- Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2007.
"Liquidity and Expected Returns: Lessons from Emerging Markets,"
Review of Financial Studies,
Oxford University Press for Society for Financial Studies, vol. 20(6), pages 1783-1831, November.
[Downloadable!] (restricted)
Other versions:
- Bekaert, Geert & Harvey, Campbell & Lundblad, Christian T., 2006.
"Liquidity and Expected Returns: Lessons from Emerging Markets,"
CEPR Discussion Papers
5946, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005.
"Liquidity and Expected Returns: Lessons From Emerging Markets,"
NBER Working Papers
11413, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
See citations under working paper version above.
- Lundblad, Christian, 2007.
"The risk return tradeoff in the long run: 1836-2003,"
Journal of Financial Economics,
Elsevier, vol. 85(1), pages 123-150, July.
[Downloadable!] (restricted)
Cited by:
- 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!]
- Christian Conrad & Enno Mammen, 2008.
"Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models,"
Working Papers
0473, University of Heidelberg, Department of Economics, revised Jul 2008.
[Downloadable!]
- Turan Bali & Kamil Yilmaz, 2009.
"The Intertemporal Relation between Expected Return and Risk on Currency,"
TÃSİAD-Koç University Economic Research Forum Working Papers
0909, TUSIAD-Koc University Economic Research Forum, revised Nov 2009.
[Downloadable!]
- Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007.
"A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects,"
CREATES Research Papers
2007-22, School of Economics and Management, University of Aarhus.
[Downloadable!]
Other versions:- Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009.
"A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects,"
Journal of Econometrics,
Elsevier, vol. 150(2), pages 151-166, June.
[Downloadable!] (restricted)
- Hui Guo & Christopher J. Neely, 2006.
"Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model,"
Working Papers
2006-006, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: - 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!]
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad & Stephan Siegel, 2007.
"Global Growth Opportunities and Market Integration,"
Journal of Finance,
American Finance Association, vol. 62(3), pages 1081-1137, 06.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2006.
"Growth volatility and financial liberalization,"
Journal of International Money and Finance,
Elsevier, vol. 25(3), pages 370-403, April.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2005.
"Does financial liberalization spur growth?,"
Journal of Financial Economics,
Elsevier, vol. 77(1), pages 3-55, July.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Ravi Bansal & Robert F. Dittmar & Christian T. Lundblad, 2005.
"Consumption, Dividends, and the Cross Section of Equity Returns,"
Journal of Finance,
American Finance Association, vol. 60(4), pages 1639-1672, 08.
[Downloadable!] (restricted)
Cited by:
- 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)
- Tano Santos & Pietro Veronesi, 2004.
"Conditional Betas,"
NBER Working Papers
10413, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006.
"Stock and Bond Returns with Moody Investors,"
NBER Working Papers
12247, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006.
"Stock and Bond Returns with Moody Investors,"
CEPR Discussion Papers
5951, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004.
"Stock and Bond Returns with Moody Investors,"
CEPR Discussion Papers
4501, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006.
"Risk, Uncertainty and Asset Prices,"
NBER Working Papers
12248, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:- Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009.
"Risk, uncertainty, and asset prices,"
Journal of Financial Economics,
Elsevier, vol. 91(1), pages 59-82, January.
[Downloadable!] (restricted)
- Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2006.
"Risk, Uncertainty and Asset Prices,"
CEPR Discussion Papers
5947, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Geert Bekaert & Eric Engstrom & Yuhang Xing, 2005.
"Risk, uncertainty, and asset prices,"
Finance and Economics Discussion Series
2005-40, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
- Ravi Bansal, 2007.
"Long-Run Risks and Financial Markets,"
NBER Working Papers
13196, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003.
"Two Trees: Asset Price Dynamics Induced by Market Clearing,"
Levine's Bibliography
666156000000000355, UCLA Department of Economics.
[Downloadable!]
Other versions:- John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003.
"Two Trees: Asset Price Dynamics Induced by Market Clearing,"
NBER Working Papers
10116, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- John. Cochrane & Francis Longstaff & Pedro Santa-Clara, 2003.
"Two Trees: Asset Price Dynamics Induced By Market Clearing,"
University of California at Los Angeles, Anderson Graduate School of Management
1248, Anderson Graduate School of Management, UCLA.
[Downloadable!]
- John H. Cochrane & Francis Longstaff, 2004.
"Two Trees: Asset Price Dynamics Induced by Market Clearing,"
2004 Meeting Papers
126, Society for Economic Dynamics.
[Downloadable!]
- 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: - 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: - 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!]
- 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)
- Ricardo M. Sousa, 2007.
"Expectations, Shocks, and Asset Returns,"
NIPE Working Papers
29/2007, NIPE - Universidade do Minho.
[Downloadable!]
- 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)
- Jonathan A. Parker & Christian Julliard, 2003.
"Consumption Risk and Cross-Sectional Returns,"
NBER Working Papers
9538, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008.
"The Wealth-Consumption Ratio,"
NBER Working Papers
13896, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- 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)
- Andrew Ang & Joseph Chen & Yuhang Xing, 2005.
"Downside Risk,"
NBER Working Papers
11824, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Hanno Lustig & Stijn Van Nieuwerburgh, 2002.
"Housing Collateral, Consumption Insurance and Risk Premia,"
Macroeconomics
0211008, EconWPA.
[Downloadable!]
- 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: - 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!]
Other versions: - 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!]
- 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!]
- Ravi Bansal, 2007.
"Long-run risks and financial markets,"
Review,
Federal Reserve Bank of St. Louis, issue Jul, pages 283-300.
[Downloadable!]
- Carlo Favero, 2005.
"Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns,"
Working Papers
291, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!]
Other versions:
- Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad, 2003.
"Equity market liberalization in emerging markets,"
Review,
Federal Reserve Bank of St. Louis, issue Jul, pages 53-74.
[Downloadable!]
Published as: Cited by:
- Demirguc-Kunt, Asli & Serven, Luis, 2009.
"Are all the sacred cows dead ? implications of the financial crisis for macro and financial policies,"
Policy Research Working Paper Series
4807, The World Bank.
[Downloadable!]
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2007.
"Information Immobility and the Home Bias Puzzle,"
NBER Working Papers
13366, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:- Laura Veldkamp & Stijn Van Nieuwerburgh, 2005.
"Information Immobility and the Home Bias Puzzle,"
2005 Meeting Papers
78, Society for Economic Dynamics.
[Downloadable!]
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2009.
"Information Immobility and the Home Bias Puzzle,"
Journal of Finance,
American Finance Association, vol. 64(3), pages 1187-1215, 06.
[Downloadable!] (restricted)
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2004.
"Information Immobility and the Home Bias Puzzle,"
Working Papers
04-32, New York University, Leonard N. Stern School of Business, Department of Economics.
[Downloadable!]
- Lavinia Cristescu, 2009.
"The Effect of Capital Market Liberalization in Eastern Europe: Economic Growth or Financial Crisis,"
Advances in Economic and Financial Research - DOFIN Working Paper Series
30, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
[Downloadable!]
- Richard Podpiera & Tomas Dvorak, 2005.
"European Union Enlargement and Equity Markets in Accession Countries,"
IMF Working Papers
05/182, International Monetary Fund.
[Downloadable!]
Other versions:- Tomas Dvorak & Richard Podpiera, 2005.
"European Union enlargement and equity markets in accession countries,"
Working Paper Series
552, European Central Bank.
[Downloadable!]
- Dvorak, Tomas & Podpiera, Richard, 2006.
"European Union enlargement and equity markets in accession countries,"
Emerging Markets Review,
Elsevier, vol. 7(2), pages 129-146, June.
[Downloadable!] (restricted)
- Diego Valderrama, 2005.
"Fiscal sustainability and contingent liabilities from recent credit expansions in South Korea and Thailand,"
Economic Review,
Federal Reserve Bank of San Francisco, pages 29-41.
[Downloadable!]
- Aggarwal, Reena & Dahiya, Sandeep & Klapper, Leora, 2005.
"American Depositary Receipts (ADR) holdings of U.S. based emerging market funds,"
Policy Research Working Paper Series
3538, The World Bank.
[Downloadable!]
- Philip Strahan, 2004.
"Comment on Berger, Hasan, and Klapper,"
Journal of Financial Services Research,
Springer, vol. 25(2), pages 203-206, April.
[Downloadable!] (restricted)
- Philip E. Strahan, 2003.
"The real effects of U.S. banking deregulation,"
Review,
Federal Reserve Bank of St. Louis, issue Jul, pages 111-128.
[Downloadable!]
- Scott Baier & Gerald P. Dwyer, Jr. & Robert Tamura, 2003.
"Does opening a stock exchange increase economic growth?,"
Working Paper
2003-36, Federal Reserve Bank of Atlanta.
[Downloadable!]
Other versions: - Iqbal, Javed, 2008.
"Stock Market in Pakistan: An Overview,"
MPRA Paper
11868, University Library of Munich, Germany.
[Downloadable!]
- Bansal, Ravi & Lundblad, Christian, 2002.
"Market efficiency, asset returns, and the size of the risk premium in global equity markets,"
Journal of Econometrics,
Elsevier, vol. 109(2), pages 195-237, August.
[Downloadable!] (restricted)
Cited by:
- Manzan, S., 2003.
"Nonlinear Mean Reversion in Stock Prices,"
CeNDEF Working Papers
03-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
[Downloadable!]
- Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006.
"Risk, Uncertainty and Asset Prices,"
NBER Working Papers
12248, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:- Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009.
"Risk, uncertainty, and asset prices,"
Journal of Financial Economics,
Elsevier, vol. 91(1), pages 59-82, January.
[Downloadable!] (restricted)
- Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2006.
"Risk, Uncertainty and Asset Prices,"
CEPR Discussion Papers
5947, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Geert Bekaert & Eric Engstrom & Yuhang Xing, 2005.
"Risk, uncertainty, and asset prices,"
Finance and Economics Discussion Series
2005-40, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
- Ravi Bansal, 2007.
"Long-Run Risks and Financial Markets,"
NBER Working Papers
13196, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005.
"Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options,"
NBER Working Papers
11861, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- 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!]
- 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!]
- Ravi Bansal, 2007.
"Long-run risks and financial markets,"
Review,
Federal Reserve Bank of St. Louis, issue Jul, pages 283-300.
[Downloadable!]
- Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007.
"Rational Pessimism, Rational Exuberance, and Asset Pricing Models,"
NBER Working Papers
13107, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2001.
"Emerging equity markets and economic development,"
Journal of Development Economics,
Elsevier, vol. 66(2), pages 465-504, December.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.