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Citations of
Martin Lettau

For current contact information and a more complete listing of works, please see here

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Working papers

  1. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  2. 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:

    1. Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
    2. 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!]
    3. Ravi Bansal & Ivan Shaliastovich, 2009. "Confidence Risk and Asset Prices," NBER Working Papers 14815, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Zhiguang Wang & Prasad V. Bidarkota, 2008. "A Long-Run Risks Model of Asset Pricing with Fat Tails," Working Papers 0810, Florida International University, Department of Economics. [Downloadable!]
    5. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. 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)

  3. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Published as:

    Cited by:

    1. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    2. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Lubos Pastor & Robert F. Stambaugh, 2008. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 13804, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. 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)
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    8. Hui Guo & Robert Savickas, 2006. "Understanding stock return predictability," Working Papers 2006-019, Federal Reserve Bank of St. Louis. [Downloadable!]
    9. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2006-047, Boston University - Department of Economics. [Downloadable!]
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    10. Andrea Tamoni & Arie E.Gozluklu & Carlo A.Favero, 2008. "Demographics and fluctuations in Dividend/Price," Working Papers 345, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    11. Jiang, Danling, 2008. "Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns," MPRA Paper 8325, University Library of Munich, Germany. [Downloadable!]
    12. 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:

  4. 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)
    Other versions:
    Published as:

    Cited by:

    1. 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)
    2. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis. [Downloadable!]
    3. 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!]
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    4. Lars Peter Hansen & Jose Scheinkman, 2006. "Long Term Risk: An Operator Approach," NBER Working Papers 12650, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    5. 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:
    6. 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!]
    7. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis. [Downloadable!]
    8. 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!]
    9. 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)
    10. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers 14701, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Jessica Wachter, 2008. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers 14386, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    13. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis. [Downloadable!]
    14. Jessica A. Wachter, 2005. "Solving Models with External Habit," NBER Working Papers 11559, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    15. 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!]
    16. Trond Døskeland, 2007. "Strategic asset allocation for a country: the Norwegian case," Financial Markets and Portfolio Management, Springer, vol. 21(2), pages 167-201, June. [Downloadable!] (restricted)
    17. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  5. Martin Lettau & Sydney C. Ludvigson, 2005. "Euler Equation Errors," NBER Working Papers 11606, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. 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 Naples, Italy. [Downloadable!]
    2. Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April. [Downloadable!] (restricted)
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    3. 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!]
    4. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. 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)

  6. 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:
    Published as:

    Cited by:

    1. 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!]
    2. 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!]
    3. 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)
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    4. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    5. Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. 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!]
    7. Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Walentin, Karl, 2007. "Earnings Inequality and the Equity Premium," Working Paper Series 215, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    9. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research. [Downloadable!]
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    10. 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 Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    11. 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)
    12. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, Economics Bulletin, vol. 3(33), pages 1-18. [Downloadable!]
    13. Chiaki Hara, 2009. "Heterogeneous Impatience in a Continuous-Time Model," KIER Working Papers 665, Kyoto University, Institute of Economic Research. [Downloadable!]
    14. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. 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!]
    16. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    17. Kenneth S. Rogoff, 2006. "Impact of globalization on monetary policy," Proceedings, Federal Reserve Bank of Kansas City, pages 265-305. [Downloadable!]
    18. 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!]
    19. Keith Sill, 2006. "Macroeconomic volatility and the equity premium," Working Papers 06-1, Federal Reserve Bank of Philadelphia. [Downloadable!]
    20. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    21. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009. "The Determinants of Stock and Bond Return Comovements," NBER Working Papers 15260, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    22. 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!]
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    23. 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!]
    24. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    25. 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!]
    26. Frode Brevik & Stefano d'Addona, 2005. "Information Quality and Stock Returns Revisited," Finance 0511006, EconWPA, revised 28 Nov 2005. [Downloadable!]
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    27. 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!]
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    28. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
    29. Andrew Vivian, 2007. "The Equity Premium: 100 Years of Empirical Evidence from the UK," CRIEFF Discussion Papers 0711, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
    30. 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)
    31. 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!]
    32. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 283-300. [Downloadable!]
    33. 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:
    34. 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!]

  7. Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. 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!]
    2. 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)
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    3. 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)
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    4. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, School of Economics and Management, University of Aarhus. [Downloadable!]
    5. 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)
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    6. 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!]
    7. 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!]
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    8. 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!]
    9. 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!]
    10. 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)
    11. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    13. 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!]
    14. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, School of Economics and Management, University of Aarhus. [Downloadable!]
    16. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    17. Andrew Vivian, 2007. "The Equity Premium: 100 Years of Empirical Evidence from the UK," CRIEFF Discussion Papers 0711, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
    18. Andrea Tamoni & Arie E.Gozluklu & Carlo A.Favero, 2008. "Demographics and fluctuations in Dividend/Price," Working Papers 345, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    19. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers 2002-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    20. 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:
    21. 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!]
    22. 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)
    23. 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!]
    24. Juan M. Londoño & Marta Regulez & Jesús Vázquez, 2008. "Another Look to the Price-Dividend Ratio: A Markov-Switching Approach," DFAEII Working Papers 200809, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]

  8. 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)
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    Cited by:

    1. 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!]
    2. 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!]
    3. 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!]
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    4. Edward E. Leamer, 2007. "Housing IS the Business Cycle," NBER Working Papers 13428, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    5. 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!]
    6. 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!]
    7. Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2009. "Wealth Effects in Emerging Market Economies," NIPE Working Papers 4/2009, NIPE - Universidade do Minho. [Downloadable!]
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    8. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2008. "Consumption, wealth and business cycles in Germany," Empirical Economics, Springer, vol. 34(3), pages 451-476, June. [Downloadable!] (restricted)
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    9. Salotti, Simone, 2009. "Wealth effect in the US: evidence from brand new micro-data," MPRA Paper 17732, University Library of Munich, Germany. [Downloadable!]
    10. 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!]
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    11. Andrés González Gómez & Lavan Mahadeva & Diego Rodríguez & Luis Eduardo Rojas, 2009. "Monetary Policy Forecasting In A Dsge Model With Data That Is Uncertain, Unbalanced And About The Future," BORRADORES DE ECONOMIA 005480, BANCO DE LA REPÚBLICA. [Downloadable!]
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    12. 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)
    13. Fabio C. Bagliano & Claudio Morana, 2008. "Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence," Working Papers 2, University of Torino, Department of Economics and Public Finance "G. Prato". [Downloadable!]
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    14. 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, Department of Economics, Mathematics & Statistics. [Downloadable!]
    15. Vincent Labhard & Gabriel Sterne & Chris Young, . "Wealth and consumption: an assessment of the international evidence," Bank of England working papers 275, Bank of England. [Downloadable!]
    16. Peter N. Ireland, 2005. "The monetary transmission mechanism," Working Papers 06-1, Federal Reserve Bank of Boston. [Downloadable!]
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    17. 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!]
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    18. Yasser Abdih & Evan Tanner, 2009. "Frugality: Are We Fretting Too Much? Household Saving and Assets in the United States," IMF Working Papers 09/197, International Monetary Fund. [Downloadable!]
    19. 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!]
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    20. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
    21. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    22. 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!]
    23. 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!]
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    24. 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!]
    25. J. Benjamin & P. Chinloy, 2008. "Home Equity, Household Savings and Consumption," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 21-32, July. [Downloadable!] (restricted)
    26. 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:
    27. 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!]
    28. Alpo Willman, 2007. "Sequential optimization, front-loaded information, and U.S. consumption," Working Paper Series 765, European Central Bank. [Downloadable!]
    29. 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:
    30. Giulio Cifarelli & Giovanna Paladino, 2007. "The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation," Working Papers Series wp2007_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze Economiche. [Downloadable!]
      Other versions:
    31. Christian Dreger & Jürgen Wolters, 2008. "Money Velocity and Asset Prices in the Euro Area," Working Paper / FINESS 7.1b, DIW Berlin, German Institute for Economic Research. [Downloadable!]
      Other versions:
    32. Christopher D. Carroll & Jirka Slacalek & Martin Sommer, 2008. "International Evidence On Sticky Consumption Growth," CFS Working Paper Series 2008/09, Center for Financial Studies. [Downloadable!]
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    33. Yasemin Barlas Ozer & Kam-Ki Tang, . "This paper investigates the financial and housing wealth effects on aggregate private consumption in Turkey for the period 1987-2007. Given the lack of data, the study proposes an innovative method to," MRG Discussion Paper Series 2809, School of Economics, University of Queensland, Australia. [Downloadable!]
    34. 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!]
    35. Muellbauer, John, 2007. "Housing and Personal Wealth in a Global Context," Working Papers UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
    36. Mathias Hoffmann & Thomas Nitschka, 2008. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," IEW - Working Papers iewwp376, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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    37. Filippo Cesarano & Giulio Cifarelli & Gianni Toniolo, 2009. "Exchange Rate Regimes and Reserve Policy on the Periphery: The Italian Lira 1883-1911," Working Papers Series wp2009_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze Economiche. [Downloadable!]
    38. John N. Muellbauer, 2007. "Housing, credit and consumer expenditure," Proceedings, Federal Reserve Bank of Kansas City, pages 267- 334. [Downloadable!]
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    39. Jiri Slacalek, 2006. "International Wealth Effects," Computing in Economics and Finance 2006 425, Society for Computational Economics. [Downloadable!]
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    40. Pierre Lafourcade, 2008. "Are Asset Returns Predictable from the National Accounts?," DNB Working Papers 189, Netherlands Central Bank, Research Department. [Downloadable!]
    41. 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!]
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    42. 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)
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    43. 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:
    44. 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!]
    45. Andrea Tamoni & Arie E.Gozluklu & Carlo A.Favero, 2008. "Demographics and fluctuations in Dividend/Price," Working Papers 345, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    46. 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!]
    47. 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!]
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    48. 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!]
    49. 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!]
    50. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650. [Downloadable!]
    51. Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2008. "Dynamic probabilities of restrictions in state space models: An application to the Phillips curve," Working Paper Series 26-08, Rimini Centre for Economic Analysis, revised Jan 2008. [Downloadable!]
    52. Marcel Fratzscher & Roland Straub, 2009. "Asset Prices and Current Account Fluctuations in G7 Economies," Working Paper Series 1014, European Central Bank. [Downloadable!]
      Other versions:

  9. 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:

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    1. 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:
    2. 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:
    3. 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!]
    4. 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)
    5. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis. [Downloadable!]
    6. 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:
    7. Thesmar, David & Thoenig, Mathias, 2009. "Contrasting Trends in Firm Volatility: Theory and Evidence," CEPR Discussion Papers 7135, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    8. 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:
    9. 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!]
    10. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, EconWPA. [Downloadable!]
    11. 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:
    12. Gatfaoui Hayette, 2004. "How Does Systematic Risk Impact Stocks? A Study On the French Financial Market," Finance 0404003, EconWPA. [Downloadable!]
    13. Sónia Sousa & Ana Serra, 2008. "What drives idiosyncratic volatility over time?," Portuguese Economic Journal, Springer, vol. 7(3), pages 155-181, December. [Downloadable!] (restricted)
    14. 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:
    15. Timotheos Angelidis & Nikolaos Tessaromatis, 2007. "Idiosyncratic Risk in Greece: Properties and Portfolio Implications," Working Papers 0001, University of Peloponnese, Department of Economics. [Downloadable!]
    16. Acharya, Viral V & Bisin, Alberto, 2002. "Entrepreneurial Incentives in Stock Market Economies," CEPR Discussion Papers 3474, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    17. Claudio Campanale, 2007. "Learning, Life-Cycle And Entrepreneurial Investment," Working Papers. Serie AD 2006-29, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    18. 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:
    19. Petri Kyröläinen, 2008. "Day trading and stock price volatility," Journal of Economics and Finance, Springer, vol. 32(1), pages 75-89, January. [Downloadable!] (restricted)
    20. 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:
    21. Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany. [Downloadable!]
    22. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA. [Downloadable!]
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    23. Michelacci, Claudio & Schivardi, Fabiano, 2008. "Does Idiosyncratic Business Risk Matter?," CEPR Discussion Papers 6910, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    24. Gary Gorton & Ping He, 2006. "Agency-Based Asset Pricing," NBER Working Papers 12084, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    25. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance 0308004, EconWPA. [Downloadable!]
    26. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris. [Downloadable!]
    27. 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!]
    28. 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)
    29. 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!]
    30. 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!]
    31. 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!]
    32. 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)
    33. 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!]
    34. Helios Herrera, 2005. "Sorting in Risk-Aversion and Asset Price Volatility," Levine's Bibliography 172782000000000083, UCLA Department of Economics. [Downloadable!]
    35. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    36. 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!]
    37. Robert F. Engle & Neil Shephard & Kevin Sheppard, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    38. 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:
    39. Hou, Kewei & Peng, Lin & Xiong, Wei, 2006. "R2 and Price Inefficiency," Working Paper Series 2006-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    40. Foucault, Thierry & Themar, David & Sraer, David, 2008. "Individual investors and volatility," Les Cahiers de Recherche 899, HEC Paris. [Downloadable!]
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    41. 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!]
    42. 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)
      Other versions:
    43. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    44. Claudio Campanale, 2008. "Life-Cycle Portfolio Choice: The Role of Heterogeneity and Under-diversification," Working Papers. Serie AD 2008-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    45. 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!]
    46. Larry Epstein & Martin Schneider, 2005. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 519, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
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    47. Stanislav Radchenko, 2004. "Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases," Industrial Organization 0408001, EconWPA. [Downloadable!]
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    48. Lin Peng & Wei Xiong, 2005. "Investor Attention: Overconfidence and Category Learning," NBER Working Papers 11400, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    49. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    50. 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!]
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    51. Gianni De Nicoló & Myron L. Kwast, 2002. "Systemic Risk and Financial Consolidation: Are they Related?," IMF Working Papers 02/55, International Monetary Fund. [Downloadable!]
    52. 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)
    53. Michael Ehrmann & Marcel Fratzscher, 2006. "Global financial transmission of monetary policy shocks," Working Paper Series 616, European Central Bank. [Downloadable!]
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    54. 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!]
    55. Dimitrios Thomakos & Michail Koubouros, 2008. "The Role of Realized Volatility in the Athens Stock Exchange," Working Papers 0020, University of Peloponnese, Department of Economics. [Downloadable!]
    56. Malcolm Baker & Jeffrey Wurgler, 2003. "A Catering Theory of Dividends," NBER Working Papers 9542, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    57. Ivan Brick & N. Chidambaran, 2008. "Board monitoring, firm risk, and external regulation," Journal of Regulatory Economics, Springer, vol. 33(1), pages 87-116, February. [Downloadable!] (restricted)
    58. Elena Andreou & Eric Ghysels, 2000. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers 2000s-19, CIRANO. [Downloadable!]
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    59. Opazo, Luis & Raddatz, Claudio & Schmukler, Sergio L., 2009. "The long and the short of emerging market debt," Policy Research Working Paper Series 5056, The World Bank. [Downloadable!]
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    60. 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!]
    61. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis. [Downloadable!]
    62. 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!]
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    63. Diego Comin & Sunil Mulani, 2003. "Diverging Trends in Macro and Micro Volatility: Facts," Macroeconomics 0306008, EconWPA. [Downloadable!]
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    64. Gerard Hoberg & Gordon M. Phillips, 2008. "Real and Financial Industry Booms and Busts," NBER Working Papers 14290, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    65. 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)
    66. Boutchkov, Maria & Doshi, Hitesh & Durnev, Art & Molchanov, Alexander, 2008. "Politics and Volatility," CEI Working Paper Series 2008-10, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    67. Werner, Thomas & Stapf, Jelena, 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!]
    68. Malcolm Baker & Robin Greenwood & Jeffrey Wurgler, 2008. "Catering Through Nominal Share Prices," NBER Working Papers 13762, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    69. Kenza Benhima, 2008. "A Reappraisal of the Allocation Puzzle through the Portfolio Approach," EconomiX Working Papers 2008-27, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
    70. Bates, Thomas W. & Kahle, Kathleen M. & Stulz, Rene M., 2007. "Why Do U.S. Firms Hold So Much More Cash Than They Used To?," Working Paper Series 2006-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    71. Rui Castro & Gian Luca Clementi & Yoonsoo Lee, 2008. "Cross-sectoral variation in firm-level idiosyncratic risk," Working Paper 0812, Federal Reserve Bank of Cleveland. [Downloadable!]
    72. 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)
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    73. 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)
    74. Katsuya Takii, 2004. "Prediction Ability and Investment under Uncertainty," Industrial Organization 0406005, EconWPA. [Downloadable!]
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    75. Chris Edmond & Pierre-Olivier Weill, 2009. "Aggregate Implications of Micro Asset Market Segmentation," NBER Working Papers 15254, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    76. Juan Dubra & Helios Herrera, 2002. "Market Participation, Information and Volatility," Working Papers 0206, Centro de Investigacion Economica, ITAM. [Downloadable!]
    77. Stavros Peristiani, 2003. "Evaluating the riskiness of initial public offerings: 1980-2000," Staff Reports 167, Federal Reserve Bank of New York. [Downloadable!]
    78. Md. Arifur Rahman, 2007. "The Information Content of Cross-sectional Volatility for Future Market Volatility: Evidence from Australian Equity Returns," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 4(1), pages 91-124, June. [Downloadable!]
    79. 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)
    80. 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!]
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    81. 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 Naples, Italy. [Downloadable!]
    82. 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!]
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    83. Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei, 2006. "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Working Papers 06-4, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
    84. Gunter Löffler, 2004. "Implied asset value distributions," Applied Financial Economics, Taylor and Francis Journals, vol. 14(12), pages 875-883, August. [Downloadable!] (restricted)
    85. 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!]
    86. Hui Guo, 2002. "Stock market returns, volatility, and future output," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 75-86. [Downloadable!]
    87. James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings, Federal Reserve Bank of Kansas City, pages 9-56. [Downloadable!]
    88. 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!]
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    89. 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!]
    90. Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29, 11. [Downloadable!]
    91. Farzan Aminian & E. Suarez & Mehran Aminian & Daniel Walz, 2006. "Forecasting Economic Data with Neural Networks," Computational Economics, Springer, vol. 28(1), pages 71-88, August. [Downloadable!] (restricted)
    92. Juan Carlos Hatchondo, 2005. "Asymmetric information and the lack of international portfolio diversification," Working Paper 05-07, Federal Reserve Bank of Richmond. [Downloadable!]
    93. Andrew Ang & Joseph chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    94. 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)
    95. 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!]
    96. 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)
    97. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Research series 200711-27, National Bank of Belgium. [Downloadable!]
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    98. Mohamed Saidane & Christian Lavergne, 2007. "A structured variational learning approach for switching latent factor models," AStA Advances in Statistical Analysis, Springer, vol. 91(3), pages 245-268, October. [Downloadable!] (restricted)
    99. 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.
    100. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    101. Timotheos Angelidis, 2008. "Idiosyncratic Risk in Emerging Markets," Working Papers 0018, University of Peloponnese, Department of Economics. [Downloadable!]
    102. John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," Harvard Institute of Economic Research Working Papers 1945, Harvard - Institute of Economic Research. [Downloadable!]
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    103. 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!]
    104. 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!]
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    105. Gregory Connor & Sheng Li, 2009. "Market Dispersion and the Profitability of Hedge Funds," Economics, Finance and Accounting Department Working Paper Series n2000109, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    106. 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.
    107. 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!]
    108. 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)
    109. 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)
    110. 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!]
    111. Hui Guo & Robert Savickas, 2003. "Does idiosyncratic risk matter: another look," Working Papers 2003-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    112. Hui Guo & Robert Savickas, 2006. "Understanding stock return predictability," Working Papers 2006-019, Federal Reserve Bank of St. Louis. [Downloadable!]
    113. George-Marios Angeletos, 2005. "Uninsured Idiosyncratic Investment Risk," NBER Working Papers 11180, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    114. Joel F. Houston & Kevin J. Stiroh, 2006. "Three decades of financial sector risk," Staff Reports 248, Federal Reserve Bank of New York. [Downloadable!]
    115. Tobias J. Moskowitz & Annette Vissing-Jørgensen, 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!]
    116. 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!]
    117. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis. [Downloadable!]
    118. 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!]
    119. 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)
    120. 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)
    121. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis. [Downloadable!]
    122. Chun-Hung Chen & Wei-Choun Yu & Eric Zivot, 2009. "Predicting Stock Volatility Using After-Hours Information," Working Papers UWEC-2009-01, University of Washington, Department of Economics. [Downloadable!]
    123. 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!]
    124. Jiang, Danling, 2008. "Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns," MPRA Paper 8325, University Library of Munich, Germany. [Downloadable!]
    125. Saffi, Pedro & Sigurdson, Kari, 2008. "Price efficiency and short selling," IESE Research Papers D/748, IESE Business School. [Downloadable!]
    126. 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:
    127. Mariana Mazzucato & Massimiliano Tancioni, 2005. "Innovation and Idiosyncratic Risk," Computing in Economics and Finance 2005 81, Society for Computational Economics. [Downloadable!]
      Other versions:
    128. 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!]
    129. Che, Natasha Xingyuan, 2009. "The great dissolution: organization capital and diverging volatility puzzle," MPRA Paper 13701, University Library of Munich, Germany. [Downloadable!]
    130. 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!]
    131. 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:
    132. 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)
    133. Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," Harvard Institute of Economic Research Working Papers 1953, Harvard - Institute of Economic Research. [Downloadable!]
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      • Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," NBER Working Papers 8895, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      • Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Journal of Financial Economics, Elsevier, vol. 75(2), pages 283-317, February. [Downloadable!] (restricted)
    134. Zhang, Zibin & Wetzstein, Michael, 2008. "New relationships: ethanol, corn, and gasoline volatility," Transition to a Bio Economy Conferences, Risk, Infrastructure and Industry Evolution Conference, June 24-25, 2008, Berkeley, California 48718, Farm Foundation. [Downloadable!]
    135. 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!]
    136. Ayako Yasuda & Andrew Metrick, 2007. "The economics of private equity funds," Proceedings, Federal Reserve Bank of San Francisco, issue Oct. [Downloadable!]

  10. 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:

    1. 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:
    2. 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!]
    3. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis. [Downloadable!]
    4. 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!]
    5. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, EconWPA. [Downloadable!]
    6. 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:
    7. 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:
    8. Jorge Selaive & Vicente Tuesta, 2004. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," International Finance 0404014, EconWPA. [Downloadable!]
      Other versions:
    9. Laurence Fung & Ip-wing Yu, 2008. "Predicting Stock Market Returns by Combining Forecasts," Working Papers 0801, Hong Kong Monetary Authority. [Downloadable!]
    10. 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:
    11. Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006. "Housing, Consumption, and Asset Pricing," NBER Working Papers 12036, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    12. 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!]
      Other versions:
    13. 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:
    14. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis. [Downloadable!]
    15. 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:
    16. 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!]
    17. 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:
    18. 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!]
    19. 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!]
    20. 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!]
    21. Valadkhani, Abbas & Layton, Allan P. & Karunaratne, Neil D., 2005. "Export Price Volatility in Australia: An Application of ARCH and GARCH Models," Economics Working Papers wp05-11, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    22. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2008. "Consumption, wealth and business cycles in Germany," Empirical Economics, Springer, vol. 34(3), pages 451-476, June. [Downloadable!] (restricted)
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    23. Emmanuel De Veirman & Ashley Dunstan, 2008. "How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/05, Reserve Bank of New Zealand. [Downloadable!]
    24. 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!]
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    25. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    26. Aoki, Shuhei & Kitahara, Minoru, 2008. "Measuring the Dynamic Cost of Living Index from Consumption Data," MPRA Paper 9802, University Library of Munich, Germany. [Downloadable!]
    27. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    28. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    29. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    30. Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics. [Downloadable!]
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    31. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    32. 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)
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    33. 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!]
    34. Jiang, Danling, 2006. "Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns," Working Paper Series 2006-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    35. Bradley S. Paye & Allan Timmermann, 2002. "How stable are Financial Prediction Models? Evidence from US and International Stock Market Data," University of California at San Diego, Economics Working Paper Series 2002-13, Department of Economics, UC San Diego. [Downloadable!]
    36. 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!]
    37. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    38. Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO. [Downloadable!]
    39. 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!]
    40. Vincent Labhard & Gabriel Sterne & Chris Young, . "Wealth and consumption: an assessment of the international evidence," Bank of England working papers 275, Bank of England. [Downloadable!]
    41. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    42. 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!]
    43. 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!]
    44. 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!]
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    45. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, School of Economics and Management, University of Aarhus. [Downloadable!]
    46. Kohei Aono & Tokuo Iwaisako, 2008. "The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market," Discussion Paper Series a504, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    47. Pierre-Olivier Gourinchas & Hélène Rey, 2005. "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!]
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    48. 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!]
    49. Benoît Mercereau, 2003. "The Role of Stock Markets in Current Account Dynamics: Evidence from the United States," IMF Working Papers 03/108, International Monetary Fund. [Downloadable!]
    50. Christian Dreger & Hans-Eggert Reimers, 2006. "Consumption and disposable income in the EU countries: the role of wealth effects," Empirica, Springer, vol. 33(4), pages 245-254, September. [Downloadable!] (restricted)
    51. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
    52. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    53. 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!]
    54. 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)
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    55. 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!]
    56. 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!]
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    57. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    58. 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!]
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    59. 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!]
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    60. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho. [Downloadable!]
    61. 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!]
    62. 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!]
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    63. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," PIER Working Paper Archive 05-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
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    64. Sydney C. Ludvigson, 2007. "Housing, credit and consumer expenditure: commentary," Proceedings, Federal Reserve Bank of Kansas City, pages 335-350. [Downloadable!]
    65. 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)
    66. 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!]
    67. 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!]
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    68. 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)
    69. Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City. [Downloadable!]
    70. 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!]
    71. Edward E. Leamer, 2007. "Housing is the business cycle," Proceedings, Federal Reserve Bank of Kansas City, pages 149-233. [Downloadable!]
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    72. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    73. 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!]
    74. 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)
    75. Illing, Gerhard & Klüh, Ulrich, 2004. "Vermögenspreise und Konsum," Discussion Papers in Economics 316, University of Munich, Department of Economics. [Downloadable!]
    76. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    77. 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)
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    78. L. Pozzi, 2005. "Income uncertainty and aggregate consumption," Research series 200511-2, National Bank of Belgium. [Downloadable!]
    79. 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!]
    80. Belén Nieto & Rosa Rodríguez, 2004. "Modelos De Valoracion De Activos Condicionales: Un Panorama Comparativo Con Datos Españoles," Documentos de Trabajo de Economía de la Empresa db040202, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    81. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    82. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group. [Downloadable!]
    83. Mathias Hoffmann & Iryna Shcherbakova, 2008. "Consumption risk sharing over the business cycle: the role of small firms' access to credit markets," IEW - Working Papers iewwp363, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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    84. Mathias Hoffmann & Thomas Nitschka, 2008. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," IEW - Working Papers iewwp376, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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    85. 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)
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    86. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, School of Economics and Management, University of Aarhus. [Downloadable!]
    87. 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!]
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    88. Jiri Slacalek, 2006. "International Wealth Effects," Computing in Economics and Finance 2006 425, Society for Computational Economics. [Downloadable!]
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    89. Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, EconWPA. [Downloadable!]
    90. In Choi & Timothy K. Chue, 2006. "Subsampling-Based Tests of Stock-Return Predictability," Hi-Stat Discussion Paper Series d06-178, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    91. Lorenzo Pozzi, 2007. "Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach," Tinbergen Institute Discussion Papers 07-069/2, Tinbergen Institute. [Downloadable!]
    92. Pierre Lafourcade, 2008. "Are Asset Returns Predictable from the National Accounts?," DNB Working Papers 189, Netherlands Central Bank, Research Department. [Downloadable!]
    93. 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!]
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    94. Gene Amromin & Steven A. Sharpe, 2008. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Finance and Economics Discussion Series 2008-17, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    95. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis. [Downloadable!]
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    96. Belén Nieto & Rosa Rodriguez, 2005. "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 33-71, January. [Downloadable!]
    97. Roberto A. De Santis & Carlo A. Favero & Barbara Roffia, 2008. "Euro area money demand and international portfolio allocation - a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank. [Downloadable!]
    98. Jessica Wachter, 2008. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers 14386, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    99. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, . "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England. [Downloadable!]
    100. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis. [Downloadable!]
    101. GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," CORE Discussion Papers 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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    102. Marco Raberto & Andrea Teglio & Silvano Cincotti, 2005. "Multi-agent modeling and simulation of a sequential monetary production economy," Computational Economics 0503002, EconWPA. [Downloadable!]
      Other versions:
    103. Andrea Tamoni & Arie E.Gozluklu & Carlo A.Favero, 2008. "Demographics and fluctuations in Dividend/Price," Working Papers 345, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    104. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis. [Downloadable!]
    105. Long Chen & Ralitsa Petkova & Lu Zhang, 2006. "The Expected Value Premium," NBER Working Papers 12183, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    106. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," Working Paper 2007-04, Federal Reserve Bank of Atlanta. [Downloadable!]
    107. Gomes, Francisco J & Michaelides, Alexander, 2007. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers 6136, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    108. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers 2002-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    109. 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:
    110. Lewellen, Jonathan & Nagel, Stefan, 2003. "The Conditional CAPM Does Not Explain Asset-pricing Anomalies," Working papers 4427-03, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
      Other versions:
    111. 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!]
      Other versions:
    112. 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!]
    113. Whelan, Karl, 2006. "Consumption and Expected Asset Returns without Assumptions About Unobservables," MPRA Paper 5891, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    114. 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!]
    115. Enrico Giorgi & Thorsten Hens & János Mayer, 2007. "Computational aspects of prospect theory with asset pricing applications," Computational Economics, Springer, vol. 29(3), pages 267-281, May. [Downloadable!] (restricted)
    116. 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)
    117. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    118. Benoît Mercereau, 2004. "The Role of Stock Markets in Current Account Dynamics: A Time Series Approach," IMF Working Papers 04/50, International Monetary Fund. [Downloadable!]
    119. Roy Cromb & Emilio Fernandez-Corugedo, . "Long-term interest rates, wealth and consumption," Bank of England working papers 243, Bank of England. [Downloadable!]
    120. Vassalou, Maria, 2001. "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers 3057, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  11. 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!]
    Published as:

    Cited by:

    1. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. 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!]
    3. 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!]
    4. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis. [Downloadable!]
    5. 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!]
      Other versions:
    6. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    7. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    8. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    10. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris. [Downloadable!]
    11. 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!]
    12. Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," University of St. Gallen Department of Economics working paper series 2006 2006-07, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    13. 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)
    14. Gomes, Joao F & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    15. François Gourio, 2006. "Firms’ Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns," Boston University - Department of Economics - Working Papers Series WP2006-005, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    16. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, School of Economics and Management, University of Aarhus. [Downloadable!]
    17. Christian Leuz & Catherine Schrand, 2009. "Disclosure and the Cost of Capital: Evidence from Firms’ Responses to the Enron Shock," NBER Working Papers 14897, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    18. Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002. "Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions," NBER Working Papers 8793, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    19. Anthony W. Lynch & Sinan Tan, 2004. "Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice," NBER Working Papers 11010, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    20. John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers 11389, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    21. 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!]
    22. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003. "The Price is (Almost) Right," NBER Working Papers 10131, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    23. 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)
      Other versions:
    24. Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009. "CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence," NBER Working Papers 14889, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    25. Hanno Lustig & Adrien Verdelhan, 2005. "The Cross-Section of Currency Risk Premia and US Consumption Growth Risk," NBER Working Papers 11104, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    26. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
    27. Paulo Maio, 2007. "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006 111, Money Macro and Finance Research Group. [Downloadable!]
    28. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis. [Downloadable!]
    29. Fabio Araujo & Marcelo Fernandes e João Victor Issler, 2004. "Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor," Econometric Society 2004 Latin American Meetings 134, Econometric Society. [Downloadable!]
    30. Juan Pedro Gomez, 2008. "The effect of relative wealth concerns on the cross-section of stock returns," Working Papers Economia wp08-12, Instituto de Empresa, Area of Economic Environment. [Downloadable!]
    31. Annette Vissing-Jørgensen & Orazio P. Attanasio, 2003. "Stock-Market Participation, Intertemporal Substitution, and Risk-Aversion," American Economic Review, American Economic Association, vol. 93(2), pages 383-391, May. [Downloadable!]
    32. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    33. Hanno Lustig, 2004. "How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006)," UCLA Economics Online Papers 302, UCLA Department of Economics. [Downloadable!]
    34. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    35. Raymond Kan & Cesare Robotti, 2006. "Specification tests of asset pricing models using excess returns," Working Paper 2006-10, Federal Reserve Bank of Atlanta. [Downloadable!]
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    36. Ravi Balakrishnan & Volodymyr Tulin, 2006. "U.S. Dollar Risk Premiums and Capital Flows," IMF Working Papers 06/160, International Monetary Fund. [Downloadable!]
    37. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," PIER Working Paper Archive 05-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    38. Murillo Campello & Long Chen & Lu Zhang, 2005. "Expected Returns, Yield Spreads, and Asset Pricing Tests," NBER Working Papers 11323, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    39. 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)
    40. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    41. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing model performance and the two-pass cross-sectional regression methodology," Working Paper 2009-11, Federal Reserve Bank of Atlanta. [Downloadable!]
    42. 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)
    43. Yu Ren & Katsumi Shimotsu, 2007. "Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test," Working Papers 1126, Queen's University, Department of Economics. [Downloadable!]
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    44. Ravi Bansal & Robert Dittmar & Dana Kiku, 2007. "Cointegration and Consumption Risks in Asset Returns," NBER Working Papers 13108, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    45. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    46. Jan J J Groen & Ravi Balakrishnan, . "Asset price based estimates of sterling exchange rate risk premia," Bank of England working papers 250, Bank of England. [Downloadable!]
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    47. Chris Brooks & Xiafei Li & Joelle Miffre, 2007. "The Value Premium and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance icma-dp2007-03, Henley Business School, Reading University. [Downloadable!]
    48. Belén Nieto & Rosa Rodríguez, 2004. "Modelos De Valoracion De Activos Condicionales: Un Panorama Comparativo Con Datos Españoles," Documentos de Trabajo de Economía de la Empresa db040202, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    49. John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," NBER Working Papers 9509, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    50. Antonios Antypas & Guglielmo Maria Caporale & Nikolaos Kourogenis & Nikitas Pittis, 2009. "Selectivity, Market Timing and the Morningstar Star-Rating System," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    51. 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!]
    52. Söderlind, Paul, 2003. "C-CAPM and the Cross-Section of Sharpe Ratios," CEPR Discussion Papers 4067, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    53. In Choi & Timothy K. Chue, 2006. "Subsampling-Based Tests of Stock-Return Predictability," Hi-Stat Discussion Paper Series d06-178, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    54. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    55. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO. [Downloadable!]
    56. François Gourio, 2005. "Operating Leverage,Stock Market Cyclicality,and the Cross-Section of Returns," Boston University - Department of Economics - Working Papers Series WP2005-002, Boston University - Department of Economics. [Downloadable!]
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    57. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    58. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers 15047, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    59. Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    60. Belén Nieto & Rosa Rodriguez, 2005. "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 33-71, January. [Downloadable!]
    61. Thomas Mikosch & Casper G. de Vries, 2006. "Tail Probabilities for Regression Estimators," Tinbergen Institute Discussion Papers 06-085/2, Tinbergen Institute. [Downloadable!]
    62. Hanno Lustig, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006)," UCLA Economics Online Papers 303, UCLA Department of Economics. [Downloadable!]
    63. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis. [Downloadable!]
    64. Adrien Verdelhan & Hanno Lustig, 2005. "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2005-019, Boston University - Department of Economics. [Downloadable!]
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    65. F. Javier De Peña & Carlos Forner-Rodríguez & Germán López-Espinosa, . "Fundamentals and the origin of Fama-French factors," Faculty Working Papers 04/08, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    66. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank, Research Centre. [Downloadable!]
    67. Wessel Marquering, 2006. "Do consumption-based asset pricing models explain return predictability?," Applied Financial Economics, Taylor and Francis Journals, vol. 16(14), pages 1019-1027, October. [Downloadable!] (restricted)
    68. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers 2002-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    69. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    70. 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!]
    71. 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!]
    72. Post, G.T. & Vliet, P. van, 2004. "Conditional Downside Risk and the CAPM," Research Paper ERS-2004-048-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    73. René Garcia & Éric Renault & Andrei Semenov, 2003. "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers 2003s-12, CIRANO. [Downloadable!]
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    74. Michael W. Brandt & David A. Chapman, 2006. "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers 12513, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  12. Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," CEPR Discussion Papers 1923, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. 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)
      Other versions:
    2. John Y. Campbell & Martin Lettau, 1999. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," NBER Working Papers 7144, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Taiji Harashima, 2004. "A More Realistic Endogenous Time Preference Model and the Slump in Japan," Macroeconomics 0402015, EconWPA, revised 09 Feb 2004. [Downloadable!]
    4. 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:
    5. Beaulieu, Marie-claude & Cosset, Jean-Claude & Essaddam, Naceur, 2002. "The Impact of Political Risk on the Volatility of Stock Returns: the Case of Canada," Cahiers de recherche 0208, CIRPEE. [Downloadable!]
    6. Hyun-Han Shin & Rene M. Stulz, 2000. "Firm Value, Risk, and Growth Opportunities," NBER Working Papers 7808, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Taiji Harashima, 2004. "The Bad Government: A Source of Uncertainty and Business Fluctuations," Microeconomics 0407010, EconWPA. [Downloadable!]
    8. 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!]

  13. Lettau, Martin, 1998. "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers 1795, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    Cited by:

    1. Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," University of St. Gallen Department of Economics working paper series 2006 2006-07, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    2. Paul Söderlind, 2006. "C-CAPM without Ex Post Data," University of St. Gallen Department of Economics working paper series 2006 2006-22, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    3. Hanno Lustig, . "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics. [Downloadable!]
    4. Söderlind, Paul, 2003. "C-CAPM and the Cross-Section of Sharpe Ratios," CEPR Discussion Papers 4067, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    5. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society. [Downloadable!]

  14. Lettau, Martin & Uhlig, Harald, 1997. "Preferences, Consumption Smoothing, and Risk Premia," CEPR Discussion Papers 1678, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Cepii & Cepremap, 2001. "MARMOTTE: A Multinational Model," Working Papers 2001-15, CEPII research center. [Downloadable!]
    2. Josep Pijoan-Mas, 2002. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Centro de Alti­simos Estudios Ri­os Pe©rez(CAERP) 3, Centro de Altisimos Estudios Rios Perez (CAERP). [Downloadable!]
      Other versions:
    3. Lettau, M., 1997. "Comment on 'the spirit of capitalism and stock-market-prices' by G.S. Bakshi and Z. Chen (AER, 1996)," Discussion Paper 49, Tilburg University, Center for Economic Research. [Downloadable!]
    4. Douch, Mohamed, 2004. "Equity Premiums In a Small Open Economy," MPRA Paper 876, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    5. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 2001. "Habit Persistence, Asset Returns, and the Business Cycle," American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March. [Downloadable!] (restricted)
      Other versions:
    6. Tack Yun & Wooheon Rhee, 2004. "Implications of Quasi-Geometric Discounting on the Observable Sharpe Ratio," Econometric Society 2004 North American Summer Meetings 243, Econometric Society. [Downloadable!]
    7. Olivier Allais & Loic Cadiou & Stephane Dees, 2001. "Defining Consumption Behavior in a Multi-Country Model," Working Papers 2001-02, CEPII research center. [Downloadable!]
    8. Aude Pommeret & Anne Epaulard, 2001. "Agents' Preferences, the Equity Premium, and the Consumption-Saving Trade-Off: An Application to French Data," IMF Working Papers 01/117, International Monetary Fund. [Downloadable!]

  15. Lettau, M. & Uhlig, H., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Discussion Paper 54, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

    Cited by:

    1. M. Fatih Guvenen, 2003. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity?," RCER Working Papers 499, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
      Other versions:
    2. Christian Calmès, 2005. "Self-Enforcing Labour Contracts and the Dynamics Puzzle," Working Papers 05-1, Bank of Canada. [Downloadable!]
    3. Ana Maria Santacreu, 2005. "Reaction functions in a small open economy: What role for non-traded inflation?," Reserve Bank of New Zealand Discussion Paper Series DP2005/04, Reserve Bank of New Zealand. [Downloadable!]
    4. Stephanie Schmitt-Grohe & Martin Uribe, 2008. "What's News in Business Cycles," NBER Working Papers 14215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Hafedh Bouakez & Takashi Kano, 2005. "Learning-by-Doing or Habit Formation?," Working Papers 05-15, Bank of Canada. [Downloadable!]
      Other versions:
    6. Santiago Budria & Antonia Diaz, 2006. "Term Premium And Equity Premium In Economies With Habit Formation," Economics Working Papers we065522, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    7. Fatih Guvenen, 2009. "A Parsimonious Macroeconomic Model for Asset Pricing," NBER Working Papers 15243, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Ali Choudhary & Paul Levine, 2006. "The 24/7 Society and Multiple Habits," Department of Economics Discussion Papers 0506, Department of Economics, University of Surrey. [Downloadable!]
    9. Kevin X.D. Huang & Zheng Liu & Tao Zha, 2008. "Learning, adaptive expectations, and technology shocks," Working Paper 2008-20, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    10. Beetsma,Roel M.W.J. & Bovenberg,A. Lans, 1996. "Designing fiscal and monetary institutions for a European Monetary Union," Research Memoranda 004, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
      Other versions:
    11. Stephane Auray & Fabrice Collard & Patrick Feve, 2005. "Habit Persistence, Money Growth Rule and Real Indeterminacy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(1), pages 48-67, January. [Downloadable!] (restricted)
    12. Kevin Elie Beaubrun-Diant & Julien Matheron, 2006. "Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," EconomiX Working Papers 2006-16, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
    13. Alok Johri and Marc-André Letendre, 2006. "What do “residuals” from first-order conditions reveal about DGE models?," Department of Economics Working Papers 2006-01, McMaster University. [Downloadable!]
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    14. Scheffel, Eric, 2008. "Consumption Velocity in a Cash Costly-Credit Model," Cardiff Economics Working Papers E2008/31, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
    15. de la Croix, David & Urbain, Jean-Pierre, 1996. "Intertemporal Substitution in Import Demand and Habit Formation," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1996002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
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    16. Pau Rabanal & Jordi Galí, 2005. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Postwar U.S. Data?," IMF Working Papers 04/234, International Monetary Fund. [Downloadable!]
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    17. Lars Ljungqvist & Harald Uhlig, 2000. "Tax Policy and Aggregate Demand Management under Catching Up with the Joneses," American Economic Review, American Economic Association, vol. 90(3), pages 356-366, June. [Downloadable!] (restricted)
    18. Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005. [Downloadable!]
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    19. Glenn Rudebusch & Eric Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Series 2008-31, Federal Reserve Bank of San Francisco. [Downloadable!]
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    20. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July. [Downloadable!] (restricted)
    21. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA. [Downloadable!]
    22. Ljungqvist, Lars & Uhlig, Harald, 1998. "Catching up with the Keynesians," Working Paper Series in Economics and Finance 259, Stockholm School of Economics. [Downloadable!]
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    23. Christopher Otrok, 2000. "On Measuring the Welfare Cost of Business Cycles," Econometric Society World Congress 2000 Contributed Papers 1094, Econometric Society. [Downloadable!]
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    24. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer, vol. 29(3), pages 233-265, May. [Downloadable!] (restricted)
    25. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2006. "Macroeconomic implications of changes in the term premium," Working Paper Series 2006-46, Federal Reserve Bank of San Francisco. [Downloadable!]
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    26. Santiago Budría, 2008. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, International Atlantic Economic Society, vol. 36(3), pages 261-274, September. [Downloadable!] (restricted)
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    27. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics. [Downloadable!]
    28. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 2000. "Habit persistence, asset returns and the business cycle," Staff Report 280, Federal Reserve Bank of Minneapolis. [Downloadable!]
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    29. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics. [Downloadable!]
    30. Tom Krebs, 2002. "Asset Returns in an Endogenous Growth Model with Incomplete Markets," Working Papers 2002-18, Brown University, Department of Economics. [Downloadable!]
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    31. Zuzana Janko, 2008. "Reexamination of Real Business Cycles in A Small Open Economy," Working Papers 2008-15, Department of Economics, University of Calgary, revised 11 Jan 2008. [Downloadable!]
    32. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Computing in Economics and Finance 2004 175, Society for Computational Economics. [Downloadable!]
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    33. Bianca De Paoli & Alasdair Scott & Olaf Weeken, . "Asset pricing implications of a New Keynesian model," Bank of England working papers 326, Bank of England. [Downloadable!]
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    34. Jaime Alonso-Carrera & Jordi Caballe & Xavier Raurich, 2001. "Consumption Externalities, Habit Formation, and Equilibrium Efficiency," UFAE and IAE Working Papers 499.01, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
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    35. Jaime Alonso-Carrera & Jordi Caball?Author-Email: jordi.caballe@uab.es & Xavier Raurich, . "Growth, Habit Formation, and Catching-up\ with the Joneses," UFAE and IAE Working Papers 497.01, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
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    36. Neville Francis & Valerie A. Ramey, 2002. "Is the Technology-Driven Real Business Cycle Hypothesis Dead?," NBER Working Papers 8726, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    37. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2006-047, Boston University - Department of Economics. [Downloadable!]
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    38. Francis Longstaff & Monika Piazzesi, 2003. "Corporate Earnings and the Equity Premium," NBER Working Papers 10054, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    39. Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2008. "Intermediated Quantities and Returns," NBER Working Papers 14351, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    40. Jessica A. Wachter, 2005. "Solving Models with External Habit," NBER Working Papers 11559, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    41. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset Pricing Lessons for Modeling Business Cycles," NBER Working Papers 5262, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    42. Uluc Aysun & Adam Honig, 2008. "Bankruptcy Costs, Liability Dollarization, and Vulnerability to Sudden Stops," Working papers 2008-41, University of Connecticut, Department of Economics. [Downloadable!]
    43. Harald Uhlig, 2007. "Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model," SFB 649 Discussion Papers SFB649DP2007-003a, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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    44. Andrew B. Abel, 1998. "Risk Premia and Term Premia in General Equilibrium," NBER Working Papers 6683, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    45. Yi Wen, 2005. "By force of demand: explaining international comovements and the saving-investment correlation puzzle," Working Papers 2005-043, Federal Reserve Bank of St. Louis. [Downloadable!]

Articles

  1. Martin Lettau & Harald Uhlig, 2000. "Can Habit Formation be Reconciled with Business Cycle Facts?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 79-99, January. [Downloadable!] (restricted)
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    See citations under working paper version above.Sorry, no citations of articles recorded.

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