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Citations of
Martin Lettau

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

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  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)

    Cited by:

    1. 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!]
    2. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. 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)

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

    Cited by:

    1. Borja Larrain & Motohiro Yogo, 2007. "Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?," NBER Working Papers 12847, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Hui Guo & Robert Savickas, 2006. "Understanding stock return predictability," Working Papers 2006-019, Federal Reserve Bank of St. Louis. [Downloadable!]
    3. 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:

  3. Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. 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!]
    2. Lars Peter Hansen & Jose Scheinkman, 2006. "Long Term Risk: An Operator Approach," NBER Working Papers 12650, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. 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:
    4. 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!]
    5. Lars Peter Hansen & John Heaton & Nan Li, 2005. "Consumption Strikes Back?: Measuring Long-Run Risk," NBER Working Papers 11476, National Bureau of Economic Research, Inc.
    6. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis. [Downloadable!]
    7. 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!]
    8. 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)
    9. Jessica A. Wachter, 2005. "Solving Models with External Habit," NBER Working Papers 11559, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  4. 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 Salerno, Italy. [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 & 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)

  5. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    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)
    4. Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. 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!]
    6. Marie Brière & Ombretta Signori & Kokou Topeglo, 2006. "Bond Market “Conundrum”: New Factors Explaining Long-term Interest Rates?," Working Papers CEB 06-024.RS, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB). [Downloadable!]
    7. Lars Peter Hansen & John Heaton & Nan Li, 2005. "Consumption Strikes Back?: Measuring Long-Run Risk," NBER Working Papers 11476, National Bureau of Economic Research, Inc.
    8. 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)
    9. Kenneth S. Rogoff, 2006. "Impact of globalization on monetary policy," Proceedings, Federal Reserve Bank of Kansas City, pages 265-305. [Downloadable!]
    10. 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!]
    11. Keith Sill, 2006. "Macroeconomic volatility and the equity premium," Working Papers 06-1, Federal Reserve Bank of Philadelphia. [Downloadable!]
    12. James M. Nason & Gregor W. Smith, 2008. "Great moderations and U.S. interest rates: unconditional evidence," Working Paper 2008-01, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    13. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Research series 200711-27, National Bank of Belgium. [Downloadable!]
    14. 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!]
    15. 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!]
    16. Frode Brevik & Stefano d'Addona, 2005. "Information Quality and Stock Returns Revisited," Finance 0511006, EconWPA, revised 28 Nov 2005. [Downloadable!]
      Other versions:
    17. 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)
    18. 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!]
    19. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 283-300. [Downloadable!]
    20. 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:
    21. 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!]
    22. Christian Calmès & Ying Liu, 2005. "Financial Structure Change and Banking Income: a Canada-U.S. Comparison," RePAd Working Paper Series UQO-DSA-wp0302005, Département des sciences administratives, UQO. [Downloadable!]

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

    Cited by:

    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)
      Other versions:
    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)
    4. 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)
    5. 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!]
    6. 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:
    7. 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!]
    8. 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!]
    9. 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)
    10. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. 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!]
    13. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    14. 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)
    15. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers 2002-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    16. 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:
    17. 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!]
    18. 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)

  7. Martin Lettau & Sydney Ludvigson, 2003. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," NBER Working Papers 9848, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Michael Donihue & Andriy Avramenko, 2007. "Decomposing Consumer Wealth Effects: Evidence on the Role of Real Estate Assets Following the Wealth Cycle of 1990-2002," Topics in Macroeconomics, Berkeley Electronic Press, vol. 7(1), pages 1472-1472. [Downloadable!] (restricted)
    2. Alexander Ludwig & Torsten Sløk, 2004. "The Relationship between Stock Prices, House Prices and Consumption in OECD Countries," Topics in Macroeconomics, Berkeley Electronic Press, vol. 4(1), pages 1114-1114. [Downloadable!] (restricted)
      Other versions:
    3. 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!]
    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. 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:
    6. 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!]
    7. 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!]
    8. Borja Larrain & Motohiro Yogo, 2005. "Does firm value move too much to be justified by subsequent changes in cash flow?," Working Papers 05-18, Federal Reserve Bank of Boston. [Downloadable!]
      Other versions:
    9. 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)
    10. Piergiorgio Alessandri, 2004. "Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects?," Birkbeck Working Papers in Economics and Finance 0410, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
    11. Peter N. Ireland, 2005. "The monetary transmission mechanism," Working Papers 06-1, Federal Reserve Bank of Boston. [Downloadable!]
      Other versions:
    12. Qiang Zhang, 2006. "The Spirit of Capitalism and Asset Pricing: an Empirical Investigation," CIRJE F-Series CIRJE-F-428, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    13. Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," NIPE Working Papers 15/2007, NIPE - Universidade do Minho. [Downloadable!]
      Other versions:
    14. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
    15. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    16. 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!]
    17. Kevin X.D. Huang & Zheng Liu & Qi Zhu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," Emory Economics 0507, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    18. 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!]
    19. 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:
    20. 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!]
    21. Alpo Willman, 2007. "Sequential optimization, front-loaded information, and U.S. consumption," Working Paper Series 765, European Central Bank. [Downloadable!]
    22. Rodney W. Strachan, 2005. "Bayesian Inference in Cointegrated I (2) Systems: a Generalisation of the Triangular Model," Discussion Papers in Economics 05/14, Department of Economics, University of Leicester. [Downloadable!]
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    23. 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:
    24. 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!]
    25. Jiri Slacalek, 2006. "International Wealth Effects," Computing in Economics and Finance 2006 425, Society for Computational Economics. [Downloadable!]
      Other versions:
    26. Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006. "Temptation and self-control: some evidence and applications," Staff Report 367, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    27. Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers 5519, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    28. 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!]
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    29. 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!]
    30. 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!]
    31. 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!]
    32. 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!]
    33. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2005. "Consumption, Wealth and Business Cycles in Germany," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]

  8. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    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)
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    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)
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    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. 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)
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    6. 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!]
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    7. 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!]
    8. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, EconWPA. [Downloadable!]
    9. Hui Guo, 2003. "On the out-of-sample predictability of stock market returns," Working Papers 2002-008, Federal Reserve Bank of St. Louis. [Downloadable!]
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    10. Gatfaoui Hayette, 2004. "How Does Systematic Risk Impact Stocks? A Study On the French Financial Market," Finance 0404003, EconWPA. [Downloadable!]
    11. 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)
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    12. Sushil Bikhchandani & Sunil Sharma, 2001. "Herd Behavior in Financial Markets," IMF Staff Papers, Palgrave Macmillan Journals, vol. 47(3), pages 1. [Downloadable!] (restricted)
    13. Acharya, Viral V & Bisin, Alberto, 2002. "Entrepreneurial Incentives in Stock Market Economies," CEPR Discussion Papers 3474, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    14. Claudio Campanale, 2007. "Learning, Life-Cycle And Entrepreneurial Investment," Working Papers. Serie AD 2006-29, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    15. 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)
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    16. 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)
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    17. Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany. [Downloadable!]
    18. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA. [Downloadable!]
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    19. Gary Gorton & Ping He, 2006. "Agency-Based Asset Pricing," NBER Working Papers 12084, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    20. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance 0308004, EconWPA. [Downloadable!]
    21. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, Groupe HEC. [Downloadable!]
    22. 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!]
    23. 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)
    24. 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!]
    25. 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!]
    26. 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!]
    27. 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)
    28. Helios Herrera, 2005. "Sorting in Risk-Aversion and Asset Price Volatility," Levine's Bibliography 172782000000000083, UCLA Department of Economics. [Downloadable!]
    29. 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!]
    30. 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!]
    31. 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)
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    32. 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!]
    33. 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)
    34. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    35. 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!]
    36. 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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    37. Lin Peng & Wei Xiong, 2005. "Investor Attention: Overconfidence and Category Learning," NBER Working Papers 11400, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    38. Stanislav Radchenko, 2004. "Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases," Industrial Organization 0408001, EconWPA. [Downloadable!]
      Other versions:
    39. Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2003. "Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange," School of Economics and Finance Discussion Papers and Working Papers Series 138, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
      Other versions:
    40. Gianni De Nicoló & Myron L. Kwast, 2002. "Systemic Risk and Financial Consolidation: Are they Related?," IMF Working Papers 02/55, International Monetary Fund. [Downloadable!]
    41. 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)
    42. Michael Ehrmann & Marcel Fratzscher, 2006. "Global financial transmission of monetary policy shocks," Working Paper Series 616, European Central Bank. [Downloadable!]
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    43. 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!]
    44. 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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    45. 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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    46. 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!]
    47. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis. [Downloadable!]
    48. 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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    49. Diego Comin & Sunil Mulani, 2003. "Diverging Trends in Macro and Micro Volatility: Facts," Macroeconomics 0306008, EconWPA. [Downloadable!]
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    50. 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)
    51. Stapf, Jelena & Werner, Thomas, 2003. "How wacky is the DAX? The changing structure of German stock market volatility," Discussion Paper Series 1: Economic Studies 2003,18, Deutsche Bundesbank, Research Centre. [Downloadable!]
    52. Ivo J.M. Arnold & Evert B. Vrugt, 2006. "Stock market volatility and macroeconomic uncertainty. Evidence from survey data," Nyenrode Research Papers Series 06-08, Nyenrode Business Universiteit. [Downloadable!]
    53. 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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    54. 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)
    55. Katsuya Takii, 2004. "Prediction Ability and Investment under Uncertainty," Industrial Organization 0406005, EconWPA. [Downloadable!]
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    56. Juan Dubra & Helios Herrera, 2002. "Market Participation, Information and Volatility," Working Papers 0206, Centro de Investigacion Economica, ITAM. [Downloadable!]
    57. Stavros Peristiani, 2003. "Evaluating the riskiness of initial public offerings: 1980-2000," Staff Reports 167, Federal Reserve Bank of New York. [Downloadable!]
    58. 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)
    59. 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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    60. Yannis Bilias & Michael Haliassos, 2004. "The Distribution of Gains from Access to Stocks," CSEF Working Papers 125, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy. [Downloadable!]
    61. 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!]
    62. Gunter Löffler, 2004. "Implied asset value distributions," Applied Financial Economics, Taylor and Francis Journals, vol. 14(12), pages 875-883, August. [Downloadable!] (restricted)
    63. 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!]
    64. Hui Guo, 2002. "Stock market returns, volatility, and future output," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 75-86. [Downloadable!]
    65. James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings, Federal Reserve Bank of Kansas City, pages 9-56. [Downloadable!]
    66. 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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    67. 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!]
    68. Juan Carlos Hatchondo, 2005. "Asymmetric information and the lack of international portfolio diversification," Working Paper 05-07, Federal Reserve Bank of Richmond. [Downloadable!]
    69. Andrew Ang & Joseph chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    70. 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)
    71. 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!]
    72. 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)
    73. 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.
    74. 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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    75. 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!]
    76. 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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    77. 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.
    78. 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!]
    79. 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)
    80. 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)
    81. 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!]
    82. Hui Guo & Robert Savickas, 2003. "Does idiosyncratic risk matter: another look," Working Papers 2003-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    83. Hui Guo & Robert Savickas, 2006. "Understanding stock return predictability," Working Papers 2006-019, Federal Reserve Bank of St. Louis. [Downloadable!]
    84. George-Marios Angeletos, 2005. "Uninsured Idiosyncratic Investment Risk and Aggregate Saving," NBER Working Papers 11180, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    85. Joel F. Houston & Kevin J. Stiroh, 2006. "Three decades of financial sector risk," Staff Reports 248, Federal Reserve Bank of New York. [Downloadable!]
    86. Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2002. "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," American Economic Review, American Economic Association, vol. 92(4), pages 745-778, September. [Downloadable!] (restricted)
    87. 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!]
    88. 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!]
    89. 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)
    90. 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)
    91. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis. [Downloadable!]
    92. 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!]
    93. Li JIN & Stewart C. MYERS, 2004. "R2 Around the World: New Theory and New Tests," FAME Research Paper Series rp158, International Center for Financial Asset Management and Engineering. [Downloadable!]
    94. 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!]
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    95. Mariana Mazzucato & Massimiliano Tancioni, 2005. "Innovation and Idiosyncratic Risk," Computing in Economics and Finance 2005 81, Society for Computational Economics. [Downloadable!]
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    96. 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!]
    97. 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!]
    98. 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)
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    99. 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)
    100. 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!]

  9. Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    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. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, EconWPA. [Downloadable!]
    4. Ronald J. Balvers & Dayong Huang, 2005. "Evaluation of Linear Asset Pricing Models by Implied Portfolio Performance," Working Papers 05-06, Department of Economics, West Virginia University, revised Jun 2005. [Downloadable!]
    5. 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:
    6. Jorge Selaive & Vicente Tuesta, 2004. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," International Finance 0404014, EconWPA. [Downloadable!]
      Other versions:
    7. 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:
    8. Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006. "Housing, Consumption, and Asset Pricing," NBER Working Papers 12036, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. 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!]
    10. 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:
    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. 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!]
    13. 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:
    14. 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!]
    15. 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!]
    16. 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!]
    17. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics. [Downloadable!]
      Other versions:
    18. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    19. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    20. Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics. [Downloadable!]
      Other versions:
    21. Lettau, Martin & Ludvigson, Sydney, 2001. "Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment," CEPR Discussion Papers 3103, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    22. 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!]
    23. Tim Bollerslev & Michael Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    24. 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!]
    25. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    26. Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO. [Downloadable!]
    27. Ronald J. Balvers & Dayong Huang, 2005. "Productivity-Based Asset Pricing: Theory and Evidence," Working Papers 05-05, Department of Economics, West Virginia University. [Downloadable!]
      Other versions:
    28. 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!]
    29. 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!]
    30. 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!]
    31. 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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    32. Pierre-Olivier Gourinchas & Hélène Rey, 2006. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series 1057, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
      Other versions:
    33. 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!]
    34. 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)
    35. Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    36. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    37. 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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    38. Kevin X.D. Huang & Zheng Liu & Qi Zhu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," Emory Economics 0507, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    39. 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!]
    40. 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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    41. 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)
    42. 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!]
    43. 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!]
    44. 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)
    45. Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City. [Downloadable!]
    46. 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!]
    47. 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!]
    48. 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)
    49. Illing, Gerhard & Klüh, Ulrich, 2004. "Vermögenspreise und Konsum," Discussion Papers in Economics 316, University of Munich, Department of Economics. [Downloadable!]
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    50. 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)
    51. L. Pozzi, 2005. "Income uncertainty and aggregate consumption," Research series 200511-2, National Bank of Belgium. [Downloadable!]
    52. 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!]
    53. 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!]
    54. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    55. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    56. 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!]
    57. Jiri Slacalek, 2006. "International Wealth Effects," Computing in Economics and Finance 2006 425, Society for Computational Economics. [Downloadable!]
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    58. Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, EconWPA. [Downloadable!]
    59. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis. [Downloadable!]
    60. Belén Nieto & Rosa Rodriguez, 2005. "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas<