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Citations of
Zhenyu Wang

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. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York. [Downloadable!]

    Cited by:

    1. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]

  2. Suresh Sundaresan & Zhenyu Wang, 2006. "Y2K options and the liquidity premium in Treasury bond markets," Staff Reports 266, Federal Reserve Bank of New York. [Downloadable!]

    Cited by:

    1. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2007. "The Demand for Treasury Debt," NBER Working Papers 12881, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Jennifer Huang & Jiang Wang, 2008. "Market Liquidity, Asset Prices and Welfare," NBER Working Papers 14058, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. James McAndrews & Asani Sarkar & Zhenyu Wang, 2008. "The effect of the Term Auction Facility on the London Inter-Bank Offered Rate," Staff Reports 335, Federal Reserve Bank of New York. [Downloadable!]

  3. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]

    Cited by:

    1. Ram T. S. Ramakrishnan & Anjan V. Thakor, 2004. "The Valuation of Assets under Moral Hazard," Finance 0411032, EconWPA. [Downloadable!]
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    2. M Ali Khan & Yeneng Sun, 2002. "Exact Arbitrage Well-Diversified Potfolios and Asset Pricing in Large Markets," Economics Working Paper Archive 483, The Johns Hopkins University,Department of Economics. [Downloadable!]
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    3. Richard Sweeney & Arthur Warga, 1984. "The Pricing of Unanticipated Changes in Expected Inflation: Evidence from the Stock Market," University of California at Los Angeles, Anderson Graduate School of Management 1218, Anderson Graduate School of Management, UCLA. [Downloadable!]
    4. M. Ali Khan & Yeneng Sun, 1996. "Hyperfinite Asset Pricing Theory," Cowles Foundation Discussion Papers 1139, Cowles Foundation, Yale University. [Downloadable!]
    5. John Ammer, 1993. "Macroeconomic risk and asset pricing: estimating the apt with observable factors," International Finance Discussion Papers 448, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  4. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2001. "The Federal Reserve banks' imputed cost of equity capital," Working Papers in Applied Economic Theory 2001-01, Federal Reserve Bank of San Francisco. [Downloadable!]

    Cited by:

    1. Jose A. Lopez, 2001. "Federal Reserve banks' imputed cost of equity capital," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Aug 10. [Downloadable!]
    2. George Alessandria & Horag Choi, 2005. "Do sunk costs of exporting matter for net export dynamics?," Working Papers 05-20, Federal Reserve Bank of Philadelphia. [Downloadable!]
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    3. Victoria Geyfman, 2005. "Banks in the securities business: market-based risk implications of section 20 subsidiaries," Working Papers 05-17, Federal Reserve Bank of Philadelphia. [Downloadable!]
    4. James B. Thomson, 2001. "PSAF, economic capital, and the new Basel Accord," Working Paper 0111, Federal Reserve Bank of Cleveland. [Downloadable!]
    5. Michelle L. Barnes & Jose Lopez, 2005. "Alternative measures of the Federal Reserve banks' cost of equity capital," Working Paper Series 2005-06, Federal Reserve Bank of San Francisco. [Downloadable!]
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    6. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2003. "Formulating the imputed cost of equity capital for priced services at Federal Reserve banks," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 55-81. [Downloadable!]

  5. Ravi Jagannathan & Zhenyu Wang, 2001. "Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods," NBER Working Papers 8098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Carlos Enrique Carrasco Gutierrez & Wagner Piazza Gaglianone, 2008. "Evaluating Asset Pricing Models in a Fama-French Framework," Working Papers Series 175, Central Bank of Brazil, Research Department. [Downloadable!]
    2. 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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    3. John H. Cochrane, 2001. "A Rehabilitation of Stochastic Discount Factor Methodology," NBER Working Papers 8533, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research. [Downloadable!]
    5. 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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    6. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York. [Downloadable!]
    7. 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!]
    8. Peter N Smith & Michael R Wickens, . "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York. [Downloadable!]
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    9. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    10. 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!]
    11. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    12. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," Working Paper 2005-04, Federal Reserve Bank of Atlanta. [Downloadable!]
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    13. Bansal, Ravi & Dahlquist, Magnus, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    14. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]
    15. 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)

  6. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Published as:

    Cited by:

    1. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    2. Eduardo Walker, 2006. "Optimal Portfolios In Defined Contribution Pension Systems," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 9(2), pages 99-129. [Downloadable!]
    3. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO. [Downloadable!]
    4. J. Cable, K. Holland, 1999. "Modelling normal returns in event studies: a model-selection approach and pilot study," European Journal of Finance, Taylor and Francis Journals, vol. 5(4), pages 331-341, December. [Downloadable!] (restricted)
    5. 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!]
    6. 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!]
    7. Annette Nguyen & Robert Faff & Philip Gharghori, 2009. "Are the Fama–French factors proxying news related to GDP growth? The Australian evidence," Review of Quantitative Finance and Accounting, Springer, vol. 33(2), pages 141-158, August. [Downloadable!] (restricted)
    8. Richard Paap & Frank Kleibergen, 2004. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings 195, Econometric Society. [Downloadable!]
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    9. 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!]
    10. Bruce D. Grundy & J. Spencer Martin, . "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers 13-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    11. Yuenan Wang & Amalia Di Iorio, 2007. "The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market," Review of Quantitative Finance and Accounting, Springer, vol. 29(2), pages 181-203, August. [Downloadable!] (restricted)
    12. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," Research Paper ERS-2003-017-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!]
    13. 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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    14. John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    15. 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!]
    16. Arun J. Prakash, Suchismita Mishra, Dispari Ghosh, 2005. "The Kraus and Litzenberger Quadratic Characteristic Line and Event Studies," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 2(2), pages 67-78, December. [Downloadable!]
    17. 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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    18. Acharya, Viral V & Bisin, Alberto, 2002. "Entrepreneurial Incentives in Stock Market Economies," CEPR Discussion Papers 3474, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    19. Robert Hodrick & David Ng & Paul Sengmueller, 1999. "An International Dynamic Asset Pricing Model," International Tax and Public Finance, Springer, vol. 6(4), pages 597-620, November. [Downloadable!] (restricted)
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    20. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    21. Michael Brennan & Ashley Wang & Yihong Xia, 2003. "Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management 1011, Anderson Graduate School of Management, UCLA. [Downloadable!]
    22. Joshua Rosett, 2003. "Labour leverage, equity risk and corporate policy choice," European Accounting Review, Taylor and Francis Journals, vol. 12(4), pages 699-732, January. [Downloadable!] (restricted)
    23. Aoki, Shuhei & Kitahara, Minoru, 2008. "Measuring the Dynamic Cost of Living Index from Consumption Data," MPRA Paper 9802, University Library of Munich, Germany. [Downloadable!]
    24. Bruno Biais & Peter Bossaerts & Chester Spatt, 2003. "Equilibrium Asset Pricing Under Heterogeneous Information," Levine's Bibliography 666156000000000086, UCLA Department of Economics. [Downloadable!]
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    25. Mattia Ciprian & Stefano d'Addona, 2005. "Time Varying Sensitivities on a GRID architecture," Finance 0511007, EconWPA. [Downloadable!]
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    26. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA. [Downloadable!]
    27. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA. [Downloadable!]
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    28. Saumitra N. Bhaduri & S. Raja Sethu Durai, 2006. "Asymmetric beta in bull and bear market conditions: evidences from India," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 55-59, January. [Downloadable!] (restricted)
    29. 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!]
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    30. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris. [Downloadable!]
    31. Tepe, Fatma & Du, Xiaodong (Sheldon) & Hennessy, David A., 2009. "The Impact of Biofuels Policy on Agribusiness Stock Prices," Staff General Research Papers 13109, Iowa State University, Department of Economics. [Downloadable!]
    32. Narayana R. Kocherlakota & Luigi Pistaferri, 2007. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 321307000000000701, UCLA Department of Economics. [Downloadable!]
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    33. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," ESE Discussion Papers 157, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
    34. Giuseppe Arbia, 2000. "Estimation Of Market Risk In Case Of Non-Gaussian Asset'S Returns," Departmental Working Papers 133, Tor Vergata University, CEIS. [Downloadable!]
    35. Seung C. Ahn & Young H. Lee & Peter Schmidt, 2006. "Panel Data Models with Multiple Time-Varying Individual Effects," Working Papers 0702, University of Crete, Department of Economics. [Downloadable!]
    36. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports 252, Federal Reserve Bank of New York. [Downloadable!]
    37. 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)
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    38. Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO. [Downloadable!]
    39. William M. Gentry & R. Glenn Hubbard, 2000. "Entrepreneurship and Household Saving," NBER Working Papers 7894, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    40. Ravi Jagannathan & Zhenyu Wang, 2001. "Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods," NBER Working Papers 8098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    41. Belén Nieto & Rosa Rodríguez, 2006. "The Consumption/Wealth and Book/Market Ratios in a Dynamic Asset Pricing Contex," Spanish Economic Review, Springer, vol. 8(3), pages 199-226, September. [Downloadable!] (restricted)
    42. 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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    43. 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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    44. 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!]
    45. Hanno Lustig & Stijn Van Nieuwerburgh, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," NBER Working Papers 11564, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    46. Johansson, Anders C., 2009. "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series 2009-5, China Economic Research Center, Stockholm School of Economics.
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    47. Dimitri Vayanos, 2004. "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers 10327, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    48. John Y. Campbell & Joao F. Cocco & Francisco J. Gomes & Pascal J. Maenhout, 1999. "Investing Retirement Wealth: A Life-Cycle Model," NBER Working Papers 7029, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    49. Jeong-Ryeol Kurz-Kim, 2005. "The common trend and the cross-section of expected returns," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(5), pages 269-271, September. [Downloadable!] (restricted)
    50. Jorge H. del Castillo-Spíndola, 2006. "A Non-Parametric Test of the Conditional CAPM for the Mexican Economy," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(2), pages 275-297. [Downloadable!]
    51. Jian Yang & James W. Kolari & Guozhong Zhu, 2005. "European public real estate market integration," Applied Financial Economics, Taylor and Francis Journals, vol. 15(13), pages 895-905, September. [Downloadable!] (restricted)
    52. Fousseni Chabi-Yo, 2006. "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Working Papers 06-38, Bank of Canada. [Downloadable!]
    53. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "How Much Does Household Collateral Constrain Regional Risk Sharing?," NBER Working Papers 10505, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    54. John R. Graham & Campbell R. Harvey, 2001. "Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective," NBER Working Papers 8678, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    55. 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)
    56. Huw Lloyd-Ellis & Shiqiang Zhang & Xiaodong Zhu, 2001. "Tax Smoothing with Stochastic Interest Rates: A Re-assessment of Clinton's Fiscal Legacy," Cahiers de recherche CREFE / CREFE Working Papers 125, CREFE, Université du Québec à Montréal. [Downloadable!]
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    57. 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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    58. 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)
    59. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
    60. John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    61. 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!]
    62. Robert Faff, 2004. "A simple test of the Fama and French model using daily data: Australian evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 14(2), pages 83-92, January. [Downloadable!] (restricted)
    63. 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!]
    64. 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!]
    65. Michael E. Drew & Madhu Veeraraghavan, 2001. "On the Value Premium in Malaysia," School of Economics and Finance Discussion Papers and Working Papers Series 092, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    66. Asgharian, Hossein & Hansson, Björn, 2002. "Cross Sectional Analysis of the Swedish Stock Market," Working Papers 2002:19, Lund University, Department of Economics. [Downloadable!]
    67. 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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    68. John Y. Campbell & Joao F. Cocco, 2002. "Household Risk Management and Optimal Mortgage Choice," Harvard Institute of Economic Research Working Papers 1946, Harvard - Institute of Economic Research. [Downloadable!]
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    69. Becchetti Leonardo & Mattesini Fabrizio, 2001. "The Stock Market And The Fed," Departmental Working Papers 154, Tor Vergata University, CEIS. [Downloadable!]
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    70. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho. [Downloadable!]
    71. 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!]
    72. Fatma Sine Tepe & Xiaodong Du & David A. Hennessy, 2009. "Impact of Biofuels Policy on Agribusiness Stock Prices, The," Center for Agricultural and Rural Development (CARD) Publications 09-wp497, Center for Agricultural and Rural Development (CARD) at Iowa State University. [Downloadable!]
    73. Grammig, Joachim & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-32, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    74. 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!]
    75. Md Isa, Abu Hassan & Puah, Chin-Hong & Yong, Ying-Kiu, 2008. "Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM," MPRA Paper 12355, University Library of Munich, Germany. [Downloadable!]
    76. 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)
    77. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics. [Downloadable!]
    78. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, School of Economics and Management, University of Aarhus. [Downloadable!]
    79. 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!]
    80. 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)
    81. 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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    82. 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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    83. Sciubba, E., 1999. "The Evolution of Portfolio Rules and the Capital Asset Pricing Model," Cambridge Working Papers in Economics 9909, Faculty of Economics, University of Cambridge. [Downloadable!]
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    84. Olivier, Jacques & Tay, Anthony, 2008. "Time-Varying Incentives in the Mutual Fund Industry," CEPR Discussion Papers 6893, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    85. 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)
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    86. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
    87. Fan, Qinbin & Jahan-Parvar, Mohammad R., 2009. "US Industry-Level Returns and Oil Prices," MPRA Paper 15670, University Library of Munich, Germany. [Downloadable!]
    88. Cable, J & Holland, K, 1996. "Modelling Normal Returns in Event Studies: A Model-Selection Approach and Pilot Study," Working Papers 96-13, University of Wales, Aberystwyth, Department of Economics. [Downloadable!]
    89. Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal. [Downloadable!]
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    90. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    91. Ravi Jagannathan & Narayana R. Kocherlakota, 1996. "Why should older people invest less in stock than younger people?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum, pages 11-23. [Downloadable!]
    92. Wilson, Christine & Featherstone, Allen & Kastens, Terry, 2001. "Threshold Effects In Food And Agribusiness Stock Price Markets," 2001 Annual meeting, August 5-8, Chicago, IL 20591, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    93. 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)
    94. 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)
    95. Hanno Lustig & Adrien Verdelhan, 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2006-045, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    96. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research. [Downloadable!]
    97. 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!]
    98. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    99. Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
      Other versions:
    100. 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)
    101. 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!]
      Other versions:
    102. Anthony W. Lynch, 2000. "Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-073, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    103. 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)
    104. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York. [Downloadable!]
    105. Don U.A. Galagedera & Robert Faff, 2004. "Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions," Monash Econometrics and Business Statistics Working Papers 8/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    106. Carolyn Carroll & John Griffith, 2008. "The retention of CEOs that make poor acquisitions," Journal of Economics and Finance, Springer, vol. 32(3), pages 226-242, July. [Downloadable!] (restricted)
    107. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    108. 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!]
    109. Andrew Ang & Joseph chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    110. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society. [Downloadable!]
    111. 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!]
    112. Lundtofte, Frederik, 2005. "Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?," Working Papers 2005:18, Lund University, Department of Economics. [Downloadable!]
    113. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers 2009s-33, CIRANO. [Downloadable!]
    114. Luis Ferruz Agudo & María Vargas Magallón & José L. Sarto, 2006. "Evaluation of performance and conditional information: the case of Spanish mutual funds," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 803-817, July. [Downloadable!] (restricted)
    115. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    116. John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," NBER Working Papers 9509, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    117. Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," University of California at Los Angeles, Anderson Graduate School of Management 1100, Anderson Graduate School of Management, UCLA. [Downloadable!]
      Other versions:
    118. Ravikumar, B. & Ray, Surajit & Savin, N.E., 1999. "CAPM Reconsidered: A Robust Finite Sample Evaluation," Working Papers 99-04, University of Iowa, Department of Economics. [Downloadable!]
    119. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," Working Paper 2005-13, Federal Reserve Bank of Atlanta. [Downloadable!]
    120. Stephen R. Foerster & G. Andrew Karolyi, . "The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US," Research in Financial Economics 9606, Ohio State University. [Downloadable!]
    121. Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-43, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    122. Owen Lamont, 1999. "Economic Tracking Portfolios," NBER Working Papers 7055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    123. William R. Emmons & Frank A. Schmid, 2000. "The Asian crisis and the exposure of large U.S. firms," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 15-34. [Downloadable!]
    124. Sean D. Campbell & George M. Korniotis, 2008. "The human capital that matters: expected returns and the income of affluent households," Finance and Economics Discussion Series 2008-09, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    125. Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, EconWPA. [Downloadable!]
    126. Ho-Chuan Huang & Wan-hsiu Cheng, 2005. "Tests of the CAPM under structural changes," International Economic Journal, Korean International Economic Association, vol. 19(4), pages 523-541, December. [Downloadable!] (restricted)
    127. Haim Levy & Enrico De Giorgi & Thorsten Hens, . "Prospect Theory and the CAPM: A contradiction or coexistence?," IEW - Working Papers iewwp157, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    128. 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!]
    129. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO. [Downloadable!]
    130. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    131. Post, G.T. & Linton, O. & Whang, Y-J., 2005. "Testing for Stochastic Dominance Efficiency," Research Paper ERS-2005-033-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!]
    132. Asgharian, Hossein & Karlsson, Sonnie, 2006. "Evaluating a nonlinear asset pricing model on international data," Working Papers 2006:5, Lund University, Department of Economics.
    133. 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:
    134. Claudio Morana, 2008. "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series 15-2008, ICER - International Centre for Economic Research. [Downloadable!]
    135. 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)
    136. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series WP-07-11, Federal Reserve Bank of Chicago. [Downloadable!]
    137. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2001. "The Federal Reserve banks' imputed cost of equity capital," Working Papers in Applied Economic Theory 2001-01, Federal Reserve Bank of San Francisco. [Downloadable!]
    138. 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)
    139. Santosh Mishra & Gloria Gonzalez-Rivera & Tae-Hwy Lee, 2004. "Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk," Econometric Society 2004 North American Winter Meetings 356, Econometric Society. [Downloadable!]
    140. 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!]
    141. Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," Working Paper Series in Economics and Finance 524, Stockholm School of Economics, revised 12 Feb 2004. [Downloadable!]
    142. Doriana Ruffino & Jonathan Treussard, 2006. "A Study of Inaction in Investment Games via the Early Exercise Premium Representation," Boston University - Department of Economics - Working Papers Series WP2006-040, Boston University - Department of Economics. [Downloadable!]
    143. George Woodward & Heather Anderson, 2003. "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers 9/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    144. R. Anton Braun & Etsuro Shioji, 2003. "Aggregate Risk in Japanese Equity Markets," CIRJE F-Series CIRJE-F-250, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    145. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    146. 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!]
    147. Wolfgang Drobetz & Susanne Stürmer & Heinz Zimmermann, 2002. "Conditional Asset Pricing in Emerging Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(IV), pages 507-526, December. [Downloadable!]
    148. Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," NBER Working Papers 10996, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    149. Jonathan Berk & Richard C. Green & Vasant Naik, 1998. "Optimal Investment, Growth Options, and Security Returns," NBER Working Papers 6627, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    150. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Quantitative Finance Papers physics/0702027, arXiv.org. [Downloadable!]
    151. 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!]
    152. David Cook & Woon Gyu Choi, 2007. "Financial Market Risk and U.S. Money Demand," IMF Working Papers 07/89, International Monetary Fund. [Downloadable!]
    153. 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!]
    154. Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers 3/08, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    155. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2003. "Formulating the imputed cost of equity capital for priced services at Federal Reserve banks," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 55-81. [Downloadable!]
    156. Michael E. Drew & Madhu Veeraraghavan, 2000. "Multifactor Models are Alive and Well," School of Economics and Finance Discussion Papers and Working Papers Series 083, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    157. 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:
    158. 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!]
    159. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," Working Paper 2007-04, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    160. Guido Caldarelli & M. Piccioni & E. Sciubba, 2000. "A Numerical Study On The Evolution Of Portfolio Rules," Computing in Economics and Finance 2000 334, Society for Computational Economics. [Downloadable!]
    161. William M. Gentry & R. Glenn Hubbard, 2004. "Entrepreneurship and Household Saving," The B.E. Journal of Economic Analysis & Policy, Berkeley Electronic Press, vol. 0(1). [Downloadable!]
    162. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    163. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    164. Bansal, Ravi & Dahlquist, Magnus, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    165. 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:
    166. 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!]
    167. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany. [Downloadable!]
    168. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(3), pages 751-782.
    169. 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)

  7. Ravi Jagannathan & Zhenyu Wang, 1994. "The Capm Is Alive And Well," Finance 9402001, EconWPA. [Downloadable!]
    Other versions:

    Cited by:

    1. David Blake, 2004. "The impact of wealth on consumption and retirement behaviour in the UK," Applied Financial Economics, Taylor and Francis Journals, vol. 14(8), pages 555-576, May. [Downloadable!] (restricted)
    2. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Moshe Levy & Yaacov Ritov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management 1006, Anderson Graduate School of Management, UCLA. [Downloadable!]
    4. Shmuel Kandel & Robert F. Stambaugh, 1994. "Portfolio Inefficiency and the Cross-Section of Expected Returns," NBER Working Papers 4702, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Patricio Arrau & Rómulo Chumacero, 1998. "Tamaño de los Fondos de Pensiones en Chile y su Desempeño Financiero," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 205-236. [Downloadable!]
    6. Kent Daniel & Sheridan Titman, 1996. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," NBER Working Papers 5604, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School. [Downloadable!]
    8. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
    9. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Maroney, Neal C. & Protopapadakis, Aris A., 1999. "The book-to-market and size effects in a general asset pricing model: evidence from seven national markets," Working Papers 1999-15, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    11. Ravi Jagnnathan & Ellen R. McGrattan, 1995. "The CAPM debate," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 2-17. [Downloadable!]
    12. John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

Articles

  1. Zhenyu Wang, 2005. "A Shrinkage Approach to Model Uncertainty and Asset Allocation," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(2), pages 673-705. [Downloadable!] (restricted)

    Cited by:

    1. Raman Uppal & Lorenzo Garlappi & Tan Wang, 2004. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," Money Macro and Finance (MMF) Research Group Conference 2004 54, Money Macro and Finance Research Group. [Downloadable!]
    2. Garlappi, Lorenzo & Uppal, Raman & Wang, Tan, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5148, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    3. Garlappi, Lorenzo & Uppal, Raman & Wang, Tan, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5041, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    4. Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October. [Downloadable!] (restricted)
    5. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]

  2. Li, Kai & Sarkar, Asani & Wang, Zhenyu, 2003. "Diversification benefits of emerging markets subject to portfolio constraints," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 57-80, February. [Downloadable!] (restricted)

    Cited by:

    1. Paul Ehling & Sofia Brito Ramos, 2005. "Geographic versus industry diversification - constraints matter," Working Paper Series 425, European Central Bank. [Downloadable!]
      Other versions:
    2. Stefano Cavaglia & Robert J. Hodrick & Moroz Vadim & Xiaoyan Zhang, 2002. "Pricing the Global Industry Portfolios," NBER Working Papers 9344, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Radu Tunaru & Frank Fabozzi & Tony Wu, 2006. "Chinese equity market and the efficient frontier," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 87-94, March. [Downloadable!] (restricted)

  3. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2003. "Formulating the imputed cost of equity capital for priced services at Federal Reserve banks," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 55-81. [Downloadable!]

    Cited by:

    1. Michelle L. Barnes & Jose A. Lopez, 2006. "What is the Federal Reserve banks' imputed cost of equity capital?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Apr 7. [Downloadable!]
    2. Michelle L. Barnes & Jose A. Lopez, 2005. "Alternative measures of the Federal Reserve banks' cost of equity capital," Public Policy Discussion Paper 05-2, Federal Reserve Bank of Boston. [Downloadable!]
      Other versions:
    3. Alfredo Martín-Oliver & Vicente Salas-Fumás & Jesús Saurina, 2007. "Measurement of capital stock and input services of Spanish banks," Banco de España Working Papers 0711, Banco de España. [Downloadable!]
    4. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]

  4. Ravi Jagannathan & Zhenyu Wang, 2002. "Empirical Evaluation of Asset-Pricing Models: A Comparison of the SDF and Beta Methods," Journal of Finance, American Finance Association, vol. 57(5), pages 2337-2367, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  5. Jagannathan, Ravi & Skoulakis, Georgios & Wang, Zhenyu, 2002. "Generalized Method of Moments: Applications in Finance," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 470-81, October.

    Cited by:

    1. Richard Paap & Frank Kleibergen, 2004. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings 195, Econometric Society. [Downloadable!]
      Other versions:
    2. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, . "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England. [Downloadable!]
    3. Alessandra Amendola & Giuseppe Storti, 2009. "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers SFB649DP2009-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    4. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]

  6. Ravi Jagannathan & Zhenyu Wang, 1998. "An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression," Journal of Finance, American Finance Association, vol. 53(4), pages 1285-1309, 08. [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!]
      Other versions:
    2. Ravi Jagannathan & Zhenyu Wang, 2001. "Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods," NBER Working Papers 8098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. 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:
    4. 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!]
    5. 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)
    6. 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)
    7. 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!]
      Other versions:
    8. 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)
    9. Craig Burnside, 2007. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment," NBER Working Papers 13129, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2001. "The Federal Reserve banks' imputed cost of equity capital," Working Papers in Applied Economic Theory 2001-01, Federal Reserve Bank of San Francisco. [Downloadable!]
    13. Mitchell A. Petersen, 2005. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," NBER Working Papers 11280, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. 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!]
    15. Ana Paula Serra, 2002. "The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks," FEP Working Papers 120, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
    16. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    17. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]

  7. Wang, Zhenyu, 1998. "Efficiency loss and constraints on portfolio holdings1," Journal of Financial Economics, Elsevier, vol. 48(3), pages 359-375, June. [Downloadable!] (restricted)

    Cited by:

    1. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," Research Paper ERS-2003-017-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!]
    2. Post, G.T. & Vliet, P. van, 2004. "Downside Risk and Asset Pricing," Research Paper ERS-2004-018-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!]
      Other versions:
    3. Post, G.T., 2002. "Testing for Third-Order Stochastic Dominance with Diversification Possibilities," Research Paper ERS-2002-02-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!]
    4. Post, G.T., 2001. "Testing for Stochastic Dominance with Diversification Possibilities," Research Paper ERS-2001-38-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!]
    5. Michael R. Powers & David M. Schizer & Martin Shubik, 2003. "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Cowles Foundation Discussion Papers 1413, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    6. Post, G.T. & Levy, H., 2002. "Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences," Research Paper ERS-2002-50-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!]
    7. Lubos Pastor & Robert F. Stambaugh, 1999. "Comparing Asset Pricing Models: An Investment Perspective," NBER Working Papers 7284, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Thierry Post & Haim Levy, 2002. "Does Risk Seeking drive Asset Prices?," Tinbergen Institute Discussion Papers 02-070/2, Tinbergen Institute. [Downloadable!]

  8. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

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This page was last updated on 2009-12-17.

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