Downloadable!]
Larry Epstein & Martin Schneider, 2005.
"Ambiguity, Information Quality and Asset Pricing ,"
RCER Working Papers
519, University of Rochester - Center for Economic Research (RCER).
[Downloadable!]
Other versions:Larry G. Epstein & Martin Schneider, 2008.
"Ambiguity, Information Quality, and Asset Pricing ,"
Journal of Finance ,
American Finance Association, vol. 63(1), pages 197-228, 02.
[Downloadable!] (restricted)
Larry Epstein & Martin Schneider, 2004.
"Ambiguity, Information Quality and Asset Pricing ,"
RCER Working Papers
507, University of Rochester - Center for Economic Research (RCER).
[Downloadable!]
Lin Peng & Wei Xiong, 2005.
"Investor Attention: Overconfidence and Category Learning ,"
NBER Working Papers
11400, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Stanislav Radchenko, 2004.
"Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases ,"
Industrial Organization
0408001, EconWPA.
[Downloadable!]
Other versions: Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2003.
"Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange ,"
School of Economics and Finance Discussion Papers and Working Papers Series
138, School of Economics and Finance, Queensland University of Technology.
[Downloadable!]
Other versions: Gianni De Nicoló & Myron L. Kwast, 2002.
"Systemic Risk and Financial Consolidation: Are they Related? ,"
IMF Working Papers
02/55, International Monetary Fund.
[Downloadable!]
Yasushi Hamao & Jianping Mei & Yexiao Xu, 2003.
"Idiosyncratic Risk and the Creative Destruction in Japan ,"
NBER Working Papers
9642, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Michael Ehrmann & Marcel Fratzscher, 2006.
"Global financial transmission of monetary policy shocks ,"
Working Paper Series
616, European Central Bank.
[Downloadable!]
Other versions: Long Chen & Hui Guo & Lu Zhang, 2006.
"Equity market volatility and expected risk premium ,"
Working Papers
2006-007, Federal Reserve Bank of St. Louis.
[Downloadable!]
Malcolm Baker & Jeffrey Wurgler, 2003.
"A Catering Theory of Dividends ,"
NBER Working Papers
9542, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Elena Andreou & Eric Ghysels, 2000.
"Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results ,"
CIRANO Working Papers
2000s-19, CIRANO.
[Downloadable!]
Other versions:Andreou, Elena & Ghysels, Eric, 2002.
"Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(3), pages 363-76, July.
Robert-Paul Berben & W. Jos Jansen, 2005.
"Bond Market and Stock Market Integration in Europe ,"
DNB Working Papers
060, Netherlands Central Bank, Research Department.
[Downloadable!]
Hui Guo & Robert Savickas, 2006.
"Aggregate idiosyncratic volatility in G7 countries ,"
Working Papers
2004-027, Federal Reserve Bank of St. Louis.
[Downloadable!]
Dimitrios D. Thomakos & Michail S. Koubouros, 2005.
"Realized Volatility and Asymmetries in the A.S.E. Returns ,"
Finance
0504009, EconWPA, revised 17 Jan 2006.
[Downloadable!]
Other versions: Diego Comin & Sunil Mulani, 2003.
"Diverging Trends in Macro and Micro Volatility: Facts ,"
Macroeconomics
0306008, EconWPA.
[Downloadable!]
Other versions:Diego Comin & Sunil Mulani, 2004.
"Diverging Trends in Macro and Micro Volatility: Facts ,"
NBER Working Papers
10922, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Comin, D. & Mulani, S., 2003.
"Diverging Trends in Macro and Micro Volatility: Facts ,"
Working Papers
03-08, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!]
Mariana Mazzucato, 2002.
"The PC Industry: New Economy or Early Life-Cycle? ,"
Review of Economic Dynamics ,
Elsevier for the Society for Economic Dynamics, vol. 5(2), pages 318-345, April.
[Downloadable!] (restricted)
Stapf, Jelena & Werner, Thomas, 2003.
"How wacky is the DAX? The changing structure of German stock market volatility ,"
Discussion Paper Series 1: Economic Studies
2003,18, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Ivo J.M. Arnold & Evert B. Vrugt, 2006.
"Stock market volatility and macroeconomic uncertainty. Evidence from survey data ,"
Nyenrode Research Papers Series
06-08, Nyenrode Business Universiteit.
[Downloadable!]
Simon Gilchrist & John C. Williams, 2005.
"Investment, Capacity, and Uncertainty: A Putty-Clay Approach ,"
Review of Economic Dynamics ,
Elsevier for the Society for Economic Dynamics, vol. 8(1), pages 1-27, January.
[Downloadable!] (restricted)
Other versions:Simon Gilchrist & John C. Williams, 2004.
"Investment, Capacity, and Uncertainty: A Putty-Clay Approach ,"
NBER Working Papers
10446, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Simon Gilchrist & John C. Williams, 2002.
"Investment, capacity, and uncertainty: a putty-clay approach ,"
Working Papers in Applied Economic Theory
2002-03, Federal Reserve Bank of San Francisco.
[Downloadable!]
Li Jin & Stewart C. Myers, 2004.
"R-Squared Around the World: New Theory and New Tests ,"
NBER Working Papers
10453, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Katsuya Takii, 2004.
"Prediction Ability and Investment under Uncertainty ,"
Industrial Organization
0406005, EconWPA.
[Downloadable!]
Other versions: Juan Dubra & Helios Herrera, 2002.
"Market Participation, Information and Volatility ,"
Working Papers
0206, Centro de Investigacion Economica, ITAM.
[Downloadable!]
Stavros Peristiani, 2003.
"Evaluating the riskiness of initial public offerings: 1980-2000 ,"
Staff Reports
167, Federal Reserve Bank of New York.
[Downloadable!]
Hyunbae Chun & Jung-Wook Kim & Jason Lee & Randall Morck, 2004.
"Patterns of Comovement: The Role of Information Technology in the U.S. Economy ,"
NBER Working Papers
10937, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Hui Guo & Robert Savickas, 2005.
"Idiosyncratic volatility, stock market volatility, and expected stock returns ,"
Working Papers
2003-028, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions:Guo, Hui & Savickas, Robert, 2006.
"Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 24, pages 43-56, January.
[Downloadable!] (restricted)
Yannis Bilias & Michael Haliassos, 2004.
"The Distribution of Gains from Access to Stocks ,"
CSEF Working Papers
125, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy.
[Downloadable!]
Colm Kearney & Valerio Poti, 2006.
"Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area ,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp132, IIIS.
[Downloadable!]
Gunter Löffler, 2004.
"Implied asset value distributions ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 14(12), pages 875-883, August.
[Downloadable!] (restricted)
Bernd Kaltenhaeuser, 2003.
"Country and sector-specific spillover effects in the euro area, the United States and Japan ,"
Working Paper Series
286, European Central Bank.
[Downloadable!]
Hui Guo, 2002.
"Stock market returns, volatility, and future output ,"
Review ,
Federal Reserve Bank of St. Louis, issue Sep, pages 75-86.
[Downloadable!]
James H. Stock & Mark W. Watson, 2003.
"Has the business cycle changed? ,"
Proceedings ,
Federal Reserve Bank of Kansas City, pages 9-56.
[Downloadable!]
Campbell, John Y. & Hilscher, Jens & Szilagyi, Jan, 2005.
"In search of distress risk ,"
Discussion Paper Series 1: Economic Studies
2005,27, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Other versions: Hui Guo, 2004.
"A rational pricing explanation for the failure of CAPM ,"
Review ,
Federal Reserve Bank of St. Louis, issue May, pages 23-34.
[Downloadable!]
Juan Carlos Hatchondo, 2005.
"Asymmetric information and the lack of international portfolio diversification ,"
Working Paper
05-07, Federal Reserve Bank of Richmond.
[Downloadable!]
Andrew Ang & Joseph chen, 2005.
"CAPM Over the Long Run: 1926-2001 ,"
NBER Working Papers
11903, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Brad M. Barber & Terrance Odean, 2001.
"The Internet and the Investor ,"
Journal of Economic Perspectives ,
American Economic Association, vol. 15(1), pages 41-54, Winter.
[Downloadable!] (restricted)
John Cotter, 2004.
"Realized volatility and minimum capital requirements ,"
Money Macro and Finance (MMF) Research Group Conference 2003
20, Money Macro and Finance Research Group.
[Downloadable!]
Michelle Lowry & Micah S. Officer & G. William Schwert, 2006.
"The Variability of IPO Initial Returns ,"
NBER Working Papers
12295, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Robert-Paul Berben, 2003.
"Does stock market uncertainty impair the use of monetary indicators in the euro area? ,"
MEB Series (discontinued)
2003-15, Netherlands Central Bank, Monetary and Economic Policy Department.
Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005.
"International Stock Return Comovements ,"
NBER Working Papers
11906, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Robert S. Pindyck, 2003.
"Volatility In Natural Gas And Oil Markets ,"
Working Papers
0312, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
[Downloadable!]
Laura Veldkamp, 2004.
"Information Markets and the Comovement of Asset Prices ,"
Working Papers
04-18, New York University, Leonard N. Stern School of Business, Department of Economics.
[Downloadable!]
Other versions: Hayette Gatfaoui, 2004.
"Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation ,"
Research Paper Series
123, Quantitative Finance Research Centre, University of Technology, Sydney.
Andrea Beltratti & Claudio Morana, 2004.
"Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility ,"
Working Papers
20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont.
[Downloadable!]
Thomas W. Bates & Kathleen M. Kahle & Rene M. Stulz, 2006.
"Why Do U.S. Firms Hold So Much More Cash Than They Used To? ,"
NBER Working Papers
12534, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Thomas Philippon & Yuliy Sannikov, 2007.
"Real Options in a Dynamic Agency Model, with Applications to Financial Development, IPOs, and Business Risk ,"
NBER Working Papers
13584, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Gregory Birg & Brian M. Lucey, 2006.
"Integration Of Smaller European Equity Markets : A Time-Varying Integration Score Analysis ,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp136, IIIS.
[Downloadable!]
Hui Guo & Robert Savickas, 2003.
"Does idiosyncratic risk matter: another look ,"
Working Papers
2003-025, Federal Reserve Bank of St. Louis.
[Downloadable!]
Hui Guo & Robert Savickas, 2006.
"Understanding stock return predictability ,"
Working Papers
2006-019, Federal Reserve Bank of St. Louis.
[Downloadable!]
George-Marios Angeletos, 2005.
"Uninsured Idiosyncratic Investment Risk and Aggregate Saving ,"
NBER Working Papers
11180, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Joel F. Houston & Kevin J. Stiroh, 2006.
"Three decades of financial sector risk ,"
Staff Reports
248, Federal Reserve Bank of New York.
[Downloadable!]
Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2002.
"The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? ,"
American Economic Review ,
American Economic Association, vol. 92(4), pages 745-778, September.
[Downloadable!] (restricted)
Gianni De Nicolo & Myron L. Kwast, 2001.
"Systemic risk and financial consolidation: are they related? ,"
Finance and Economics Discussion Series
2001-33, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Michael Drew & Madhu Veeraraghavan, 2002.
"Idiosyncratic Volatility: Evidence from Asia ,"
School of Economics and Finance Discussion Papers and Working Papers Series
107, School of Economics and Finance, Queensland University of Technology.
[Downloadable!]
Soosung Hwang & Steve E. Satchell, 2005.
"GARCH model with cross-sectional volatility: GARCHX models ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 15(3), pages 203-216, February.
[Downloadable!] (restricted)
Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2002.
"The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? ,"
NBER Working Papers
8876, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Hui Guo & Jason Higbee, 2006.
"Market timing with aggregate and idiosyncratic stock volatilities ,"
Working Papers
2005-073, Federal Reserve Bank of St. Louis.
[Downloadable!]
Michelle L. Barnes & Anthony W. Hughes, 2002.
"A quantile regression analysis of the cross section of stock market returns ,"
Working Papers
02-2, Federal Reserve Bank of Boston.
[Downloadable!]
Li JIN & Stewart C. MYERS, 2004.
"R2 Around the World: New Theory and New Tests ,"
FAME Research Paper Series
rp158, International Center for Financial Asset Management and Engineering.
[Downloadable!]
John M. Maheu & Thomas H. McCurdy, 2003.
"News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns ,"
CIRANO Working Papers
2003s-38, CIRANO.
[Downloadable!]
Other versions: Mariana Mazzucato & Massimiliano Tancioni, 2005.
"Innovation and Idiosyncratic Risk ,"
Computing in Economics and Finance 2005
81, Society for Computational Economics.
[Downloadable!]
Other versions: Michael E. Drew & Mirela Mallin & Tony Naughton & Madhu Veeraraghavan, 2004.
"Equity Premium: - Does it exist? Evidence from Germany and United Kingdom ,"
School of Economics and Finance Discussion Papers and Working Papers Series
170, School of Economics and Finance, Queensland University of Technology.
[Downloadable!]
Colm Kearney & Valerio Poti, 2004.
"Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets ,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp015, IIIS.
[Downloadable!]
Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004.
"The Cross-Section of Volatility and Expected Returns ,"
NBER Working Papers
10852, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Nihat Aktas & Eric de Bodt & Michel Levasseur, 2004.
"Heterogeneity effects from market interventions ,"
European Journal of Finance ,
Taylor and Francis Journals, vol. 10(5), pages 412-436, October.
[Downloadable!] (restricted)
Doriana Ruffino, 2007.
"Resuscitating The Businessman Risk: A Rationale For Familiarity-Based Portfolios ,"
Boston University - Department of Economics - Working Papers Series
WP2007-037, Boston University - Department of Economics.
[Downloadable!]
Lettau, Martin & Ludvigson, Sydney, 1999.
"Consumption, Aggregate Wealth and Expected Stock Returns ,"
CEPR Discussion Papers
2223, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Other versions: Cited by:
Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2006.
"Predictability in Financial Markets: What Do Survey Expectations Tell Us? ,"
CEPR Discussion Papers
5770, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Hanno Lustig, 2004.
"Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance ,"
UCLA Economics Online Papers
300, UCLA Department of Economics.
[Downloadable!]
Charlotte S. Hansen & Bjorn E. Tuypens, 2004.
"Long-Run Regressions: Theory and Application to US Asset Markets ,"
Finance
0410018, EconWPA.
[Downloadable!]
Ronald J. Balvers & Dayong Huang, 2005.
"Evaluation of Linear Asset Pricing Models by Implied Portfolio Performance ,"
Working Papers
05-06, Department of Economics, West Virginia University, revised Jun 2005.
[Downloadable!]
Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005.
"Reexamining the consumption-wealth relationship: the role of model uncertainty ,"
Staff Reports
202, Federal Reserve Bank of New York.
[Downloadable!]
Other versions:Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008.
"Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 40(2-3), pages 341-367, 03.
[Downloadable!] (restricted)
Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005.
"Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty ,"
Discussion Papers in Economics
05/3, Department of Economics, University of Leicester.
[Downloadable!]
Jorge Selaive & Vicente Tuesta, 2004.
"Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates? ,"
International Finance
0404014, EconWPA.
[Downloadable!]
Other versions: Sean D. Campbell & Francis X. Diebold, 2005.
"Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence ,"
NBER Working Papers
11736, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006.
"Housing, Consumption, and Asset Pricing ,"
NBER Working Papers
12036, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007.
"Housing, consumption and asset pricing ,"
Journal of Financial Economics ,
Elsevier, vol. 83(3), pages 531-569, March.
[Downloadable!] (restricted)
Monika Piazzesi & Martin Schneider & Selale Tuzel, 2004.
"Housing, Consumption and Asset Pricing ,"
2004 Meeting Papers
357c, Society for Economic Dynamics.
Fang Xu, 2005.
"Does Consumption-Wealth Ratio Signal Stock Returns? - VECM Results for Germany ,"
Economics Bulletin ,
Economics Bulletin, vol. 3(30), pages 1-13.
[Downloadable!]
Hui Guo & Robert F. Whitelaw, 2003.
"Uncovering the Risk-Return Relation in the Stock Market ,"
NBER Working Papers
9927, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Hui Guo, 2003.
"On the out-of-sample predictability of stock market returns ,"
Working Papers
2002-008, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Ángel León & Juan Nave & Gonzalo Rubio, 2005.
"The Relationship between Risk and Expected Return in Europe ,"
DFAEII Working Papers
200508, University of the Basque Country - Department of Foundations of Economic Analysis II, revised 04 Jul 2006.
[Downloadable!]
John Y. Campbell & Samuel B. Thompson, 2005.
"Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average? ,"
NBER Working Papers
11468, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002.
"The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context ,"
Working Papers. Serie EC
2002-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
[Downloadable!]
Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005.
"Consumption, wealth and business cycles : why is Germany different? ,"
Discussion Paper Series 1: Economic Studies
2005,16, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Jorge A. Chan-Lau, 2006.
"Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices ,"
IMF Working Papers
06/148, International Monetary Fund.
[Downloadable!]
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: Tano Santos & Pietro Veronesi, 2004.
"Conditional Betas ,"
NBER Working Papers
10413, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
John H. Cochrane & Monika Piazzesi, 2002.
"Bond Risk Premia ,"
NBER Working Papers
9178, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Hanno Lustig, 2004.
"The Market Price of Aggregate Risk and the Wealth Distribution ,"
UCLA Economics Online Papers
299, UCLA Department of Economics.
[Downloadable!]
Other versions: Lettau, Martin & Ludvigson, Sydney, 2001.
"Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment ,"
CEPR Discussion Papers
3103, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Juan Ignacio Pena & Rosa Rodriguez, 2006.
"On The Economic Link Between Asset Prices And Real Activity ,"
Business Economics Working Papers
wb063209, Universidad Carlos III, Departamento de Economía de la Empresa.
[Downloadable!]
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!]
Martin Lettau & Sydney Ludvigson & Nathan Barczi, 2001.
"A primer on the economics and time series econometrics of wealth effects: a comment ,"
Staff Reports
131, Federal Reserve Bank of New York.
[Downloadable!]
Hui Guo & Robert Savickas, 2006.
"Idiosyncratic volatility, economic fundamentals, and foreign exchange rates ,"
Working Papers
2005-025, Federal Reserve Bank of St. Louis.
[Downloadable!]
Pascal St-Amour, 2004.
"Ratchet vs Blasé Investors and Asset Markets ,"
CIRANO Working Papers
2004s-11, CIRANO.
[Downloadable!]
Ronald J. Balvers & Dayong Huang, 2005.
"Productivity-Based Asset Pricing: Theory and Evidence ,"
Working Papers
05-05, Department of Economics, West Virginia University.
[Downloadable!]
Other versions: Hui Guo, 2002.
"Why are stock market returns correlated with future economic activities? ,"
Review ,
Federal Reserve Bank of St. Louis, issue Mar., pages 19-34.
[Downloadable!]
J. Annaert & W. Van Hyfte, 2006.
"Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century ,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
06/376, Ghent University, Faculty of Economics and Business Administration.
[Downloadable!]
Hui Guo & Christopher J. Neely & Jason Higbee, 2006.
"Foreign exchange volatility is priced in equities ,"
Working Papers
2004-029, Federal Reserve Bank of St. Louis.
[Downloadable!]
Qiang Zhang, 2006.
"The Spirit of Capitalism and Asset Pricing: an Empirical Investigation ,"
CIRJE F-Series
CIRJE-F-428, CIRJE, Faculty of Economics, University of Tokyo.
[Downloadable!]
Other versions: Pierre-Olivier Gourinchas & Hélène Rey, 2006.
"International Financial Adjustment ,"
Center for International and Development Economics Research, Working Paper Series
1057, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
[Downloadable!]
Other versions:Helene Rey & Pierre Olivier Gourinchas, 2005.
"International Financial Adjustment ,"
2005 Meeting Papers
169, Society for Economic Dynamics.
[Downloadable!]
Pierre-Olivier Gourinchas & Hélène Rey, 2005.
"International Financial Adjustment ,"
International Finance
0505004, EconWPA.
[Downloadable!]
Pierre-Olivier Gourinchas & Hélène Rey, 2007.
"International Financial Adjustment ,"
Journal of Political Economy ,
University of Chicago Press, vol. 115, pages 665-703.
[Downloadable!] (restricted)
Pierre-Olivier Gourinchas & Helene Rey, 2005.
"International Financial Adjustment ,"
NBER Working Papers
11155, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Gourinchas, Pierre-Olivier & Rey, Hélène, 2005.
"International Financial Adjustment ,"
CEPR Discussion Papers
4923, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Pierre-Olivier Gourinchas & Hélène Rey, 2005.
"International financial adjustment ,"
Proceedings ,
Federal Reserve Bank of San Francisco.
[Downloadable!]
Hanno Lustig, 2005.
"The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh) ,"
UCLA Economics Online Papers
352, UCLA Department of Economics.
[Downloadable!]
Amit Goval & Ivo Welch, 2004.
"A Comprehensive Look at the Empirical Performance of Equity Premium Prediction ,"
NBER Working Papers
10483, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Martin Lettau & Sydney Ludvigson, 1999.
"Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying ,"
Staff Reports
93, Federal Reserve Bank of New York.
[Downloadable!]
Other versions: Andrew Ang & Geert Bekaert, 2001.
"Stock Return Predictability: Is it There? ,"
NBER Working Papers
8207, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Fernando Alexandre & Pedro Bação & Vasco J. Gabriel, 2005.
"On the Stablity of the Wealth Effect ,"
NIPE Working Papers
14/2005, NIPE - Universidade do Minho.
[Downloadable!]
Other versions:Fernando Alexandre & Pedro Bação & Vasco Gabriel, 2005.
"On the Stability of the Wealth Effect ,"
GEMF Working Papers
2005-17, GEMF - Faculdade de Economia, Universidade de Coimbra.
[Downloadable!]
Fernando Alexandre & Pedro Bação & Vasco J. Gabriel, 2005.
"On the Stability of the Wealth Effect ,"
Department of Economics Discussion Papers
1405, Department of Economics, University of Surrey.
[Downloadable!]
Pedro Bação & Fernando Alexandre & Vasco J. Gabriel, 2006.
"On the stability of the wealth effect ,"
Computing in Economics and Finance 2006
281, Society for Computational Economics.
Kevin X.D. Huang & Zheng Liu & Qi Zhu, 2005.
"Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey ,"
Emory Economics
0507, Department of Economics, Emory University (Atlanta).
[Downloadable!]
Other versions: Tano Santos & Pietro Veronesi, 2000.
"Labor Income and Predictable Stock Returns ,"
CRSP working papers
520, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
[Downloadable!]
Mathias Hoffmann, 2005.
"Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns ,"
Computing in Economics and Finance 2005
229, Society for Computational Economics.
[Downloadable!]
Other versions: Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005.
"The Myth of Long-Horizon Predictability ,"
NBER Working Papers
11841, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Sean D. Campbell, 2004.
"Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters ,"
Finance and Economics Discussion Series
2004-52, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Jeremy Rudd & Karl Whelan, 2002.
"A note on the cointegration of consumption, income, and wealth ,"
Finance and Economics Discussion Series
2002-53, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Lettau, Martin & Ludvigson, Sydney, 2001.
"Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption ,"
CEPR Discussion Papers
3104, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Pu Shen, 2002.
"Market timing strategies that worked ,"
Research Working Paper
RWP 02-01, Federal Reserve Bank of Kansas City.
[Downloadable!]
Charles Ka Yui Leung & Nan-Kuang Chen & Chih-Chiang Hsu, 2004.
"Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption ,"
Econometric Society 2004 Far Eastern Meetings
690, Econometric Society.
[Downloadable!]
Sydney Ludvigson & Charles Steindel & Martin Lettau, 2002.
"Monetary policy transmission through the consumption-wealth channel ,"
Economic Policy Review ,
Federal Reserve Bank of New York, issue May, pages 117-133.
[Downloadable!]
Li, Qing & Vassalou, Maria & Xing, Yuhang, 2001.
"An Investment-Growth Asset Pricing Model ,"
CEPR Discussion Papers
3058, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Illing, Gerhard & Klüh, Ulrich, 2004.
"Vermögenspreise und Konsum ,"
Discussion Papers in Economics
316, University of Munich, Department of Economics.
[Downloadable!]
Other versions: Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002.
"Spurious Regressions in Financial Economics? ,"
NBER Working Papers
9143, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
L. Pozzi, 2005.
"Income uncertainty and aggregate consumption ,"
Research series
200511-2, National Bank of Belgium.
[Downloadable!]
Michael R. Donihue & Andriy Avramenko, 2006.
"Decomposing consumer wealth effects: evidence on the role of real estate assets following the wealth cycle of 1990-2002 ,"
Working Papers
06-15, Federal Reserve Bank of Boston.
[Downloadable!]
Belén Nieto & Rosa Rodríguez, 2004.
"Modelos De Valoracion De Activos Condicionales: Un Panorama Comparativo Con Datos Españoles ,"
Documentos de Trabajo de EconomÃa de la Empresa
db040202, Universidad Carlos III, Departamento de Economía de la Empresa.
[Downloadable!]
Tano Santos & Pietro Veronesi, 2001.
"Labor Income and Predictable Stock Returns ,"
NBER Working Papers
8309, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
James H. Stock & Mark W. Watson, 2001.
"Forecasting Output and Inflation: The Role of Asset Prices ,"
NBER Working Papers
8180, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:James H. Stock & Mark W. Watson, 2003.
"Forecasting Output and Inflation: The Role of Asset Prices ,"
Journal of Economic Literature ,
American Economic Association, vol. 41(3), pages 788-829, September.
James H. Stock & Mark W. Watson, 2001.
"Forecasting output and inflation: the role of asset prices ,"
Proceedings ,
Federal Reserve Bank of San Francisco, issue Mar.
[Downloadable!]
Gene Amromin & Steven A. Sharpe, 2005.
"From the horse's mouth: gauging conditional expected stock returns from investor surveys ,"
Finance and Economics Discussion Series
2005-26, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Jiri Slacalek, 2006.
"International Wealth Effects ,"
Computing in Economics and Finance 2006
425, Society for Computational Economics.
[Downloadable!]
Other versions: Hanno Lustig & Stijn Van Nieuwerburgh, 2002.
"Housing Collateral, Consumption Insurance and Risk Premia ,"
Macroeconomics
0211008, EconWPA.
[Downloadable!]
Massimo Guidolin & Allan Timmerman, 2005.
"Size and value anomalies under regime shifts ,"
Working Papers
2005-007, Federal Reserve Bank of St. Louis.
[Downloadable!]
Belén Nieto & Rosa Rodriguez, 2005.
"Modelos de valoración de activos condicionales: Un panorama comparativo ,"
Investigaciones Economicas<